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本文在结构化模型框架下,通过构建引入摩擦因素的浮动利率住房抵押贷款定价模型,对贷款的价值做了相关研究分析。模型对贷款中的各种隐含期权和借款人的异质性做了充分考虑,并采用蒙特卡罗模拟方法对其进行了数值分析。结果表明,贷款期初价值小于其账面价值,且摩擦因素条件的不同和借款人资质的差异对贷款价值有一定影响。对此银行可以通过合同签订时从贷款中扣除一定比例的费用来缓释风险,而不是在借款人执行期权时收取违约金。
In this paper, under the framework of the structured model, this paper makes a related research on the value of loans by constructing a floating-rate mortgage pricing model that introduces the friction factor. The models give full consideration to the various implicit options in the loan and the heterogeneity of the borrower, and carry out numerical analysis using the Monte Carlo simulation method. The result shows that the initial value of loan is less than its book value, and the difference of the conditions of the friction factors and the difference of the qualification of the borrower will affect the loan value to a certain extent. For this, the bank can release the risk by deducting a certain percentage of the loan amount from the loan when the contract is signed, instead of collecting the liquidated damages when the borrower executes the option.