Cargando…

Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation

In recent years, with the rapid increase of the business volume of housing mortgage loans of commercial banks, the risk of prepayment is increasingly exposed. Prepayment will have a great impact on the duration and convexity of housing mortgage loans of commercial banks and then bring difficulties t...

Descripción completa

Detalles Bibliográficos
Autor principal: Tang, Enlin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8407986/
https://www.ncbi.nlm.nih.gov/pubmed/34475948
http://dx.doi.org/10.1155/2021/6035022
_version_ 1783746730473291776
author Tang, Enlin
author_facet Tang, Enlin
author_sort Tang, Enlin
collection PubMed
description In recent years, with the rapid increase of the business volume of housing mortgage loans of commercial banks, the risk of prepayment is increasingly exposed. Prepayment will have a great impact on the duration and convexity of housing mortgage loans of commercial banks and then bring difficulties to the asset liability management of banks. Therefore, empirical research on the changes of duration and convexity of housing mortgage loans caused by prepayment when the market interest rate changes is of great significance for commercial banks to manage interest rate risk exposure. Based on the analysis of the option characteristics of prepayable housing mortgage loan, the CIR model with GARCH(1, 1) is selected to describe the interest rate change path, and the computer simulation method is used to calculate OAS and then calculate the effective duration and effective convexity of housing mortgage loan under different prepayment rates, so as to understand the interest rate risk of housing mortgage loan in the presence of embedded option.
format Online
Article
Text
id pubmed-8407986
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Hindawi
record_format MEDLINE/PubMed
spelling pubmed-84079862021-09-01 Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation Tang, Enlin Comput Intell Neurosci Research Article In recent years, with the rapid increase of the business volume of housing mortgage loans of commercial banks, the risk of prepayment is increasingly exposed. Prepayment will have a great impact on the duration and convexity of housing mortgage loans of commercial banks and then bring difficulties to the asset liability management of banks. Therefore, empirical research on the changes of duration and convexity of housing mortgage loans caused by prepayment when the market interest rate changes is of great significance for commercial banks to manage interest rate risk exposure. Based on the analysis of the option characteristics of prepayable housing mortgage loan, the CIR model with GARCH(1, 1) is selected to describe the interest rate change path, and the computer simulation method is used to calculate OAS and then calculate the effective duration and effective convexity of housing mortgage loan under different prepayment rates, so as to understand the interest rate risk of housing mortgage loan in the presence of embedded option. Hindawi 2021-08-23 /pmc/articles/PMC8407986/ /pubmed/34475948 http://dx.doi.org/10.1155/2021/6035022 Text en Copyright © 2021 Enlin Tang. https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Tang, Enlin
Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title_full Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title_fullStr Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title_full_unstemmed Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title_short Research on Interest Rate Risk of Housing Mortgage Loan Based on Computer Simulation
title_sort research on interest rate risk of housing mortgage loan based on computer simulation
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8407986/
https://www.ncbi.nlm.nih.gov/pubmed/34475948
http://dx.doi.org/10.1155/2021/6035022
work_keys_str_mv AT tangenlin researchoninterestrateriskofhousingmortgageloanbasedoncomputersimulation