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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...
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Formato: | Online Artículo Texto |
Lenguaje: | English |
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Hindawi
2021
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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 |
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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 |