2009 4

2009

2008

Study on the risk management of individual

housing loan in China
Structural Engineering
Graduate Student: YangTing Advisor: Tan Dalu
In 2008, financial storm caused by The America Subprime Crisis swept all
over the world, and led to the bankruptcy of a great deal of financial institutions
and real estate enterprises.In China, the individual housing mortagege loan markets
also have many bad characteristics, such as much non-performing loan and nonstandard lending operation. These are similar to America housing loan market
before Subprime Crisis broken out. The financial industry collects money ,
accommodates fund and obtaines favourable profit by individual housing loan. At
the same time, the realty business promotes the sale and withdraws funds from
circulation by individual housing loan. Therefore, It is necessary to hedge the risk
of individual housing loan and normalize the procedure of individual housing loan
to keep financial market growing healthily, reasonably and quickly.
On the basis of studying foreign risk management of individual housing loan,
this thesis considers the current situation of housing loan in China, and analyzed
all kinds of risk in individual housing loan market in China from different sources
of risk. Three models, the Game Theory model of transfering credit risks, the
Utility Theory model of bank loaning and the Decision Tree model of evaluating
risks, are built in this thesis to recognizes the primary risk factors that will
influence individual housing loan. And this thesis provides some maneuverable
methods to help real estate enterprises to hedge the risks of individual housing loan
and reference for framing the policies of individual housing loan.
Key words individual housing loan
Utility Theory hedge plan

II

risk management

Game Theory

1 ..................................................................................................................1
1.1 ...................................................................................................1
1.2 ...................................................................................................8
1.3 ...............................................................................................8
2 .......................................................................................11
2.1 .................................................................................11
2.1.1 ...............................................................................................11
2.1.2 ...........................................................................................11
2.1.3 ...................................................11
2.2 .............................................................13
2.2.1 ...............................................................13
2.2.2 ...................................................................13
2.2.3 ...........................................................................14
3
..................................................16
3.1 .........................................................................16
3.1.1 ...........................................................................16
3.1.2 ...........................................................................16
3.1.3 ...........................................................................16
3.1.4 ...........................................................................16
3.2 .........................................................................17
3.2.1 ...........................................................................17
3.2.2 ...........................................................................17
3.2.3 ...........................................................................18
3.2.4 ...........................................................................18
3.2.5 ...........................................................................19
3.3 .................................................................................19
3.3.1 ...........................................................................................19
3.3.2 ...........................................................................................20
3.3.3 ...........................................................................................22
4 ...................................................................24
4.1 .........................................................................................24
4.2 .........................................................................................26
4.3 .........................................................................................27
4.4 .....................................................................................29
4.5 .........................................................................................................29
5 ..........................................................31
5.1 .............................................................................31
III

5.1.1 .......................................................................................31
5.1.2 .......................................................................................31
5.2 .............................................................................34
5.2.1 ...............................................................................34
5.2.2 ...................................................................................35
5.2.3 .......................................................................................37
5.3 .............................................................................43
5.3.1 ...........................................................................43
5.3.2 .......................................................................................44
5.3.3 ...................................................................................46
6 ......................................................48
6.1 .................................................................................................48
6.1.1 .......................................................................................48
6.1.2 .......................................................................................48
6.1.3 ...............................................................................49
6.2 .................................................................................................50
6.2.1 .......................................................................................50
6.2.2 ...................................................................................50
6.3 .................................................................................................52
6.3.1 ...............................................................................52
6.3.2 .......................................................................53
6.4 .................................................................................................53
6.4.1 .......................................................................................53
6.4.2 .......................................................................................54
6.4.3 .......................................................................................54
6.5 .............................................................................55
6.5.1 ...............................................................................55
6.5.2 ...............................................................................56
6.5.3 ...............................................................................57
6.5.4 ...............................................................................57
.............................................................................................................................59
.....................................................................................................................60
....................................................................................64
...........................................................................................................................65
...........................................................................................................................66

IV

1
1.1
1.1.1

2006

1
2001 2004

2001
8.92002 7.42003 4.4% 2003 2006
50% 1995 2006 [1]
17 1%
5.52%

3
fico

BBB
1

2%-3%

(Mr Henry Varnum Poor) 1860

1941

AAA AA A BBB BB B CCC CC C D BBB

5
2003 2006

2005 12
2007 3

[1]
2

1.1.2
GDP 1997
190 2008 2.95 12 154
2000
3.29 2008 9.7 1-1

1.1.3

2008

1-1 [2]

1
2000 2008 4984.05 30580
1-2

2
2007 2006 2
3

(1250 1150) 70
2008 1400
2.5%3.5%

1-2 [2] [3]

1.85.5
36

2008 3 7.3
(16)(14.2)(12.4)
[4]

2030

30% 10%

3
,

1-3

30%70%
1-1 2008

40 202008
16 0.7 4
5

1-3

199
8

1-1 [2]

43937623

10531712

23.9
7

3617581

8.2
3

11669821

26.5
6

18118509

41.2
4

199
9

47759852

11115664

23.2
7

2566022

5.3
7

13446210

28.1
5

20631956

43.2
0

200
0

59872829

13850756

23.1
3

1687046

2.8
2

16142122

26.9
6

28192905

47.0
9

200
1

76824161

16921968

22.0
3

1357044

1.7
7

21839587

28.4
3

36705562

47.7
8

200
2

97359053

22203357

22.8
1

1572284

1.6
1

27384451

28.1
3

46198961

47.4
5

200
3

131850133

31382699

23.8
0

1700040

1.2
9

37706891

28.6
0

61060503

46.3
1

200
4

171567621

31584126

18.4
1

2282001

1.3
3

52075627

30.3
5

85625867

49.9
1

200
5

213978389

39180778

18.3
1

2578111

1.2
0

70003924

32.7
2

102215576

47.7
7

200
6

271355516

53569795

19.7
4

4001541

1.4
7

85970853

31.6
8

127813327

47.1
0

200
7

374779610

70156355

18.7
2

6410425

1.7
1

117725316

31.4
1

180487514

48.1
6

1.2

3 8 2000

1.3
1.3.1

1.3.2
1

1.3.3
1-4

10

1-4
11

2
2.1
2.1.1

2.1.2

[5]

2.1.3

2.1.3.1
(1)

12

( 30)

(2)

(3)

2.1.3.2

2.2
2.2.1
1

13

[6]

(+)

2
:
: 30

2.2.2
2-1

[6]

2-1

2.2.3
14

2.2.3.1

2/

3
2.2.3.2

1:

2:

3:

,
4: 38

15

3
3.1
3.1.1

3.1.2

1 2

3.1.3
100 1873
1909
1916

3.1.4

16

A/u D

MKV (CerditmetricS)(
)

[6]

3.2
3.2.1

3.2.2

3.2.3

17

1
1

30
60
60 90
90
[6]
3.2.4

3.2.5

3.3
18

3.3.1

20 80 90

1997 1999 96
97

19981999 42616 35771
[7] 100
2000
2000

2001

2004 4 9

35
5O
3.3.2

1998 7

30%
2008 31% 50%[2]

19

3-1

3-1 [2]

38

1997 %l 3%
2
2004
42.06 1.23% 323-3
20

3-2 [8]

3-4

3.3.3
GDP 1000
2003 GDP 1000 [2]

2020 40% 55%

2020 2003 5.1 7.7
22 2.6
57.2 [9]
20

21

4
4.1
2006 5.87 1000

1000 76%

15
1.6
0.5%2006 3035 53
70 2005 1318
1288 30 2.2%
97.8%[10]

50%

22

23

4.2
1

P H P (1 a ) A

4-1

: P
H
a
A
4-1
Pa A H
4-2

H Pt (1 )

4-3

Pt

P a A
:
Pa A

P a [1 (1 i )t n]
[1 (1 i ) n]
24

4-4

i
t
n
4-2
P a [1 (1 i )t n]
Pt (1 )
[1 (1 i ) n]

4-5

60%

,
,,

4.3

2005 1 1

25

20

4.4

1
.

26

4.5
1

30

20

27

28

5
5.1

5.1.1
(1)(players)(
)

(2)

game of
incomplete information)
[11]

(3)
(non
cooperative game)
5.1.2
5.1.2.1
(credit risk transferCRT)

29

5.1.2.2

1
E , r ,
g ( E , r ) f ' ( E , r )
f ' ( E , r ) 0
KMV

A E
E

c ( E ) g ( E , r ) c ( E )
E A E E
5-1

30

[ f ( E, r ), g ( E, r )]

(E, E )

[(E A), g (E, r ) c(E )]

5-1

31

g ( E , r ) c ( E ) E

E A f ' ( E , r ) f ' ( E , r )
E A

c ' ( E , )

5-1
5-1

g ( E , r ) c ' ( E , ), f ' ( E , r )
g ( E , r ), f ' ( E , r )

g ( E , r ) c ' ( E , ), E A
E, E

32

5.2
5.2.1

2007 2008
3156 25

[12]

[13]
1
12

23

/
/

4
Integral Chi2

[18,29][30,54][55,70]
(0,4](4,7](7,10](10,25]
33

(0,0.3](0.3,0.4](0.4,0.6](0.6,1.0]

[14]
3121 7 5-2

5.2.2

C4.5
S s m

Ci (i 1,..., m) si Ci
5- 1

I ( s1 , s2 ,..., si ) i 0 pi log 2 ( pi )
m

pi

5- 1

si
Ci
s

34

11
12
13

[18,29]
[30,54]
[55,70]

21
22
23

31
32
33
34
35

41
42
43

51
52

61
62
63
64

(0,0.3]
(0.3,0.4]
(0.4,0.6]
(0.6,1.0]

71
72
73
74

(0,4]
(4,7]
(7,10]
(10,25]

5-2

A V a1 , a2 ,..., av A S v
S1 , S 2 ,..., S v S j A

a j A ()
S Sij S j Ci A
5-2
35

E ( A) m 1
v

sij ... smj

s

sij ... smj

s

I (sij ,..., smj )

5-2

j ( A a j )

S
S j

I ( s1 j ,..., smj ) i 1 pij log 2 ( pij )

m

pij

sij
sj

5-3

S j Ci

A
Gain( A )= I ( s1 j ,..., smj ) E ( A)

(5-4)

Gain( A ) A
S

Ratio( A )=Gain( A )/E( A )

5-5

S
[15]
5.2.3
(1)

C1=C2=C3=C4=

[16]
40%
15%

36

2%
0

s1=205s2=451s3=1863 s4=602 5-3
I ( s1 , s2 , s3 s4 ) I (205, 451,1863, 602)
205
205
451
451
1863
1863
602
602
log 2 (
)
log 2 (
)
log 2 (
)
log 2 (
)
3121
3121 3121
3121 3121
3121 3121
3121
1.5636

S1 = S 2 = S3 =

S 4 = 4
C1 C2 C3 C4 4 5-3
543
880
I ( s11 , s21 , s31 , s41 )
I ( s12 , s22 , s32 , s42 )
3121
3121
932
766

I ( s13 , s23 , s33 , s43 )

I ( s14 , s24 , s34 , s44 )
3121
3121
543
880
932
766

1.7000
1.5051
1.1568
1.3088
3121
3121
3121
3121
1.3869
E

E
Gain= I ( s1 , s2 , s3 , s4 ) E 0.1767
Ratio=Gain/E=0.1275
5-3

C1
C2
C3

C4

sij

S1

105
s11

85
s21

295
s31

58
s41

543

S2

47
s12

201
s22

533
s32

99
s42

880

S3

30
s13

55
s23

689
s33

158
s43

932

S4

15
s14

35
s24

435
s34

281
s44

766

37

xij

197

376

1952

38

596

3121

, 5-4

5-4

Gain

Ratio

-7

0.176775

0.127468

-6

0.2456

0.177095

-5

0.0221

0.015936

-4

0.071

0.051196

-3

0.1001

0.072179

-2

0.0611

0.044057

-1

0.0406

0.029276

yi round [Gaini / (Gain1 Gain2 ... Gain7 )] 100 (i 1, 2,...7)

5-

6
round Gain1 ~ Gain7

Y=[681410 3 25 34]
2

6 2
5-1
5-2

39

5-2 C4.5

i

xj1xj2xj3xj4(5-7)

Zij=(0.4xj1+0.15xj2+0.02xj3+0xj4) /( xj1+ xj2+ xj3+ xj4)

(5-7)
0.40.150.02 0

Z11=(0.4105+0.1585+0.02295+058) /543=0.1117
5-5

5-5

0.1117

0.0677

0.0365

0.0260

5-8
5-6

j round [ yi zij / Max( zij )]

(5-8)
40

5-6

41

25

13

5-7

4 [80,100] [70,80)
[60,70)[0,60)

a [(0.4k 0.15l 0.02m 0n) / q ] 100%

(5-9)

klmn
q klmn

5-8

41

5-7

11
12
13

3
6
5

21
22
23

10
6
2

31
32
33
34
35

15
13
9
9

41
42
43

11
7
3

51
52

5
3

61
62
63
64

38
26
13
6

71
72
73
74

41
25
13
9

5-8

864

1323

571

363

35

56

100

9.26%

2.64%

9.81%

27.55%

42

5.3

5.3.1

,
,
1
20 50 ,(Von Neumann and Morgenstern)

(rational actor),

2
X Pi X i i 1, 2,..., n
X i U ( X i )
U ( X ) E[U ( X ) ] PU
1 ( X1 ) PU
2 ( X 2 ) ... PU
n ( Xn )

5-10

E[U ( X ) ] X U ( X )
43

VNM [25]
,
5-3 ,
3

1
2

U0

3
x

44

X0

5-3
( 1 2 3 )

5.3.2

1



2

H t P
r
r t ( r t )

a. W R Ht 511
5-12
b. I R Ht Hr
W I R
5-13
5-4
AC A
R A
H A

EU
EU PU I (1 P )U W

5-14

EU
45

d EU
P (t r )U I' (1 P )tUW' , W 0
dH

5-15

U I'
(1 P )t

'
UW (r t ) P

5-16

A
B
5-4 C
0
W

AC B
H (
) r )P ()
P r

5.3.3
1

46

(Kahneman)(Tversky) 1979
(Prospect Theory).
,,.
,.,
,.

3 r
P

47

6
6.1
6.1.1

6.1.2

48

6.1.3

(1)

20

(2)

(3)

36

6.2
6.2.1

49

6.2.2
5 10 20 30

Mortgage Backed Securitization,MBS

1
50

(
)

2 6-1

6-1

6.3
6.3.1

51

6.3.2

6.4
6.4.1

(1)

52

(2)

(3)

(4)

6.4.2

6.4.3
1

(2)

(3)
53

(4)

6.5
6.5.1

60%

2005
2008

NASDAQ
NASDAQ OTCBB

3REITsReal Estate Investment Trusts,

REITs

(REITs)

54

6.5.2

100%

85

6.5.3

2008

1 11
537 462 89% 146%

55

6.5.4
3-8 ,

,
2

56

57

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