摘要
分析了投资于住房反抵押贷款项目的金融机构面临的风险,利用VaR方法计算了不同置信度下的风险损失值,并分析了房价波动、利率波动和死亡率波动等因素对其损失的影响程度。结果显示:房价波动的影响最大,利率波动次之,死亡率波动的影响最小。
This paper analyzes the risk of financial institutions investing in reverse mortgage program. And it calculates the loss value under dif- ferent degrees of confidence by using the VaR method. Then it analyzes the influence degree of the fluctuation of house price,interest rate and mortality rate on the loss of financial institutions. The result shows that house price fluctuation has the largest impact on total loss,followed by interest rate fluctuation,and the impact of fluctuation of motility rate is the least.
出处
《技术经济》
CSSCI
北大核心
2015年第5期117-123,共7页
Journal of Technology Economics
基金
国家自然科学基金项目"老龄化背景下发展住房反抵押市场基础性研究"(71173129)
关键词
住房反抵押
投资风险
损失分布
VAR值
reverse mortgage
investment risk
loss distribution
VaR value
