X市住房公积金中心个人住房抵押贷款违约风险实证研究
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摘要
随着城镇住房制度改革的不断深入，越来越多的居民需要购买商品房来解决居住问题，对于住宅这种价值较高的消费品，很多居民通过金融机构的贷款获得购房资金。国家为了帮助中低收入阶层能够拥有自己的住房，借鉴新加坡的中央公积金制度，于1991年开始推行住房公积金制度。由于住房公积金具有“低存低贷“的政策优势，住房公积金贷款已成为职工使用公积金主要方式。尽管公积金贷款已经表现出良好的市场前景，但目前较高的还款率并不能说明公积金中心开展这项业务就没有风险。因此，对个公积金贷款出现的潜在的风险进行深入细致的探讨是非常必要的。
在发达国家，金融机构开展个人住房抵押贷款业务已有上百年的历史，该项业务已十分成熟。相应的这些国家的学者对个人住房抵押贷款违约风险问题也进行了大量的理论和实证探讨。本文通过总结国内外学者实证研究成果得出一些具有启示性和指导性的结论，为本文实证研究的变量选择与量化方法提供了理论指导。本文利用X市住房公积金中心个人住房贷款档案资料，采集320个样本，其中违约贷款样本有66人，正常贷款样本254个，利用SPSS12.0统计软件中的因子分析和判别分析对调查数据进行了分析，实证得出了影响X市住房公积金中心个人住房抵押贷款违约风险的主要因素，建立了违约风险判别函数，为今后X市住房公积金管理中心在贷款审批阶段即能识别新的个人住房抵押贷款可能所属的风险类别提供数理分析工具，从而为中心在贷款发放之初就能实施违约风险管理提供科学依据。
根据文献研究和实证研究结论并结合X市住房公积金管理中心贷款风险管理现状，探讨了如何加强和改善该市公积金贷款违约风险管理措施。从该市住房公积金管理中心的视角来看，当前应做好以下三方面的工作：一是提高认识，增强违约风险防范意识；二是提高违约风险管理技术；三是进行业务流程改造，完善内控机制。
With the rapid increasing of reform on town housing system, more and more people need to buy commercial house for inhabitancy. Because house is expensive consumable, many people attain the funds of buying house through financial institution. In order to help middle-lower earning people buy their own house, the country pushes the system of housing accumulation fund. Now the housing mortgage loan of housing accumulation fund is the main way of using housing accumulation fund. So it is necessary to study the potential risk of the housing accumulation fund
In developed countries, financial institutions have already had a history of more than one hundred years to lend residential mortgages, and this business is very mature. Correspondingly, scholars of these countries have carried on a lot of theoretic and empirical researches to probe into residential mortgage default risk, and achievements in those researches are very abundant. Those achievements offer some theoretical reference for choosing variables and quantization of this research. In this paper, 254 normal loan samples and 66 default loan samples are collected, so the total capacity of the samples is 320. SPSS12.0 software is used to do Factor Analysis, Discriminant Analysis by using those investigated data. The paper regards the determinants of residential mortgage default risk as research object, and attempts to identify the major determinants. This research will help the housing accumulation fund center in X city build theoretic and technological foundation to reduce default risk at the beginning of residential mortgages lending.
Based on literatures reading, empirical research and after combining foreign experience and residential mortgage default risk management status, the paper gives some proposals on how to strengthen and improve the management of default risk. From the housing accumulation fund center's point of view, they should do a good job of the following three respects at present: First, taking precautions consciousness against default risk; Second, improve the management skill of default risk; Third, carrying on the reformation of operation flow, and improving the mechanism of interior control.
在发达国家，金融机构开展个人住房抵押贷款业务已有上百年的历史，该项业务已十分成熟。相应的这些国家的学者对个人住房抵押贷款违约风险问题也进行了大量的理论和实证探讨。本文通过总结国内外学者实证研究成果得出一些具有启示性和指导性的结论，为本文实证研究的变量选择与量化方法提供了理论指导。本文利用X市住房公积金中心个人住房贷款档案资料，采集320个样本，其中违约贷款样本有66人，正常贷款样本254个，利用SPSS12.0统计软件中的因子分析和判别分析对调查数据进行了分析，实证得出了影响X市住房公积金中心个人住房抵押贷款违约风险的主要因素，建立了违约风险判别函数，为今后X市住房公积金管理中心在贷款审批阶段即能识别新的个人住房抵押贷款可能所属的风险类别提供数理分析工具，从而为中心在贷款发放之初就能实施违约风险管理提供科学依据。
根据文献研究和实证研究结论并结合X市住房公积金管理中心贷款风险管理现状，探讨了如何加强和改善该市公积金贷款违约风险管理措施。从该市住房公积金管理中心的视角来看，当前应做好以下三方面的工作：一是提高认识，增强违约风险防范意识；二是提高违约风险管理技术；三是进行业务流程改造，完善内控机制。
With the rapid increasing of reform on town housing system, more and more people need to buy commercial house for inhabitancy. Because house is expensive consumable, many people attain the funds of buying house through financial institution. In order to help middle-lower earning people buy their own house, the country pushes the system of housing accumulation fund. Now the housing mortgage loan of housing accumulation fund is the main way of using housing accumulation fund. So it is necessary to study the potential risk of the housing accumulation fund
In developed countries, financial institutions have already had a history of more than one hundred years to lend residential mortgages, and this business is very mature. Correspondingly, scholars of these countries have carried on a lot of theoretic and empirical researches to probe into residential mortgage default risk, and achievements in those researches are very abundant. Those achievements offer some theoretical reference for choosing variables and quantization of this research. In this paper, 254 normal loan samples and 66 default loan samples are collected, so the total capacity of the samples is 320. SPSS12.0 software is used to do Factor Analysis, Discriminant Analysis by using those investigated data. The paper regards the determinants of residential mortgage default risk as research object, and attempts to identify the major determinants. This research will help the housing accumulation fund center in X city build theoretic and technological foundation to reduce default risk at the beginning of residential mortgages lending.
Based on literatures reading, empirical research and after combining foreign experience and residential mortgage default risk management status, the paper gives some proposals on how to strengthen and improve the management of default risk. From the housing accumulation fund center's point of view, they should do a good job of the following three respects at present: First, taking precautions consciousness against default risk; Second, improve the management skill of default risk; Third, carrying on the reformation of operation flow, and improving the mechanism of interior control.
引文
[注1] 陈伯庚．城镇住房制度改革的理论与实践[M]．上海：上海人民出版社，2003．
[注2] 北京住房公积金网．2004年住房公积金归集使用计划执行情况和2005年住房公积金归集使用计划．http://www.bjgij.gov.cn/zxqk.htm,2005-09-11查阅．
[注3] 华南理工大学课题组．广州住房公积金贷款管理制度改革问题课题研究报告[R]．华南理工大学法学院，2005-03-20．
[注1] 汪莉娜．从制度建设入手完善住房公积金的管理[J]．中国房地信息，2005(12)，P49．
[注1] Williams A, Beranek W &Kenkel). Default risk in urban mortgages: a Pitsburg prototype analysis. AREUEA Journal, 1974, Vol.2:101-112
[注1] 王福林．个人住房抵押贷款违约风险影响因素实证研究．浙江大学博士论文．2004：16-19
[注2] Vandell Kerry D. Default Risk Under Alternative Mortgage Instruments. The Journal of Finance, 1978, Vol. 33(5): 1279-1296
[注3] Campbell Tim S&J Kimball Dietrich. The Determinants of Default on Insured Conventional Residential Mortgage Loans. The Journal ofFinance, 1983, Vol. 38(5):1569-1581
[注4] Vandell Kerry D&Thibodeau Thomas. Estimation of Mortgage Defaults Using Disaggregate Loan History Data. AREUEA Joumal, 1985, Vol. 15(3): 292-316
[注5] Zom Peter M&Lea Michael J. Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data. AREUEA Journal, 1989, Vol. 17(1):18-136
[注1] Evans R, Maris B&Weinstein R. Expected Loss and Mortgage Default Risk. Quarterly Journal of Business and Economics, 1985, Vol. 24:75-92
[注2] Clauretie Terrence. The Impact of Interstate Foreclosure Cost Diferences and the Value of Mortgages on Default Rate. AREUEA Joumal, 1987, Vol. 15(3): 217-212
[注3] Quigley J&Van Order R. Defaults on Mortgage Obligations and Capital Requirements for U. S. Savings Institutions-a policy perspective. Journal of Public Economics, 1991, Vol A4: 353-390
[注4] 胡侠，虞晓芬．国外住房抵押贷款风险防范研究及实践[J]．中国房地产，2002(3)
[注5] 刘疆．美国个人住房贷款的评估与决策[J]．中国房地产金融，2001(8)：43-46
[注1] Webb Bruce G Borrower. Risk Under Alternative Mortgage Instruments. The Journal of Finance. 1982, Vol.37(1): 169-183
[注2] Burrows R. Mortgage Indebtedness in England: an "epidemio]ogyH". Housing Studes, 1998, Vol. 13(1): 5-22
[注1] 武洪玲．个人住房贷款风险及其防范[J]．安徽工业大学学报(社科版)，2004(3)．
注[1] 买建国．个人住房抵押贷款被动违约风险控制方略．浙江金融[J]．2005(9)
注[1] 冯晶．个人住房抵押贷款主动违约风险分析．财经科学[J]．2001(1)
注[1] 赵江．美国的住房抵押信贷及风险控制．中国金融，2001(3)：49-50
注[2] 虞晓芬．美国的住宅抵押贷款保险体系及借鉴．中国房地产金融，2000(11)：41-45
注[3] Mike B＆Tony D．Falling Out of Home Ownership：Mortgage Arrears and Defaults in Australia．University of Queensland Press for the Australian Housing and Urban Research Institute，Brisbane，1999
注[1] 从数据组成上看，有66户违约数据，254户正常贷款的数据。在本文的研究中，将逾期2期(包括2期)的数据作为违约数据处理。
注[1] 何晓群．现代统计分析方法与应用[M]．北京：中国人民大学出版社．1998
注[2] 马庆国．管理统计[M]．北京：科学出版社．2002
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[19] Vandell Kerry D&Thibodeau Thomas. Estimation of Mortgage Defaults Using Disaggregate Loan History Data. AREUEA Joumal, 1985, Vol. 15(3): 292-316
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[24] 北京住房公积金网．2004年住房公积金归集使用计划执行情况和2005年住房公积金归集使用计划．http://www.bjgjj.gov.cn/zxqk.htm，2005-09-11查阅．
[25] 华南理工大学课题组．广州住房公积金贷款管理制度改革问题课题研究报告[R]．华南理工大学法学院，2005-03-20．
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[27] Zom Peter M&Lea Michael J. Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data. AREUEA Journal, 1989, Vol. 17(1): 18-136
[28] Quigley J&Van Order R. Defaults on Mortgage Obligations and Capital Requirements for U. S. Savings Institutions-a policy perspective. Journal of Public Economics, 1991, Vol A4: 353-390
[29] 汪莉娜．美国住宅金融体制研究[M]．北京：中国金融出版社，1999．
[30] 丁璐，詹蕾．消费信贷运作指南[M]．成都：四川大学出版社，2000，P235．
[31] 刘春红，刘可新．上海市个人住房抵押贷款违约因素实证分析[J]．上海金融，2000(1)．
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[36] 殷红，张卫东．房地产金融[M]．北京：首都经济贸易大学出版社，2002，P320．
[37] Burrows R. Mortgage Indebtedness in England: an "epidemiology". Housing Studes, 1998, Vol. 13(1): 5-22
[38] 胡郁．论内部控制在住房公积金管理中的运用[J]．审计与理财，2004(12)．
[39] 汪莉娜．从制度建设入手完善住房公积金的管理[J]．中国房地信息，2005(12)，P49．
[40] 关永宏．论住房公积金贷款存在的风险及其防范[J]．山西师范大学报，2005(11)．
[41] 买建国．个人住房抵押贷款被动违约风险控制方略[J]．浙江金融．2005(9)
[42] 赵江．美国的住房抵押信贷及风险控制[J]．中国金融，2001(3)：49-50
[43] 虞晓芬．美国的住宅抵押贷款保险体系及借鉴[J]．中国房地产金融，2000(11)：41-45
[44] Mike B & Tony D. Falling Out of Home Ownership: Mortgage Arrears and Defaults in Australia. University of Queensland Press for the Australian Housing and Urban Research Institute, Brisbane, 1999
[45] 马庆国．管理统计[M]．北京：科学出版社．2002
[46] 何晓群．现代统计分析方法与应用[M]．北京：中国人民大学出版社．1998
[注2] 北京住房公积金网．2004年住房公积金归集使用计划执行情况和2005年住房公积金归集使用计划．http://www.bjgij.gov.cn/zxqk.htm,2005-09-11查阅．
[注3] 华南理工大学课题组．广州住房公积金贷款管理制度改革问题课题研究报告[R]．华南理工大学法学院，2005-03-20．
[注1] 汪莉娜．从制度建设入手完善住房公积金的管理[J]．中国房地信息，2005(12)，P49．
[注1] Williams A, Beranek W &Kenkel). Default risk in urban mortgages: a Pitsburg prototype analysis. AREUEA Journal, 1974, Vol.2:101-112
[注1] 王福林．个人住房抵押贷款违约风险影响因素实证研究．浙江大学博士论文．2004：16-19
[注2] Vandell Kerry D. Default Risk Under Alternative Mortgage Instruments. The Journal of Finance, 1978, Vol. 33(5): 1279-1296
[注3] Campbell Tim S&J Kimball Dietrich. The Determinants of Default on Insured Conventional Residential Mortgage Loans. The Journal ofFinance, 1983, Vol. 38(5):1569-1581
[注4] Vandell Kerry D&Thibodeau Thomas. Estimation of Mortgage Defaults Using Disaggregate Loan History Data. AREUEA Joumal, 1985, Vol. 15(3): 292-316
[注5] Zom Peter M&Lea Michael J. Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data. AREUEA Journal, 1989, Vol. 17(1):18-136
[注1] Evans R, Maris B&Weinstein R. Expected Loss and Mortgage Default Risk. Quarterly Journal of Business and Economics, 1985, Vol. 24:75-92
[注2] Clauretie Terrence. The Impact of Interstate Foreclosure Cost Diferences and the Value of Mortgages on Default Rate. AREUEA Joumal, 1987, Vol. 15(3): 217-212
[注3] Quigley J&Van Order R. Defaults on Mortgage Obligations and Capital Requirements for U. S. Savings Institutions-a policy perspective. Journal of Public Economics, 1991, Vol A4: 353-390
[注4] 胡侠，虞晓芬．国外住房抵押贷款风险防范研究及实践[J]．中国房地产，2002(3)
[注5] 刘疆．美国个人住房贷款的评估与决策[J]．中国房地产金融，2001(8)：43-46
[注1] Webb Bruce G Borrower. Risk Under Alternative Mortgage Instruments. The Journal of Finance. 1982, Vol.37(1): 169-183
[注2] Burrows R. Mortgage Indebtedness in England: an "epidemio]ogyH". Housing Studes, 1998, Vol. 13(1): 5-22
[注1] 武洪玲．个人住房贷款风险及其防范[J]．安徽工业大学学报(社科版)，2004(3)．
注[1] 买建国．个人住房抵押贷款被动违约风险控制方略．浙江金融[J]．2005(9)
注[1] 冯晶．个人住房抵押贷款主动违约风险分析．财经科学[J]．2001(1)
注[1] 赵江．美国的住房抵押信贷及风险控制．中国金融，2001(3)：49-50
注[2] 虞晓芬．美国的住宅抵押贷款保险体系及借鉴．中国房地产金融，2000(11)：41-45
注[3] Mike B＆Tony D．Falling Out of Home Ownership：Mortgage Arrears and Defaults in Australia．University of Queensland Press for the Australian Housing and Urban Research Institute，Brisbane，1999
注[1] 从数据组成上看，有66户违约数据，254户正常贷款的数据。在本文的研究中，将逾期2期(包括2期)的数据作为违约数据处理。
注[1] 何晓群．现代统计分析方法与应用[M]．北京：中国人民大学出版社．1998
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