Analyzing Mortgage Borrower Decision Behavior and Option Value by House Price and Interest Rate Diffusion Models

[[abstract]]在房貸資料不易取得下，本文利用蒙地卡羅模擬法模擬未來房價與利率之路徑，藉由Ambrose and Buttimer(2000)房貸訂價模型(利用借款人選擇權價值作判斷)為依據，在考慮延遲還款罰金(penalty)、差額求償判決(deficiency judgments)、信用成本(credit cost)等成本因素下，利用決策樹之方式設計二因子樹狀圖，用以推估借款人未來償付貸款決策的機率，以供貸款人對於借款者之還款行為做評估。最後，以敏感度分析探究不同變數對借款人還款決策之影響並且測試借款人是否會因貸款人採取損失減緩(Loss Mitigation)之程序，而誘使其在進入延期支付後能重新恢復繳款之情形。經由延期支付觀念的加入，以期能對房貸違約之情形提供更近一步之了解。[[abstract]]Because of the mortgage data is difficult to get We use Monte Carlo simulation to simulate the future price of the house and the path of the interest rate Meanwhile we use the basis of Ambrose and Buttimer (2000) of the mortgage-pricing model (using the borrower option value to make the judgment) that considering some costing factors for example penalty deficiency judgments credit cost etc Hence we can use the conception of decision tree framework to design two-factor tree Consequently we can surmise the probability of decision-making of the loans which will be reimbursed by the mortgagor in the future Thus lender can assess the mortgagor behavior of repayment In the end we will probe into different parameters to the borrower on the influence of decision with sensitivity analysis; moreover we will investigate the situation whether mortgagor will resume the repayment while postponing the payment because of the loss mitigation programs This article offer further understanding on the breach of mortgage contracts via the new additional concept of postponing the paymen