房貸還款衝擊信用風險之探討

Credit Risks of Mortgage Payment Shock

在因次貸所引起的金融風暴後，金融界比過往更加重視信用風險的議題，而此風暴起源自房價的下跌導致房貸商品的大量違約。違約產生於兩個面向：無意願支付和無能力支付，有無意願支付和抵押品的價值有關；而有無能力支付則和家計的所得及月付額變動有關。過往的文獻多數是專注於分析前者，但事實上違約的發生，不僅牽涉於抵押品的價格，是否能還款的支付壓力更是一個重要的因素，換言之，估計房貸商品的信用風險，需要同時考慮還款支付壓力、房價趨勢、利率以及所得波動等因素。本研究對傳統型與非傳統型的房貸商品其信用風險進行比較，信用風險本身無形且難直接測量，所以必須找到一個衡量指標。本研究首先模擬這些房貸商品的現金流量，而後計算出兩個風險指標：負權益機率和月付額短缺機率，用以評估這些產品的信用風險。本研究結果顯示，次級房貸商品在壓力經濟情境下，將產生大量違約；而新金融商品住宅增值參與證券的發行則有穩定房屋市場的功能。 After the financial crisis have been arisen from the subprime mortgage since 2007, the credit risk issue becomes more important than before. The crisis began with high default rate of mortgage products which resulted from house price slumped. The default occurs in two aspects, no willingness to pay and no ability to pay. “Willingness to pay” is concerned with the collateral value and “ability to pay” is concerned with household income and monthly payment variation. Prior literature indicates that most analyses focus on no willingness to pay. However, the default occurs due to not merely collateral value fluctuation but the payment shock. In other words, estimating the credit risk of the mortgage products should consider the payment shock, the trade of house price, interest rate and household income. This study chooses some mortgage products to compare their credit risk including traditional and non-traditional ones. The credit risk is invisible and hard to measure. To find a proxy to estimate the credit risk is a must. By simulating the cash flow of these mortgage products and computing two risk indexes, probability of negative equity (PnegQ) and probability of liquidity shortage in mortgage payment (PSHORT), we could make a fairy approximation toward the credit risk. The results show that subprime mortgage products would easily induce default in stress-level economy and HAPNs, a financial innovation, would help stabilize the house market.