一种推导可服务性对违约风险相对影响的数学方法
A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk
摘要：
作者提出了一种数学方法来推导风险权重，描述了借款人的收入，相对于他们的还本付息义务（服务能力）影响贷款违约的概率。该方法认为，借款人的收入不仅是在发放贷款时的一个已知数量，而且是在贷款期限的后期某个时间点上遵循统计分布的一个不确定数量。这允许将概率与导致违约的收入水平相关联，从而可以量化与不同可服务性水平相关联的相对风险。在某种意义上，该方法可以被认为是默顿模型的扩展，用于不满足默顿关于有效市场假说的“关键”假设的数量。一组数值例子的风险权重使用的方法得出的建议，服务性可能是在许多抵押贷款信用风险模型的风险因素代表不足。
英文摘要：
The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the borrower's income not simply as a known quantity at the time the loan is made, but as an uncertain quantity following a statistical distribution at some later point in the life of the loan. This allows a probability to be associated with an income level leading to default, so that the relative risk associated with different serviceability levels can be quantified. In a sense, the Method can be thought of as an extension of the Merton Model to quantities that fail to satisfy Merton's 'critical' assumptions relating to the efficient markets hypothesis. A set of numerical examples of risk weights derived using the Method suggest that serviceability may be under-represented as a risk factor in many mortgage credit risk models.
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