Modelling the non-linear effects on loan-level prepayment rates: evidence from adjustable-rate equity loans

作     者：Yang, Hsien-Chueh Peter Liu, Chun-Te 

作者机构：Natl Kaohsiung First Univ Sci & Technol 2 Jhuoyue Rd Kaohsiung 811 Taiwan 

出 版 物：《JOURNAL OF INTERDISCIPLINARY MATHEMATICS》 (J. Interdiscip. Math.)

年 卷 期：2009年第12卷第3期

页      面：345-366页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Prepayment adjustable-rate home equity loans curtailment generalized additive model B-splines 

摘      要：This paper presents a generalized additive model to describe the non-linear effects of both the factors, the curtailment and the interest, on prepayment through retrieving the payment history of each adjustable-rate home equity loan (ARHEL). Unlike previous studies, we define the curtaihnent factor to be the accumulated amount of curtailment since loan origination and the interest factor to be the ratio of the loaned rate to the one-year deposit rate which precedes the former by three months. The sample consists of 1,246 ARHELs which were followed up between January 1999 to December 2000. Several research questions were addressed in this study, and the principal findings suggested that (1) the conditional probabilities of full prepayment would increase rapidly when the age of the loan reaches 10 years;(2) the full prepayment probabilities would decrease with the curtailment when the accumulated rate of curtaihnent stays below 60% of the scheduled principal and would increase rapidly when it reaches 85% of the scheduled principal;(3) the prepayment probability would increase with the amount of the loan and achieves its highest at about the amount of NT$ four millions;(4) the prepayment probability would increase with the ratio of contract rate to the lag three-month one-year deposit rate, and achieves the highest at the ratio of 4 and declines after that.