本文首次构建了基于非参数随机森林(rAndOM fOrEST,rf)的住房贷款违约风险评估模型,利用某大型银行个人住房贷款数据,研究了借款人特征、贷款特征、房产特征和经济文化特征等因素对贷款违约的影响。实证研究发现已偿还比例、利率、贷款收入比、额度等是贷款违约最重要的影响因素,并且rf方法的预测准确率明显高于lOgISTIC模型等其他方法。此外,本文还研究了利率调整对贷款违约的影响,发现利率对违约率的影响是负方向的,且呈不对称性和非线性。This paper proposed a housing mortgage default risk forecasting model based on non-parametric random forest at first.Then by using the housing mortgage database from a big famous bank in China,this paper studied the effect of housing mortgage default according to borrowers' characteristics,loan characteristics,housing characteristics and local economic and cultural characteristics.The empirical study found that the proportion which had been repaid,interest rate,ratio of loan to income,loan amount were the most important factors.The results also showed the prediction accuracy of RF were much higher than other methods such as logistic regression.In addition,this paper also studied how the interest rate affected mortgage default,finding that interest rate had negative effect,which were asymmetry and nonlinear,on the mortgage default
