商业银行房地产信贷业务压力测试理论与实践研究

发布时间：2018-03-21 05:10

本文选题：房地产　切入点：房地产信贷业务　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着巴塞尔新资本协议资本监管要求在我国商业银行的推广，《商业银行资本管理办法》的正式实施，对我国商业银行信用风险管理水平提出了更高要求。为保障监管资本充足率计量结果在市场极端情况下的有效性，压力测试、敏感性分析等方法将成为商业银行风险管理措施的重要补充。国际金融危机以来，房地产行业是我国宏观调控的重点行业，宏观经济形势下行、政策调控加紧必然会对房地产企业经营产生实质性影响。房地产企业信用风险加大，是否导致系统性风险的传染，，继而影响商业银行资产质量，应引起商业银行管理层以及银行业监管部门关注。本文深入分析了中国房地产行业的风险特征，阐述了商业银行开展房地产信贷业务压力测试的必要性；进而通过分析中国房地产行业特征，确定影响房地产企业经营的关键因素（施压变量），针对不同信贷产品特征，通过压力测试分析施压变量对房地产企业经营现金流的影响，计量商业银行房地产企业信贷产品以及与房地产行业有关的个人客户信贷产品可能面临的信用风险。在此基础上，提出房地产信贷业务管理等方面的建议，细化标准，制定房地产企业分类指导规则；加强商业银行财务及资本管理要求，提高商业银行风险抵御预期损失及非预期损失的能力。
[Abstract]:With the popularization of the capital supervision requirements of the Basel New Capital Accord in China's commercial banks, the measures for Capital Management of Commercial Banks have been formally implemented. In order to ensure the effectiveness of the measurement results of the capital adequacy ratio in the market, the stress test is put forward for the credit risk management level of the commercial banks in our country. Sensitivity analysis and other methods will be an important supplement to the risk management measures of commercial banks. Since the international financial crisis, the real estate industry has been the key industry of macro-control in China, and the macroeconomic situation is declining. The intensification of policy control will inevitably have a substantial impact on the management of real estate enterprises. If the credit risk of real estate enterprises increases, will it lead to the contagion of systemic risks, and then affect the asset quality of commercial banks? This paper analyzes the risk characteristics of China's real estate industry and expounds the necessity for commercial banks to carry out the stress test of real estate credit business. Then by analyzing the characteristics of real estate industry in China, the key factors (pressure variable) affecting the management of real estate enterprises are determined. According to the characteristics of different credit products, the influence of pressure variables on the operating cash flow of real estate enterprises is analyzed by stress test. On the basis of measuring the credit risks that commercial banks and real estate enterprise credit products and personal customer credit products related to the real estate industry may face. On this basis, some suggestions on the management of real estate credit business are put forward and the standards are refined. To establish the guidance rules for the classification of real estate enterprises, to strengthen the financial and capital management requirements of commercial banks, and to improve the ability of commercial banks to withstand the expected and unexpected losses.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45

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