我国商业银行房地产开发贷款的信用风险度量研究

发布时间：2018-03-26 17:35

本文选题：房地产开发贷款　切入点：商业银行　出处：《湖南大学》2013年硕士论文

【摘要】：随着房地产业的高速发展，房地产信贷占银行总信贷的比重不断上升，银行房地产开发信贷面临着越来越大的潜在风险。房地产业是典型的资金密集型行业，其开发和经营的资金大部分来源于金融机构，发展严重依赖于商业银行的贷款，这使得房地产业的风险高度集中于银行体系。而目前我国商业银行对房地产贷款信用风险的准确度量和有效管理的滞后，也在无形中增加了商业银行的经营风险，本文主要研究在借鉴西方发达的信用风险度量技术的基础上，对如何优化我国商业银行计量房地产开发信贷资产风险的做出了探究，并为进一步加强我国房地产开发贷款信用度量及风险管控提出相应对策。国际信用风险管理领域逐渐发展出了一套完整的风险度量体系，这对于我国商业银行信用风险的量化管理具有一定的借鉴意义，，本文系统性地阐述了目前在国际上应用较为广泛的，同时具有较大影响力的KMV模型、Credit Metrics、CreditRisk+等信用风险度量模型的理论基础、度量方式以及在中国经济高速发展的大形势之下的适用性。选取了在现阶段较为适合我国经济发展状况的KMV模型为代表，运用实证的方法验证了现代信用风险度量方法在中国房地产开发市场的适用性，实证结果表明违约距离能从整体上区分房地产开发行业中的ST类公司与非ST类公司，能较好的反映出我国房地产业上市公司的信用变化状况，适合我国商业银行用来提高评估房地产开发信贷资金风险即房地产公司偿债能力的水平。但是本文也发现，可能是由于中国股市的非有效性和违约数据的缺乏问题，现代信用风险度量模型对于我国商业银行识别信用风险的能力是有限的，因此还需要不断夯实房地产信用风险的度量基础，提高商业银行精准度量水平，并结合我国的实际情况进行模型的修正和完善。
[Abstract]:With the rapid development of the real estate industry, the proportion of the real estate credit to the total bank credit is increasing, and the bank real estate development credit is facing more and more potential risks. The real estate industry is a typical capital-intensive industry. Most of the funds for its development and operation came from financial institutions, and development was heavily dependent on loans from commercial banks. This makes the risk of the real estate industry highly concentrated in the banking system. However, at present, the commercial banks in our country lag behind in the accuracy and effective management of the credit risk of real estate loans, which also increases the operational risk of the commercial banks invisibly. On the basis of the developed credit risk measurement technology in the west, this paper probes into how to optimize the commercial banks in our country to measure the risk of credit assets in real estate development. And put forward the corresponding countermeasures for further strengthening the credit degree and risk control of the real estate development loan in our country. The international credit risk management field has gradually developed a set of complete risk measurement system, which has certain reference significance for the quantitative management of the commercial bank credit risk in our country. This paper systematically expounds the theoretical basis of credit risk measurement model such as Credit Metrics CreditRisk, which is widely used in the world and has great influence. The method of measurement and its applicability under the situation of rapid economic development in China. The KMV model, which is more suitable for China's economic development at the present stage, is selected as the representative. The applicability of modern credit risk measurement method in Chinese real estate development market is verified by the empirical method. The empirical results show that the default distance can distinguish St companies from non-St companies in real estate development industry as a whole. It can better reflect the credit changes of listed companies in real estate industry in China, and it is suitable for commercial banks to improve the level of assessing the risk of real estate development credit funds, that is, the ability of real estate companies to repay their debts. Due to the non-validity of Chinese stock market and the lack of default data, the modern credit risk measurement model is limited to the ability of Chinese commercial banks to identify credit risk. Therefore, it is necessary to strengthen the measurement foundation of real estate credit risk, to improve the level of accurate measurement of commercial banks, and to modify and improve the model according to the actual situation of our country.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45

【参考文献】