我国上市银行房地产信贷风险以及防范研究

发布时间：2018-01-30 08:07

本文关键词： 商业银行房地产信贷违约率信贷风险防范　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：信贷资产占了银行总资产的很大一部分比例,而这却使得银行内部积聚了大量的风险,所以信贷风险的管理不容忽视。而近年来,随着“互联网+金融”的快速发展,我国整个金融环境发生了较大的变化,商业银行的信贷风险程度也不可避免地日益增加。再加上,我国商业银行与房地产市场密切相关,而房地产市场资金较密集且链条较长,因而房地产市场的微小变化直接影响到银行信贷的风险程度。所以,研究商业银行房地产信贷风险的有效管理并及时予以防范有着比较重要的意义。本文基于CPV模型,从上市银行的角度出发,从理论和实证两个角度对银行房地产信贷风险的管理以及防范进行了研究。理论方面,一是阐述了上市银行房地产信贷风险的理论内容。具体介绍了房地产信贷风险的特点、成因以及现状和问题;二是总结了商业银行信贷风险度量的理论方法。在回顾信贷度量方法定性到定量质的进步的基础上,对比分析了KMV、CR+、CM以及CPV模型这四种现代风险度量方法,得出了利用CPV模型进行信贷风险度量的结论,为下文的实证模型奠定了理论基础。实证方面,一是选择变量。基于CPV模型的假设,宏观经济系数选取了宏观景气一致指数、国房景气指数以及中长期利率三个变量,违约率用房地产不良贷款率来代替;二是建立模型。构建了我国上市银行信贷风险违约率与宏观经济系数之间相关关系的模型。通过研究我国17家上市银行2009年-2016年各个季度的公开数据,选择运用STATA软件进行面板回归模型分析。实证结果表明:中长期利率MLTIR和国房景气指数CERCI与违约率DP呈现正相关,而宏观经济景气指数MECI与违约率DP呈现负相关的关系。因此,本文以理论和实证分析为前提条件,从宏、微观不同的角度来予以防范。宏观方面,商业银行应该以风险最小化为原则,坚持审慎经营管理,同时遵循市场规律,适度调整信贷结构。微观方面,商业银行不仅应该加强房产贷款审核机制,杜绝盲目放贷,而且要进行业务创新,分散房地产贷款,更要严格进行压力测试,完善信贷风险管理体系。
[Abstract]:Credit assets account for a large proportion of the total assets of banks, but this makes banks accumulate a large number of risks, so the management of credit risk can not be ignored. And in recent years. With the rapid development of Internet finance, great changes have taken place in the whole financial environment of our country, and the degree of credit risk of commercial banks is inevitably increasing day by day. Commercial banks in China are closely related to the real estate market, and the real estate market is more capital intensive and longer chain, so the small changes in the real estate market directly affect the risk degree of bank credit. It is very important to study the effective management of real estate credit risk in commercial banks and to prevent it in time. Based on the CPV model, this paper starts from the perspective of listed banks. This paper studies the management and prevention of bank real estate credit risk from both theoretical and empirical perspectives. The first is to elaborate the theoretical content of real estate credit risk of listed banks. The characteristics, causes, current situation and problems of real estate credit risk are introduced in detail. The second is to summarize the theoretical methods of credit risk measurement of commercial banks. On the basis of reviewing the qualitative and qualitative progress of credit measurement methods, this paper compares and analyzes KMV / CR. CM and CPV model, four modern risk measurement methods, draw the conclusion that using CPV model to measure credit risk, which lays a theoretical foundation for the following empirical model. Based on the hypothesis of CPV model, the macroeconomic coefficient is divided into three variables: macroeconomic consensus index, national housing boom index and medium and long-term interest rate, and default rate is replaced by non-performing loan rate of real estate. The second is to establish a model. The relationship between credit risk default rate and macroeconomic coefficient of listed banks in China is established. Through the study of 17 listed banks in China from 2009 to 2016 in each quarter of the public. Open the data. The empirical results show that the long-term interest rate (MLTIR) and the national housing boom index (CERCI) are positively correlated with the default rate (DP). The macroeconomic boom index (MECI) is negatively correlated with default rate (DP). Therefore, this paper takes the theoretical and empirical analysis as the prerequisite to prevent it from macro and micro perspectives. Commercial banks should take the risk minimization as the principle, adhere to the prudent management, at the same time follow the law of the market, adjust the credit structure appropriately. Microscopically, commercial banks should not only strengthen the real estate loan audit mechanism. Put an end to blind lending, but also to carry out business innovation, dispersion of real estate loans, but also to strictly carry out stress testing, improve the credit risk management system.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.23;F832.4

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