基于调整的CreditMetrics模型房地产银行贷款在险价值的测算

发布时间：2018-01-16 04:22

本文关键词：基于调整的CreditMetrics模型房地产银行贷款在险价值的测算　出处：《中国海洋大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国房地产业的快速发展，我国商业银行房地产信贷业务逐年上升。据统计，2012年我国房地产企业使用资金总额为96538，其中国内贷款总额为14778，个人按揭贷款总额为10524，两者之合占其总资金的26%，房地产信贷业务已经成为我国商业银行的主要业务之一。房地产行业由于其资金需求量大、资金占用周期长、产业链长的风险特征，使得房地产银行贷款信用风险较大。房地产行业独特的信用风险特征使得房地产企业现金流量的管理直接影响企业的存亡，房地产企业的存亡又直接影响商业银行经营的安全稳定，因此加强房地产银行贷款的信用风险测度对商业银行的风险控制具有重要意义。本文基于Marek Capinski提出的现金流量模型，，对我国房地产上市公司违约率进行了测度，该模型为Merton期权模型的拓展，通过对比公司资产与负债得出违约条件，即当公司资产小于等于负债时将主动选择违约。运用随机过程模拟公司的资产价值变化，最终得出各上市公司违约概率。运用CreditMetrics模型对房地产银行贷款在险价值进行测算，与一般CreditMetrcs模型不同的时，各公司违约概率为现金流量模型测量得出，而非基于历史经验数据。通过将现金流量模型与CreditMetrics模型的有机结合，有效解决了模型对企业违约概率笼统假设的弊端，从而能够根据各企业的具体资产负债情况判断各企业的违约概率。实证结果表明，模型能够有效识别贷款资产组合信用风险，并能够得出贷款组合资产的在险价值，较传统方法更能准确反映资产组合信用风险的变化。调整的CreditMetric能够有效提高模型的适用性与准确性，具有较广泛的应用价值，尤其是在利率市场化背景下，金融市场对商业银行资产定价能力提出了更高的要求，模型得出的在险价值对银行经营管理具有重要应用价值。主要体现为信贷资产组合边际风险的测度、经济资本的确定、银行业绩的评估以及信用资产的定价。本文结合现金流量模型与CreditMetrics模型测算得出的在险价值，对提高商业银行资产定价水平，提升银行经营管理效率以及安全稳定具有重要意义。
[Abstract]:With the rapid development of China's real estate industry, the real estate credit business of commercial banks in China has increased year by year. According to statistics, the total amount of funds used by real estate enterprises in China is 96538 in 2012. The total amount of domestic loans is 14778, and the total amount of personal mortgage loans is 10524, which together account for 26% of its total funds. The real estate credit business has become one of the main business of commercial banks in China. Because of its large demand for funds, the long period of capital occupation and the long industrial chain, the real estate industry has the risk characteristics. The credit risk of the real estate bank loan is larger. The unique credit risk characteristics of the real estate industry make the management of the cash flow of the real estate enterprise directly affect the survival of the enterprise. The existence or failure of real estate enterprises directly affects the security and stability of commercial banks. Therefore, it is of great significance to strengthen the credit risk measurement of real estate banks to control the risks of commercial banks. Based on the cash flow model proposed by Marek Capinski, this paper measures the default rate of listed real estate companies in China, which is an extension of Merton option model. By comparing the assets and liabilities of the company to obtain the default conditions, that is, when the company's assets are less than equal to the liabilities, the company will actively choose default. The stochastic process is used to simulate the change of the value of the company's assets. Finally, the probability of default of each listed company is obtained. Using CreditMetrics model, the real estate bank loan value in risk is calculated, which is different from the general CreditMetrcs model. The default probability of each company is measured by cash flow model, not based on historical empirical data, by combining cash flow model with CreditMetrics model. It effectively solves the drawbacks of the general assumption of default probability in the model, so that it can judge the default probability of each enterprise according to the specific assets and liabilities of each enterprise. The empirical results show that. The model can effectively identify the credit risk of the loan portfolio and can get the value of the loan portfolio assets at risk. The modified CreditMetric can effectively improve the applicability and accuracy of the model, and it has wide application value. Especially in the context of interest rate marketization, the financial market has put forward higher requirements for the asset pricing ability of commercial banks. The risk value obtained by the model has an important application value to the management of the bank. It is mainly reflected in the measurement of marginal risk of credit portfolio and the determination of economic capital. This paper combines the cash flow model and CreditMetrics model to calculate the value at risk to improve the asset pricing level of commercial banks. It is of great significance to improve the efficiency of bank operation and management as well as safety and stability.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.45;F299.233.42

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