基于CPV模型的我国商业银行房地产信贷风险压力测试

发布时间：2018-09-05 18:59

【摘要】：我国商业银行与房地产市场密切相关，房地产市场行情直接影响到银行信贷资产质量及风险拨备。近年来，随着房地产市场调控力度不断加码，房价泡沫随时可能破裂。常规风险管理工具已无法满足金融机构的风险管理需求，压力测试作为对尾部信用风险的度量，已经被放在与Var同等重要的位置。世界银行与IMF于1999年联合推出FSAP计划，利用压力测试工具来度量一些“极端但可信”的小概率事件对金融体系的冲击。我国于2009年正式启动FSAP项目并已经多次组织对我国银行金融机构进行总体及分项压力测试。在此背景下，本文试图运用压力测试工具对商业银行贷款的细分领域——房地产贷款进行信用风险分析。本文运用理论研究和实证分析相结合的方法，首先对压力测试的国内外相关文献及实践进行了较为系统的梳理；然后从不同角度对我国商业银行房地产贷款的信用风险进行分析；在此基础上，，选用Credit Portfolio View模型作为理论模型，对我国商业银行房地产贷款的信用风险进行实证分析，选取了十余家银行的贷款不良率作为样本数据来源，并根据实际经济运行情况选取了相关的宏观经济变量进行协整分析，结果发现只有GDP增长率，房价变动率和中长期贷款利率这三个指标结果显著。且GDP增长率和房价变动率与不良率呈负相关，而贷款利率与不良率呈正相关，其中贷款利率的作用强度最大。然后根据模型拟合结果，设计压力情景进行贷款不良率和信贷损失预测，结果显示在不同的压力强度下房贷不良率都有不同程度的上升。最后根据压力测试结果对我国商业银行的信用风险管理提出相关的政策建议。
[Abstract]:China's commercial banks are closely related to the real estate market, which directly affects the quality of bank credit assets and risk provisions. In recent years, as the real estate market regulation and control efforts continue to increase, housing bubble may burst at any time. Conventional risk management tools can no longer meet the risk management needs of financial institutions. As a measure of tail credit risk, stress testing has been placed in the same position as Var. The World Bank and IMF launched the FSAP program in 1999, using stress testing tools to measure the impact of "extreme but credible" small-probability events on the financial system. China officially launched the FSAP project in 2009 and has organized a number of overall and itemized stress tests on Chinese banking and financial institutions. Under this background, this paper attempts to use the stress test tool to analyze the credit risk of real estate loan, the subdivision of commercial bank loan. In this paper, the theoretical research and empirical analysis of the method combined, first of all, the domestic and foreign pressure testing literature and practice are systematically combed; Then it analyzes the credit risk of commercial bank real estate loan from different angles. On this basis, the Credit Portfolio View model is selected as the theoretical model to analyze the credit risk of commercial bank real estate loan in China. The loan failure rate of more than ten banks is selected as the sample data source, and the relevant macroeconomic variables are selected for cointegration analysis according to the actual economic operation. The results show that only the GDP growth rate is found. House price change rate and medium-and long-term loan interest rate these three index result is remarkable. The growth rate of GDP and the change rate of house price are negatively correlated with the bad rate, while the loan interest rate is positively correlated with the bad rate, in which the effect of loan interest rate is the greatest. Then according to the model fitting results, design the pressure scenario to predict the loan failure rate and credit loss, the results show that under different pressure intensity, the mortgage loan failure rate has different degrees of increase. Finally, according to the results of the stress test, the paper puts forward some policy suggestions on the credit risk management of Chinese commercial banks.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.45

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