基于巴塞尔协议Ⅲ的我国商业银行房地产信贷风险研究

发布时间：2018-03-11 13:22

本文选题：巴塞尔协议Ⅲ　切入点：房地产信贷风险　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：20多年来我国房地产业飞速发展，取得了令人瞩目的成就，如今房地产业已逐渐成为国民经济的支柱产业，在国民经济的发展过程中起到了非常重要的作用，如能拉动内需、提高人民生活水平、增加就业等。房地产业属于资金密集型产业，而商业银行又是我国房地产行业的资金主要提供者，因此房地产行业的变化直接影响商业银行的经营。所以银行应积极主动地去判断房地产企业的信用风险并进行风险控制。《巴塞尔协议Ⅱ》提出符合条件的商业银行应该使用内部评级法来度量信贷风险，国外商业银行大多数已经采用了内部评级法，而我国商业银行还主要停留在外部评级法阶段。内部评级法和我们以往银行所采用的定性评级法不同，它侧重于定量分析，因此，要推行《商业银行资本管理办法》，我国商业银行应加快实行内部评级法，对信用风险进行量化分析是我国商业银行努力的方向。本文以我国房地产上市公司作为研究对象，运用风险管理的经典模型即KMV模型来对我国房地产企业的违约风险进行度量，探讨其在我国的适用性，并以此作为银行放贷的一种依据，更好的进行风险管理。KMV模型的运用，，为我国商业银行风险管理提供了一种内部评级方法，顺应了《商业银行资本管理办法》的要求。本文首先从宏观和微观的角度具体说明了我国房地产信贷风险的影响因素及形成机理，指出房地产行业信用风险测度和管理是该文要解决的问题；其次从现行的四大信用风险度量模型:CreditMetrics模型、KMV模型、CreditRisk+模型以及CPV模型中选择比较适合的KMV模型；再次，结合《商业银行资本管理办法》对商业银行内部评级的要求，通过KMV模型对我国上市公司的绩优股和绩差股进行信用风险的实证分析，得出绩差股公司的贷款违约率高于绩优类上市公司，并说明此模型在我国是适用的；最后提出了一些商业银行房地产信贷风险的防范对策。
[Abstract]:Over the past 20 years, the real estate industry in our country has developed rapidly and made remarkable achievements. Now, the real estate industry has gradually become the pillar industry of the national economy, and has played a very important role in the development of the national economy, such as stimulating domestic demand. Raising people's living standards, increasing employment, etc. The real estate industry is a capital-intensive industry, and commercial banks are the main providers of funds for the real estate industry in our country. Therefore, the changes in the real estate industry directly affect the management of commercial banks. Therefore, banks should take the initiative to judge the credit risk of real estate enterprises and carry out risk control. Banks should use internal ratings to measure credit risk, Most foreign commercial banks have adopted the internal rating method, while our country's commercial banks are still mainly in the stage of external rating method. The internal rating method is different from the qualitative rating method used by our banks in the past. It focuses on quantitative analysis, so, In order to carry out the Capital Management measures of Commercial Banks, our country's commercial banks should speed up the implementation of internal rating method, and the quantitative analysis of credit risk is the direction of our commercial banks' efforts. This paper takes the listed real estate companies in China as the research object. The classic model of risk management, KMV model, is used to measure the default risk of real estate enterprises in our country, and its applicability in our country is discussed. As a basis of bank lending, the model of risk management. It provides an internal rating method for the risk management of commercial banks in China and conforms to the requirements of Capital Management of Commercial Banks. Firstly, this paper explains the influencing factors and forming mechanism of real estate credit risk from macro and micro angles, and points out that the measurement and management of real estate credit risk are the problems to be solved in this paper. Secondly, choose the more suitable KMV model from the four current credit risk measurement models:: CreditMetrics model / CreditRisk model and CPV model. Thirdly, combining with the requirements of Commercial Bank's Capital Management methods to the internal rating of commercial banks, Through the empirical analysis of credit risk of top shares and bad stocks of listed companies in China by KMV model, it is concluded that the default rate of outstanding shares is higher than that of outstanding listed companies, and the model is applicable in our country. Finally, some commercial banks real estate credit risk prevention countermeasures.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45

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