基于GMDH-Monte Carlo模拟的个人住房贷款风险度量研究

发布时间：2018-05-02 16:56

本文选题：个人住房贷款风险 + GMDH　；参考：《中南大学》2013年硕士论文

【摘要】：随着1998年我国福利分房制度的逐步取消,以及鼓励城镇住房建设和消费,各大商业银行纷纷开展了个人住房抵押贷款业务,截至到2011年末全国个人住房贷款余额达到了7.93万亿元,是1998年底的85倍,而此期间我国的商业银行贷款总量仅增加了6倍多。个人住房贷款业务在给商业银行带来了丰厚利润回报的同时,风险也逐渐暴露出来。尤其近几年宏观经济的波动导致房地产市场剧烈的波动,在很大程度上影响到银行个人住房贷款业务,因此很有必要从宏观层面上对我国的个人住房贷款风险进行定量的分析研究。区别于以往的从宏观层面上仅对我国的个人住房抵押贷款风险提出预警及防范措施的研究方法,本文从个人住房贷款余额增长是否过快的角度定量分析我国个人住房抵押贷款风险。在研究过程中,把在金融领域应用广泛的蒙特卡洛模拟方法应用于实证研究,首先根据我国1997-2011之间的宏观经济数据以及个人住房贷款余额利用GMDH方法获得宏观经济变量和个人住房抵押贷款余额之间的关系函数；然后,利用Crystal Ball软件进行蒙特卡洛模拟,得出个人住房抵押贷款余额在2012-2015年分布统计结果；最后利用VaR的计算思想和国际经验警戒区间,从短期和长期两方面度量了我国的个人住房贷款风险。实证结果表明,用VaR方法得出我国2012年个人住房贷款的风险在99%的置信度下出现缓解,但随着置信度的下降,风险逐渐扩大；参照国际上经验警戒区间,即个人住房贷款同总贷款余额比值的警戒区间为18%-20%,发现若按照当前的增长速度,当置信度为99%时,我国在未来2-3年内将进入这一警戒区间,甚至可能超过最高警戒线。在此基础上,进行了压力试验,发现人均可支配收入增幅的大幅下降将会增加个人住房贷款的风险。根据本文的研究结果,提出了相关的政策和措施建议。
[Abstract]:With the gradual abolition of welfare housing allocation system in China in 1998 and the encouragement of urban housing construction and consumption, various major commercial banks have launched individual housing mortgage loan business one after another. By the end of 2011, the balance of personal housing loans in China had reached 7.93 trillion yuan, 85 times of that at the end of 1998, but the total amount of commercial bank loans in China only increased by more than six times during this period. Personal housing loan business has brought huge profit return to commercial banks, and the risks have been exposed gradually. In particular, the macroeconomic fluctuations in recent years have led to violent fluctuations in the real estate market, which to a large extent have affected the individual housing loan business of banks. Therefore, it is necessary to carry out quantitative analysis and research on the risk of personal housing loan in China from the macro level. Different from the previous research methods that only put forward early warning and preventive measures to the risk of personal housing mortgage loan in China from the macro level, This paper quantitatively analyzes the risk of personal housing mortgage loan in China from the point of view of whether the balance of personal housing loan increases too fast. In the course of the research, the Monte Carlo simulation method, which is widely used in the field of finance, is applied to the empirical research. Firstly, according to the macroeconomic data between 1997 and 2011 and the balance of personal housing loan, the relationship function between the macroeconomic variables and the balance of individual housing mortgage loan is obtained by using GMDH method. Then, Monte Carlo simulation is carried out by using Crystal Ball software. The statistical results of the distribution of personal housing mortgage balance in 2012-2015 are obtained, and the risk of personal housing loan in China is measured in the short and long term by using VaR's calculation idea and the warning range of international experience. The empirical results show that the risk of personal housing loan in China in 2012 is mitigated at 99% of the confidence level, but with the decrease of the confidence level, the risk gradually expands. That is, the warning range of the ratio of personal housing loan to total loan balance is 18-20. It is found that if the current growth rate is followed, when the confidence level is 99, China will enter this warning range in the next 2-3 years, and may even exceed the highest warning line. On this basis, a stress test was conducted and found that a sharp decline in per capita disposable income would increase the risk of personal housing loans. According to the research results of this paper, the relevant policies and measures are proposed.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.479;F224

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