宏观压力测试在我国房地产贷款信用风险管理中的应用

发布时间：2018-07-26 19:36

【摘要】：随着我国城市化和现代化进程，房地产行业伴随国家高速经济增长经历了十多年蓬勃发展。而房地产行业作为资金密集型行业，银行的房地产信贷资金支持发挥了不可替代的作用,在房价上涨时期，作为优质贷款，银行发放了大量的房地产贷款。房地产贷款的质量受房地产市场波动影响，尤其是宏观的经济形势。十多年间房屋价格逐年高涨，增幅远高于居民收入的增长水平。而房地产价格一旦大幅下降会影响到企业和个人的偿债能力和意愿，信用违约风险增大。近两年国家相继采取金融、土地、税收甚至直接行政限购等多项政策措施，，加强房地产市场的调控。随着各项调控政策措施的贯彻落实，房地产市场走势回稳，房价环比下降的城市数增多，商品房开发销售增速回落，银行直接的反应是不良贷款额和不良贷款率都出现了上升的趋势。房价的下降对银行房地产贷款质量产生什么影响，银行是否能够承担房价下跌带来的冲击成为人们关注的问题。压力测试是近年来兴起的风险管理方法，由于可以做到定量分析预期外的损失，压力测试是商业银行经常使用的前瞻性风险管理手段之一。本文用宏观压力测试的数量工具展开实证分析，即通过建立影响房地产贷款质量的因素与银行信贷资产安全指标之间的数量模型，运用宏观历史数据来精确量化两者之间的数量关系，通过假设的情景对银行房地产贷款质量的冲击，来衡量商业银行承担和吸收房贷损失的能力。结果表明，压力情景下银行房地产贷款和房地产相关上下游行业贷款的不良贷款率均有一定幅度上升，但由于目前我国银行业抗风险能力较强，房地产市场波动对银行业损益和资本的影响总体仍处于可控范围内。
[Abstract]:With the process of urbanization and modernization in China, the real estate industry has experienced more than a decade of vigorous development with the country's rapid economic growth. The real estate industry as a capital-intensive industry, the bank's real estate credit fund support has played an irreplaceable role, in the period of rising house prices, as a good quality loans, banks issued a large number of real estate loans. The quality of real estate loans is affected by the volatility of the real estate market, especially the macro-economic situation. More than a decade of housing prices are rising year by year, the increase is far higher than the level of income growth. But once the real estate price drops sharply will affect the enterprise and the individual debt repayment ability and the willingness, the credit default risk increases. In the past two years, the government has adopted many policies and measures such as finance, land, tax and even direct administration to restrict purchase, so as to strengthen the regulation and control of the real estate market. With the implementation of various regulatory policies and measures, the trend of the real estate market has stabilized, the number of cities where house prices have fallen month on month has increased, and the growth rate of the development and sales of commercial housing has slowed down. The direct reaction of banks is that the amount of non-performing loans and the ratio of non-performing loans are both on the rise. Whether banks can bear the impact of falling house prices on the quality of bank real estate loans has become a question of concern. Stress testing is a new risk management method developed in recent years. Because of the quantitative analysis of unexpected losses, stress testing is one of the forward-looking risk management methods often used by commercial banks. This paper uses the quantitative tool of macro stress test to carry out empirical analysis, that is, by establishing a quantitative model between the factors affecting the quality of real estate loans and the bank credit asset safety index. Using macroscopic historical data to quantify the quantitative relationship between the two accurately, through the impact of hypothetical scenarios on the bank's real estate loan quality, to measure the commercial banks' ability to bear and absorb the loss of housing loans. The results show that the non-performing loan ratio of bank real estate loans and real estate related upstream and downstream loans has increased to a certain extent under the pressure scenario, but at present, the banks in China have strong ability to resist risks. The impact of real estate market volatility on banking profit and loss and capital is still under control.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.45;F224

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