本文關(guān)鍵詞：基于調(diào)整的CreditMetrics模型房地產(chǎn)銀行貸款在險價值的測算　出處：《中國海洋大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 房地產(chǎn)企業(yè) 銀行貸款 現(xiàn)金流量模型 CreditMetrics模型 在險價值

【摘要】：隨著我國房地產(chǎn)業(yè)的快速發(fā)展，我國商業(yè)銀行房地產(chǎn)信貸業(yè)務(wù)逐年上升。據(jù)統(tǒng)計(jì)，2012年我國房地產(chǎn)企業(yè)使用資金總額為96538，其中國內(nèi)貸款總額為14778，個人按揭貸款總額為10524，兩者之合占其總資金的26%，房地產(chǎn)信貸業(yè)務(wù)已經(jīng)成為我國商業(yè)銀行的主要業(yè)務(wù)之一。房地產(chǎn)行業(yè)由于其資金需求量大、資金占用周期長、產(chǎn)業(yè)鏈長的風(fēng)險特征，使得房地產(chǎn)銀行貸款信用風(fēng)險較大。房地產(chǎn)行業(yè)獨(dú)特的信用風(fēng)險特征使得房地產(chǎn)企業(yè)現(xiàn)金流量的管理直接影響企業(yè)的存亡，房地產(chǎn)企業(yè)的存亡又直接影響商業(yè)銀行經(jīng)營的安全穩(wěn)定，因此加強(qiáng)房地產(chǎn)銀行貸款的信用風(fēng)險測度對商業(yè)銀行的風(fēng)險控制具有重要意義。 本文基于Marek Capinski提出的現(xiàn)金流量模型，，對我國房地產(chǎn)上市公司違約率進(jìn)行了測度，該模型為Merton期權(quán)模型的拓展，通過對比公司資產(chǎn)與負(fù)債得出違約條件，即當(dāng)公司資產(chǎn)小于等于負(fù)債時將主動選擇違約。運(yùn)用隨機(jī)過程模擬公司的資產(chǎn)價值變化，最終得出各上市公司違約概率。運(yùn)用CreditMetrics模型對房地產(chǎn)銀行貸款在險價值進(jìn)行測算，與一般CreditMetrcs模型不同的時，各公司違約概率為現(xiàn)金流量模型測量得出，而非基于歷史經(jīng)驗(yàn)數(shù)據(jù)。通過將現(xiàn)金流量模型與CreditMetrics模型的有機(jī)結(jié)合，有效解決了模型對企業(yè)違約概率籠統(tǒng)假設(shè)的弊端，從而能夠根據(jù)各企業(yè)的具體資產(chǎn)負(fù)債情況判斷各企業(yè)的違約概率。實(shí)證結(jié)果表明，模型能夠有效識別貸款資產(chǎn)組合信用風(fēng)險，并能夠得出貸款組合資產(chǎn)的在險價值，較傳統(tǒng)方法更能準(zhǔn)確反映資產(chǎn)組合信用風(fēng)險的變化。調(diào)整的CreditMetric能夠有效提高模型的適用性與準(zhǔn)確性，具有較廣泛的應(yīng)用價值，尤其是在利率市場化背景下，金融市場對商業(yè)銀行資產(chǎn)定價能力提出了更高的要求，模型得出的在險價值對銀行經(jīng)營管理具有重要應(yīng)用價值。主要體現(xiàn)為信貸資產(chǎn)組合邊際風(fēng)險的測度、經(jīng)濟(jì)資本的確定、銀行業(yè)績的評估以及信用資產(chǎn)的定價。本文結(jié)合現(xiàn)金流量模型與CreditMetrics模型測算得出的在險價值，對提高商業(yè)銀行資產(chǎn)定價水平，提升銀行經(jīng)營管理效率以及安全穩(wěn)定具有重要意義。
[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.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.45;F299.233.42

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