【摘要】：我國商業(yè)銀行與房地產(chǎn)市場密切相關(guān)，房地產(chǎn)市場行情直接影響到銀行信貸資產(chǎn)質(zhì)量及風(fēng)險(xiǎn)撥備。近年來，隨著房地產(chǎn)市場調(diào)控力度不斷加碼，房價(jià)泡沫隨時(shí)可能破裂。常規(guī)風(fēng)險(xiǎn)管理工具已無法滿足金融機(jī)構(gòu)的風(fēng)險(xiǎn)管理需求，壓力測試作為對尾部信用風(fēng)險(xiǎn)的度量，已經(jīng)被放在與Var同等重要的位置。世界銀行與IMF于1999年聯(lián)合推出FSAP計(jì)劃，利用壓力測試工具來度量一些“極端但可信”的小概率事件對金融體系的沖擊。我國于2009年正式啟動(dòng)FSAP項(xiàng)目并已經(jīng)多次組織對我國銀行金融機(jī)構(gòu)進(jìn)行總體及分項(xiàng)壓力測試。在此背景下，本文試圖運(yùn)用壓力測試工具對商業(yè)銀行貸款的細(xì)分領(lǐng)域——房地產(chǎn)貸款進(jìn)行信用風(fēng)險(xiǎn)分析。 本文運(yùn)用理論研究和實(shí)證分析相結(jié)合的方法，首先對壓力測試的國內(nèi)外相關(guān)文獻(xiàn)及實(shí)踐進(jìn)行了較為系統(tǒng)的梳理；然后從不同角度對我國商業(yè)銀行房地產(chǎn)貸款的信用風(fēng)險(xiǎn)進(jìn)行分析；在此基礎(chǔ)上，，選用Credit Portfolio View模型作為理論模型，對我國商業(yè)銀行房地產(chǎn)貸款的信用風(fēng)險(xiǎn)進(jìn)行實(shí)證分析，選取了十余家銀行的貸款不良率作為樣本數(shù)據(jù)來源，并根據(jù)實(shí)際經(jīng)濟(jì)運(yùn)行情況選取了相關(guān)的宏觀經(jīng)濟(jì)變量進(jìn)行協(xié)整分析，結(jié)果發(fā)現(xiàn)只有GDP增長率，房價(jià)變動(dòng)率和中長期貸款利率這三個(gè)指標(biāo)結(jié)果顯著。且GDP增長率和房價(jià)變動(dòng)率與不良率呈負(fù)相關(guān)，而貸款利率與不良率呈正相關(guān)，其中貸款利率的作用強(qiáng)度最大。然后根據(jù)模型擬合結(jié)果，設(shè)計(jì)壓力情景進(jìn)行貸款不良率和信貸損失預(yù)測，結(jié)果顯示在不同的壓力強(qiáng)度下房貸不良率都有不同程度的上升。最后根據(jù)壓力測試結(jié)果對我國商業(yè)銀行的信用風(fēng)險(xiǎn)管理提出相關(guān)的政策建議。
[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.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.45

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