商业银行房地产贷款信用风险压力测试研究

发布时间：2018-01-30 23:11

本文关键词： 信用风险压力测试假设情景　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：房地产行业是一个涉及面极广的资金密集型行业,同时也是国民经济的支柱产业房地产行业的快速发展有力地促进了房地产融资体制的发展,在房地产行业的发展过程中,逐步形成了以银行信贷为主,资本市场、民间借贷等融资工具为辅的房地产融资体系。目前银行信贷在整个金融体系中的比重不断上升.其影响力也逐渐增强,银行信贷为房地产行业的发展提供了强大的资金支持,同时也承担着房地产行业所带来的信用风险。本文运用压力测试的方法开展实证分析,通过建立房地产行业相关风险因子与银行房地产贷款不良贷款率之间的模型,运用历史数据量化风险并得出传到关系,设计压力情景,并考察在房地产行业不景气的情况下,对商业银行的资产质量所造成的影响.以及商业银行承担和吸收房地产贷款损失的能力。研究结果表明：利率、GDP增长率、房地产价格和房地产开发投资额是影响商业银行房地产贷款质量的重要因素；当商业银行所面临的经济形势恶化,其信用风险会大幅增加,但由于我国房地产行业尚未经历一个完整的衰退周期,且监管的力度不断加大,在假设的压力情境下,银行的贷款损失准备金可以吸收房地产行业下滑带来的直接损失。
[Abstract]:Real estate industry is a very wide range of capital-intensive industries, but also the pillar industry of the national economy, the rapid development of real estate industry has promoted the development of real estate financing system. In the development of the real estate industry, gradually formed a bank credit, capital market. Private lending and other financing tools supplemented by the real estate financing system. At present, the proportion of bank credit in the entire financial system is rising, and its influence is gradually increasing. Bank credit provides strong financial support for the development of the real estate industry, but also bears the credit risk brought by the real estate industry. This paper uses the method of stress test to carry out empirical analysis, through the establishment of real estate industry related risk factors and bank real estate loan non-performing loan ratio model. Use historical data to quantify risk and reach the relationship, design pressure scenarios, and investigate the real estate industry recession. The impact on the asset quality of commercial banks, and the ability of commercial banks to absorb and absorb real estate loan losses. The results show that the growth rate of GDP, the real estate price and the investment in real estate development are the important factors that affect the quality of real estate loans of commercial banks. When the economic situation of commercial banks deteriorates, its credit risk will increase significantly, but the real estate industry in our country has not experienced a complete recession cycle, and the intensity of supervision is increasing. In a hypothetical stress scenario, banks' loan loss reserves can absorb direct losses from the downturn in the real estate sector.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.45;F293.3;F224

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