發(fā)布時(shí)間：2018-03-11 13:22

  本文選題：巴塞爾協(xié)議Ⅲ　切入點(diǎn)：房地產(chǎn)信貸風(fēng)險(xiǎn)　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：20多年來我國房地產(chǎn)業(yè)飛速發(fā)展，取得了令人矚目的成就，如今房地產(chǎn)業(yè)已逐漸成為國民經(jīng)濟(jì)的支柱產(chǎn)業(yè)，在國民經(jīng)濟(jì)的發(fā)展過程中起到了非常重要的作用，如能拉動(dòng)內(nèi)需、提高人民生活水平、增加就業(yè)等。房地產(chǎn)業(yè)屬于資金密集型產(chǎn)業(yè)，而商業(yè)銀行又是我國房地產(chǎn)行業(yè)的資金主要提供者，因此房地產(chǎn)行業(yè)的變化直接影響商業(yè)銀行的經(jīng)營。所以銀行應(yīng)積極主動(dòng)地去判斷房地產(chǎn)企業(yè)的信用風(fēng)險(xiǎn)并進(jìn)行風(fēng)險(xiǎn)控制�！栋腿麪枀f(xié)議Ⅱ》提出符合條件的商業(yè)銀行應(yīng)該使用內(nèi)部評(píng)級(jí)法來度量信貸風(fēng)險(xiǎn)，國外商業(yè)銀行大多數(shù)已經(jīng)采用了內(nèi)部評(píng)級(jí)法，而我國商業(yè)銀行還主要停留在外部評(píng)級(jí)法階段。內(nèi)部評(píng)級(jí)法和我們以往銀行所采用的定性評(píng)級(jí)法不同，它側(cè)重于定量分析，因此，要推行《商業(yè)銀行資本管理辦法》，我國商業(yè)銀行應(yīng)加快實(shí)行內(nèi)部評(píng)級(jí)法，對(duì)信用風(fēng)險(xiǎn)進(jìn)行量化分析是我國商業(yè)銀行努力的方向。本文以我國房地產(chǎn)上市公司作為研究對(duì)象，運(yùn)用風(fēng)險(xiǎn)管理的經(jīng)典模型即KMV模型來對(duì)我國房地產(chǎn)企業(yè)的違約風(fēng)險(xiǎn)進(jìn)行度量，探討其在我國的適用性，并以此作為銀行放貸的一種依據(jù)，更好的進(jìn)行風(fēng)險(xiǎn)管理。KMV模型的運(yùn)用，，為我國商業(yè)銀行風(fēng)險(xiǎn)管理提供了一種內(nèi)部評(píng)級(jí)方法，順應(yīng)了《商業(yè)銀行資本管理辦法》的要求。 本文首先從宏觀和微觀的角度具體說明了我國房地產(chǎn)信貸風(fēng)險(xiǎn)的影響因素及形成機(jī)理，指出房地產(chǎn)行業(yè)信用風(fēng)險(xiǎn)測(cè)度和管理是該文要解決的問題；其次從現(xiàn)行的四大信用風(fēng)險(xiǎn)度量模型:CreditMetrics模型、KMV模型、CreditRisk+模型以及CPV模型中選擇比較適合的KMV模型；再次，結(jié)合《商業(yè)銀行資本管理辦法》對(duì)商業(yè)銀行內(nèi)部評(píng)級(jí)的要求，通過KMV模型對(duì)我國上市公司的績(jī)優(yōu)股和績(jī)差股進(jìn)行信用風(fēng)險(xiǎn)的實(shí)證分析，得出績(jī)差股公司的貸款違約率高于績(jī)優(yōu)類上市公司，并說明此模型在我國是適用的；最后提出了一些商業(yè)銀行房地產(chǎn)信貸風(fēng)險(xiǎn)的防范對(duì)策。
[Abstract]:Over the past 20 years, the real estate industry in our country has developed rapidly and made remarkable achievements. Now, the real estate industry has gradually become the pillar industry of the national economy, and has played a very important role in the development of the national economy, such as stimulating domestic demand. Raising people's living standards, increasing employment, etc. The real estate industry is a capital-intensive industry, and commercial banks are the main providers of funds for the real estate industry in our country. Therefore, the changes in the real estate industry directly affect the management of commercial banks. Therefore, banks should take the initiative to judge the credit risk of real estate enterprises and carry out risk control. Banks should use internal ratings to measure credit risk, Most foreign commercial banks have adopted the internal rating method, while our country's commercial banks are still mainly in the stage of external rating method. The internal rating method is different from the qualitative rating method used by our banks in the past. It focuses on quantitative analysis, so, In order to carry out the Capital Management measures of Commercial Banks, our country's commercial banks should speed up the implementation of internal rating method, and the quantitative analysis of credit risk is the direction of our commercial banks' efforts. This paper takes the listed real estate companies in China as the research object. The classic model of risk management, KMV model, is used to measure the default risk of real estate enterprises in our country, and its applicability in our country is discussed. As a basis of bank lending, the model of risk management. It provides an internal rating method for the risk management of commercial banks in China and conforms to the requirements of Capital Management of Commercial Banks. Firstly, this paper explains the influencing factors and forming mechanism of real estate credit risk from macro and micro angles, and points out that the measurement and management of real estate credit risk are the problems to be solved in this paper. Secondly, choose the more suitable KMV model from the four current credit risk measurement models:: CreditMetrics model / CreditRisk model and CPV model. Thirdly, combining with the requirements of Commercial Bank's Capital Management methods to the internal rating of commercial banks, Through the empirical analysis of credit risk of top shares and bad stocks of listed companies in China by KMV model, it is concluded that the default rate of outstanding shares is higher than that of outstanding listed companies, and the model is applicable in our country. Finally, some commercial banks real estate credit risk prevention countermeasures.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.45

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