發(fā)布時(shí)間：2018-07-26 19:36

【摘要】：隨著我國城市化和現(xiàn)代化進(jìn)程，房地產(chǎn)行業(yè)伴隨國家高速經(jīng)濟(jì)增長經(jīng)歷了十多年蓬勃發(fā)展。而房地產(chǎn)行業(yè)作為資金密集型行業(yè)，銀行的房地產(chǎn)信貸資金支持發(fā)揮了不可替代的作用,在房價(jià)上漲時(shí)期，作為優(yōu)質(zhì)貸款，銀行發(fā)放了大量的房地產(chǎn)貸款。 房地產(chǎn)貸款的質(zhì)量受房地產(chǎn)市場(chǎng)波動(dòng)影響，尤其是宏觀的經(jīng)濟(jì)形勢(shì)。十多年間房屋價(jià)格逐年高漲，增幅遠(yuǎn)高于居民收入的增長水平。而房地產(chǎn)價(jià)格一旦大幅下降會(huì)影響到企業(yè)和個(gè)人的償債能力和意愿，信用違約風(fēng)險(xiǎn)增大。近兩年國家相繼采取金融、土地、稅收甚至直接行政限購等多項(xiàng)政策措施，，加強(qiáng)房地產(chǎn)市場(chǎng)的調(diào)控。隨著各項(xiàng)調(diào)控政策措施的貫徹落實(shí)，房地產(chǎn)市場(chǎng)走勢(shì)回穩(wěn)，房價(jià)環(huán)比下降的城市數(shù)增多，商品房開發(fā)銷售增速回落，銀行直接的反應(yīng)是不良貸款額和不良貸款率都出現(xiàn)了上升的趨勢(shì)。房價(jià)的下降對(duì)銀行房地產(chǎn)貸款質(zhì)量產(chǎn)生什么影響，銀行是否能夠承擔(dān)房價(jià)下跌帶來的沖擊成為人們關(guān)注的問題。 壓力測(cè)試是近年來興起的風(fēng)險(xiǎn)管理方法，由于可以做到定量分析預(yù)期外的損失，壓力測(cè)試是商業(yè)銀行經(jīng)常使用的前瞻性風(fēng)險(xiǎn)管理手段之一。本文用宏觀壓力測(cè)試的數(shù)量工具展開實(shí)證分析，即通過建立影響房地產(chǎn)貸款質(zhì)量的因素與銀行信貸資產(chǎn)安全指標(biāo)之間的數(shù)量模型，運(yùn)用宏觀歷史數(shù)據(jù)來精確量化兩者之間的數(shù)量關(guān)系，通過假設(shè)的情景對(duì)銀行房地產(chǎn)貸款質(zhì)量的沖擊，來衡量商業(yè)銀行承擔(dān)和吸收房貸損失的能力。 結(jié)果表明，壓力情景下銀行房地產(chǎn)貸款和房地產(chǎn)相關(guān)上下游行業(yè)貸款的不良貸款率均有一定幅度上升，但由于目前我國銀行業(yè)抗風(fēng)險(xiǎn)能力較強(qiáng)，房地產(chǎn)市場(chǎng)波動(dòng)對(duì)銀行業(yè)損益和資本的影響總體仍處于可控范圍內(nèi)。
[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.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.45;F224

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