我国商业银行信用风险压力测试分析--以某项房地产开发贷款为例.pdf

我国商业银行信用风险压力测试分析—— 以某项房地产开发贷款为例 中文摘要 从1998 年5 月9 日，中国人民银行出台《个人住房贷款管理办法》，到去年 三月出台的“新国五条”，我国房地产经历了无数次调整，房地产价格也随着调 控政策一路于上升，银行房地产贷款及风险迅猛增加„„，监管当局08 年金融 危机时出台《商业银行压力测试指引》，要求银行对房地产等重要行业开展压力 测试，但如今一些中小银行在这一块上仍然处于空白。本文通过阐述我国当前银 行业与房地产业发展背景，对压力测试的在银行风险管理中的应用研究进行回顾， 并对银行压力测试的基本概念和模型，以及压力测试流程和管理体系进行一般介 绍。以一家商业银行开展的某房地产开发贷款项目为案例，对此案例进行压力测 试以及对测试的可行性及优劣之处进行宏微观上的评析，最终得出此开发贷款项 目在极端情况发生时将面临信贷资产损失的风险，以及得出压力测试是一门艺术 而非科学和银行压力测试管理体系思路及责任体系清晰但缺乏效率的结论。并最 终给出针对该银行压力测试结论的具体建议以及针对我国开展压力测试工作和 房地产开发贷款的几点建议，以求能够推动压力测试在我国商业银行风险管理中 的应用和降低房地产开发贷款风险，增强我国银行业的稳定性。 关键词：压力测试 风险管理 信用风险 房地产开发贷款 I 我国商业银行信用风险压力测试分析—— 以某项房地产开发贷款为例 ABSTACT From May 9, 1998, the people's bank of China issued the measures for the management of personal housing loan, to march last year's "the five" new countries, real estate in our country experienced countless adjustment. And the house prices are rising along with polices in real estate are issued, real estate loans and risk increased rapidly... Regulators had introduced "commercial bank stress tests guide" to require bands conduct stress test in some important industry in 2008, such as real estate. But now some small and medium-sized Banks still do nothing. This article expatiates the development background of banking and real estate industry, reviews the research of stress test in the bank's risk management, and introduced the basic concept of bank stress tests and models, and general process and management system. Take a real estate development loans in a commercial bank as an example, and conduct stress test to the case. Then, we evaluate the advantages and disadvantages of the stress test in micro and macro. Finally, we come out that this case will lose some assets if the extreme circumstanc