商业银行房贷风险度量方法有效性研究.docVIP

题目：中国商业银行房贷风险度量方法的有效性研究 摘 要 本文主要研究了中国商业银行房地产开发贷款风险的度量，并努力探索出了比较有效的度量方法。由于房地产的不断开发，我国房地产业发展迅速，房地产贷款逐渐成为中国商业银行的重要贷款业务，同时伴随着房地产贷款的风险也是商业银行面临的一个劲敌。基于这个背景下，本文主要从风险度量方法的比较方面对房地产贷款进行研究。 本文先对我国的房地产贷款现状和房地产贷款风险作了简介，介绍了房地产贷款形成的原因、特点以及几种分类，而后提出了两种信贷风险度量方法即Z值模型与KMV模型，并且分别介绍了这两种模型的具体应用程序及优缺点。最后本文通过实证分析，以相关实际数据分别代入两种模型中计算出相应的房地产贷款理论违约率即代表理论风险，然后通过将理论违约率与房地产贷款实际违约率及实际风险进行比对分析确定两个理论违约率中较接近实际违约率的一个作为更加准确的预期违约率，而相对应的风险度量方法则作为更加有效的房地产贷款风险度量方法。比较结果显示，KMV模型是本文介绍的两种模型中较为有效的房地产风险度量方法。 关键字：商业银行；房地产贷款风险度量方法；有效性 Abstract This paper studies the Chinese commercial banks in real estate development loan risk measure, and efforts to explore a more effective measure. Due to the continuous development of real estate, the rapid development of China real estate, real estate loans has gradually become an important Chinese commercial banks lending, accompanied by the risk of real estate loans is the commercial banks are facing a rival. Against this background, this paper mainly on real estate loans from the comparison of the risk measurement methods research. This article first made ??real estate loans of Chinas current situation and real estate lending risk profile, causes, characteristics, and several classifications of real estate loans, and then proposed two types of credit risk measurement methods, Z values ??of the model and the KMV model, and describes the specific applications and the advantages and disadvantages of these two models. Finally, through empirical analysis related to the actual data were substituted into the two models to calculate the corresponding real estate loans theoretical default rates, which represents the theory of risk, and then by the actual default rate and the actual risk of the theoretical default rates and real estate loans than the the analysis to determine the two theories, the default rate is closer to the actual default rate as a more accurate expected default, while the corresponding risk measure as a more effective real estate lending risk measurement met