【作者】 韦艳群；

【导师】 贤成毅；

【作者基本信息】 广西师范大学 ， 国民经济学， 2008， 硕士

【摘要】 信用风险一直是银行业,乃至整个金融业最古老最重要的风险形式,是金融机构和监管部门风险管理的主要对象和核心内容,它直接影响到现代社会经济生活的各个方面及全球经济的稳定与协调发展。信用风险管理也成为当今金融领域一个重要的课题,信用风险管理的首要工作和关键问题是如何对其进行测量和评估。在近几年里信用风险管理理论取得了突破性的发展,对信用风险分析方法从主观判断分析法和传统的财务比率评分法向以风险计量和风险优化为核心的全面风险管理趋势发展,并出现了一系列信用风险度量模型,如CreditMetrics模型、KMV模型、CreditRisk+模型以及Credit Portfolio View模型等。这一系列的风险度量方法对巴塞尔资本协议的不断完善起到了巨大的推动作用,这些方法在有关巴塞尔协议的文件中得到了充分的体现,并强调商业银行在信用风险的评估上要使用标准化法和内部评级法。《新巴塞尔资本协议》提倡各国银行通过内部评级体系的建设来开发信用风险计量模型,而且希望没有使用内部模型的银行能够建立自己的基于内部评级的信用风险评估模型。在我国,房地产业是第三产业的龙头产业,是我国国民经济中的主要产业,是我国启动内需、促进经济增长、改善人民生活的重要途径。因房地产业具有涉及面广、投资规模大、开发周期长、资本占用量大及收回时间慢,且资金项目具有专用性、集中性及异质性等特点,属于非常典型的资金密集型行业,房地产业的这些特点决定了其需要银行业的大力支持,因此,房地产贷款业务成为商业银行的一项核心任务。又由于房地产的这些特点,使得贷款人一旦违约将造成商业银行非常严重的损失。因此,商业银行对房地产业的信用状况进行及时分析并采取相应的应对措施是非常必要的。巴塞尔银行监管委员会要求各国商业银行在2006年底正式实施《新巴塞尔协议》,本文正是从《新巴塞尔协议》角度出发对我国商业银行房地产贷款信用风险管理进行研究。本文综合考虑了房地产信贷的特点,通过对各模型的比较之后,选择了基于现代理财和期权理论的KMV模型对我国房地产信贷的信用风险加以度量和预测。由于该模型以股票市场数据为基础,同时结合公司的财务数据,将市场信息融入模型中,这样可以及时为商业银行提供与公司实际情况较为符合的信用状况指标,具有很好的前瞻性。又由于房地产信贷随经济周期的起伏及市场变化有比较大的波动性,及时预测非常重要,所以该模型比较适合于对房地产市场信贷风险的预测。本文首先对房地产信贷及房地产信贷风险的相关概念做了解释,并分析其具有的一些特点及目前存在的问题;其次,本文分析《新巴塞尔协议》产生的背景、框架及其对我国房地产信贷的影响,巴塞尔银行监管委员会要求有条件实施《新巴塞尔协议》内部评级法的商业银行要使用内部评级法,而高级内部评级法的实施基础是当今世界上比较著名的几个信用风险管理模型,如CreditMetrics模型、KMV模型、CreditRisk+模型以及Credit Portfolio View模型等。因此,本文接着分析这四大模型,通过比较提出KMV模型比较适合于我国房地产信贷风险的度量;再次,本文从房地产上市公司中选取了绩优类和绩差类两组公司2005、2006年度及2007年1月至10月三年的数据运用MATLAB软件对KMV模型做出估计,KMV模型是基于上市公司股票的交易数据和基本财务数据,计算违约距离(DD)的长度,理论的结果是对于业绩优良的公司其违约距离应比较大,相应的预期违约率应比较小。反之,如果预期违约率比较大或违约距离比较小,这类公司的业绩应该比较差,从得出的实证结果与理论相符。因此,基于KMV模型对我国上市房地产公司进行实证分析的结果与实际情况还是比较吻合的。从实证结果中,本文还提出了哪些房地产公司是信誉比较好,而哪些是值得关注的;最后,本文针对我国房地产开发信贷风险方面存在的一些问题提出了相应的防范措施,即商业银行应根据国际经验,按照《新巴塞尔协议》的指引,分阶段积极主动地进行房地产贷款信用风险测度与管理体系的改革,建立全面风险控制体系,同时推进房地产信贷风险转移机制的创新。更多还原

【Abstract】 Credit risk is the most ancient and important form of risk for the banking or the whole financial industry, it is still the main target and core content of risk management for the financial institutions and Regulatory departments. It has a direct impact on the current socio-economic life in all aspects and the stability and coordinated development of the global economy. Credit risk management has become an important issue in the field of financial now. The priority and the key question of credit risk management is how to measure and assess its. In recent years, credit risk management theory have got a breakthrough develop, the development of credit risk analysis methods have changed from the subjective judgement and the traditional financial ratios score to comprehensive risk management.Risk measurement and risk optimization at the core of a comprehensive risk management trend which is to the core of risk measurement and risk optimization. A series of credit risk measurement model boom up at present, For example, Credit Metrics model, KMV model ,Credit Risk + model and Credit Portfolio View model, etc. This series of risk measurement methods has played a great role in promoting the Constantly improve of the Basel Capital Accord, These methods has been fully reflected in the Basel Accord document which stressed that the standardised method and the IRB should be used in commercial banks credit risk assessment. "The New Basel Capital Accord" advocated all the countries should build up credit risk measurement model through internal rating system and hoped that the Commercial Banks who did not use the internal rating model to establish their own credit rating based on the internal risk assessment model. In China, the real estate industry is a leading in the field of tertiary industry and have become major industries in the national economy, it is an important way to start domestic demand and promot economic growth and improve people’s livelihood. As the real estate have the characteristics of covers wide range, large-scale investment, long development cycle, occupy a large quantity of capital but slow recovery time, etc. and the capital projects has a dedicated, focused and heterogeneity characteristics. It is belong to the typical of capital-intensive industries, these characteristics of the real estate of determine that it strongly needs the banking industry to support, Therefore, the real estate loan business become a core mission to commercial bank. Because of these characteristics of real estate, once loan default would cause very serious damage to the commercial banks. Therefore, there is very necessary for the commercial banks to analysis the credit situation of the real estate industry and take measures to cope with it.Basel Committee on Banking Supervision required all commercial banks to implement "The New Basel Accord" in the end of 2006, This article is from the perspective of "The New Basel Accord" to research credit risk management of real estate loans in China’s commercial banks. After Considered the characteristics of the real estate credit and compared several kind of models, this paper select KMV model which is based on modern financial management and option theory to measure and predict the credit risk of China’s real estate credit, As the model based on the data of stock market and the company’s financial data, it Provide the company’s actual situation in the credit timely, so it have a good forward-looking. Also, the real estate credit have a big fluctuations according to the ups and downs of economic cycles and changes in the market, therefore, predict in a timely manner is very important. The model very appropriate to forecast the credit risk of real estate market. In the first part of this paper, the concept of real estate credit and real estate credit risk will be explained, and then analysis some of its features and its existing problems; In the second part, this paper analyzes the background and framework of "The New Basel Accord" and its impact on China’s real estate credit, Basel Committee on Banking Supervision require all the banks who meet conditions to implement the IRB Approach of "New Basel Accord", the implementation of the Senior IRB Approach is based on the world’s few well-known credit risk management model, for example, Credit Metrics model ,KMV model , Credit Risk+ model and Credit Portfolio View model, etc. so, the article will analysis these four models, and Proposed that the KMV model is suitable for China’s real estate and credit risk measurement. In the third section, This paper will choose the good performance and the poor performance of the two listed real estate companies, Using MATLAB software to estimate the KMV model through their 2005, 2006 and 2007 three years data. KMV model calculate the distance to default (DD) based on stock price and financial data of the listed companies, results should be that the excellent performance of the company have a lower expected default frequency or larger distance to default, on the contrary, if a company have a low distance to default or large expected default frequency, its performance should be poor. The empirical results subject to the theoretical line, therefore, the results of China’s listed real estate company Empirical Analysis based on KMV model is quite coincide with the actual situation. From the empirical results, the paper also proposed that a real estate company which is relatively good reputation, and which is worthy of our attention. In the last part, the paper proposed some corresponding preventive measures against a number of problems of China’s real estate credit risk. That the commercial banks should be based on international experience, and according to "The New Basel Accord" guidelines, proactive to carry out the reform to the real estate lending credit risk measurement and management system. Established comprehensive risk control system and promote the transfer mechanism of real estate credit risk for innovation.更多还原