基于期权理论的商业银行中小企业贷款信用风险定量压力测试方法

本文针对银行的中小企业贷款压力测试难以有效开展的实务性问题,提出并详细说明了采用期权理论来计量在不同假设情景下的违约概率变化量,来实现中小企业信用风险压力测试的方法,以及利用该方法实现自下而上地对中小企业信用风险进行定量压力测试的方案。最后以一个案例来辅助说明该方法的具体应用,以及对该方法的评价。     

商业银行房地产贷款信用风险压力测试研究——基于向量误差修正模型的实证检验

本文在分析我国房地产贷款信用风险特征的基础上,借鉴国内外的研究经验,搭建我国商业银行房地产贷款信用风险压力测试分析框架。在此框架内以某国有大型商业银行湖北分行房地产开发贷款为例,综合考虑压力测试方法和传统的风险价值方法各自的优缺点,结合向量误差修正模型和蒙特卡洛模拟方法构建房地产贷款的结构化模型,测算压力情景下的不良贷款率的风险价值,从动态的角度反应风险因子短期变动对其与不良贷款率长期均衡关系的影响。结果显示,在本文构建的压力测试框架下,就单一区域、单一房贷品种以及不考虑房地产相关行业影响而言,商业银行基本可以承受冲击导致的信用风险。     

Merton-Vasicek模型在我国中小商业银行房地产压力测试中的应用——以某地方性商业银行为例

自2008年次贷危机以来,房地产贷款一直是商业银行持续关注的高风险资产。我国监管当局多次下发文件要求商业银行开展与房地产相关贷款的压力测试工作。与其他压力测试一样,压力影响的计量模型是房地产压力测试的重要内容之一。随着我国新巴协议的逐步实施和信用风险内评方法在中小银行的逐步落地,利用评级结果计量压力影响的Merton-Vasicek模型越来越凸显出优势。本文在梳理国内外压力测试模型研究的基础上,参考国内现有压力测试实践研究成果,以某地方性商业银行数据为例,探讨Merton-Vasicek模型如何在我国中小商业银行房地产压力测试中有效应用。     

基于时变参数模型的银行信用风险与宏观经济形势的动态关系研究

压力测试是用于评价金融机构在极端冲击下的系统风险承担能力的一种风险量化分析工具,对金融机构的资产组合和风险管理具有重要意义。本文运用带随机波动的时变参数向量自回归模型,以CQ地区为例,以银行体系整体信用风险和房地产贷款信用风险作为研究对象,观察宏观经济因素与信用风险水平的动态关系,并对其进行宏观压力测试。研究结果表明,CQ地区银行体系的整体不良率在宏观经济增速下降和利率上升的情况下,依然能保持稳定;房贷不良率对加权贷款平均利率的上升也不敏感;CQ地区银行体系信用风险对宏观经济冲击的抗风险能力和对宏观经济冲击的缓释能力较强,总体运行较为稳健。     

金融机构房地产贷款的压力测试:以江苏省为例

房地产价格下行给金融机构贷款会带来多大风险?本文采用向量自回归方法,以江苏省的数据为例,实证分析房地产价格、成交量、利率变化对金融机构房地产贷款不良资产的影响,进行压力测试.文章认为在房地产萧条情形下,银行会受到较大打击,但银行可以承受,并通过压力测试.     

宏观经济数据影响下的信用风险压力测试研究

本文开展了宏观经济数据影响下的信用风险的压力测试。首先分析了影响信用风险相关的宏观数据与财务指标，比较了Logit模型和多元线性模型，提出了GDP产出缺口、贷款利率、汇率等宏观经济指标及有关财务比率。其次在考察宏观经济指标变化的基础上，设定了重度、特重压力指标。根据对江苏省金融数据的分析，本文认为在宏观经济重度压力指标下，商业银行信用风险压力测试结果表明形势严峻，会出现亏损，将给商业银行经营管理带来冲击和考验。     

房价下跌对我国商业银行个人住房信贷带来的冲击——基于银行压力测试房价敏感性分析方法

本文首先描述了当前房地产市场的现状和未来房地产市场的发展动向,随后介绍了个人住房贷款客户理性违约发生成本,最后着重论述了银行压力测试中针对房价因素的敏感性分析方法,并利用该方法对某股份制商业银行一级分行数据进行测试,判断了该分行在房价下跌的不同情景假设下承受风险的能力。     

动态视角下房地产贷款对银行业系统性风险溢出研究

基于Credit Metrics模型动态度量房地产贷款信用风险,运用双重ΔCoVaR模型分析框架量化其对单家银行风险的影响,以及对银行业系统性风险的溢出,将总体溢出分解为直接溢出和间接溢出,考量房地产贷款信用风险对银行业系统性风险的传导途径。结果显示：一方面,房地产贷款信用风险近年来整体呈上升趋势,且对银行业风险溢出显著,尤其是大规模债务违约和新冠疫情的爆发加剧了溢出效应。另一方面,房地产贷款信用风险的间接溢出大于直接溢出,且高(低)系统重要性银行产生了更大的间接(直接)溢出,表明高系统重要性银行由于与其他银行的业务联系密切,其贷款信用风险更易引发银行业内的连锁反应从而间接刺激风险爆发;低系统重要性银行因为依赖少数大型客户贷款,面临信用丢失时缺乏强劲的风险缓冲能力,更可能直接对银行业的稳定造成显著破坏。     

房价下行是否会引爆银行业危机?——涉房贷款估算与银行压力测试

2015年以来,随着货币政策的不断宽松、各地房地产调控政策的放松以及棚改等去库存政策的推进,中国房地产行业开启了新一轮的上行周期,房地产泡沫逐渐膨胀,其中的金融风险也在逐渐累积。本文测算了当前中国商业银行涉房贷款的规模及结构,并对中国商业银行进行了房价下跌的压力测试,以探讨当前银行及金融行业在多大程度上被房地产所"绑架"。文章得出的主要结论是:综合测算个人住房贷款、开发贷及以房地产作为抵押的贷款,当前中国商业银行涉房贷款规模接近总贷款的四成;不同类型银行的涉房贷款结构存在较大差异,其中大型银行涉房贷款的风险相对较低;根据压力测试的结果及其他定性考虑,本文认为房价下跌20%即会给银行业带来较大压力。展望未来,中国房价崩盘的概率较低,短期内房价横盘调整则在所难免,而房地产长效机制的建立则是其改革成败的关键。     

银行业信用风险宏观压力测试方法研究

三大信用风险模型在国际银行业宏观压力测试实践中被广泛使用,CreditRisk+要求数据较少且计算量较小但难以考虑贷款违约的行业相关性;CreditMetrics很好地考虑了违约行业相关性但要求数据较多且面对较大的贷款组合计算量过大;CreditPortfolioView建模过程中不需额外设计风险传导及情景模型,能直接用于宏观压力测试,但其损失分布计算量较前面2种模型都大。本文为了克服以上不足,在压力情景生成及风险传导部分采用分行业的CPV模型,信用风险计量部分采用违约概率固定的CreditRisk+计算损失分布。该压力测试方法考虑了贷款违约的行业相关性,数据要求较少且计算量小。     

Are real estate specializing depositories viable? Evidence from commercial banks

This study investigates whether depository institutions that concentrate on real estate lending are economically viable by examining the behavior of a sample of commercial banks that chose over the last decade to specialize in real estate lending. The results show that over the 1978–1988 period, the average real estate specializing bank earnings performance was on par with regular commercial banks, and those that were in the business for a longer period of time had higher returns with less risk than substantially more diversified commercial banks. Real estate banks has relatively lower loan losses and relatively higher proportions of lower risk, one- to four-family mortgage loans than regular commercial banks. Finally, it appears that real estate banks exhibited substantial flexibility in their ability to adjust their real estate loan holdings.     

房价波动中商业银行住房抵押贷款风险控制研究

随着我国房地产市场环境的变化,银行房地产贷款的风险也在不断变化。本文具体分析了房地产的特性及其价格影响因素、现阶段我国房地产业的困境、房价调整与银行贷款风险关系的特点,并对银行的风险管理提出相应建议。     

房贷集中度管理如何影响房地产与银行业?

过去十余年,房地产市场因上下游产业链条长,且横跨生产、消费、流通等领域,对经济增长发挥了拉动作用,但房地产资金与金融体系绑定较重,使其成为现阶段我国金融风险方面最大的"灰犀牛"。2020年12月31日,央行、银保监会联合发布《关于建立银行业金融机构房地产贷款集中度管理制度的通知》,明确建立银行业金融机构房地产贷款集中度管理制度,并对房地产贷款集中度管理制度的机构覆盖范围、管理要求和调整机制等做出明确要求,对房地产市场和银行业务影响深远。     

沈阳市房地产市场发展情况调查

截至2011年9月份,沈阳市房地产市场出现了明显变化,为了解房地产市场的这种变化对金融业的影响,本文选取了我市10家金融机构及12家房地产开发公司并对其进行了实地调研。调研显示：受国家宏观调控政策的影响,我市房地产成交量开始下降,但价格略有上升。由于我市房地产价格相对较低,市场刚性需求较多,房地产市场基本稳定,风险相对较小;银行积极执行国家宏观调控政策,对房地产行业潜在的风险意识增强,多家银行机构上调了房地产企业的贷款利率,追加了房地产企业的担保资金,目前房地产市场变化对我市银行业带来的风险相对较小,尚在可控范围。     

中国房地产企业间系统性风险溢出效应分析——基于尾部风险网络模型

本文以2007—2021年沪深A股上市房企为样本,首先基于SIM单指数分位数回归技术提出测量系统性风险的新指标SIM-CoVaR,并结合前沿的TENET网络模型,构造跨房地产企业风险动态传染的尾部风险网络,然后采用块模型探究房地产市场系统性风险溢出的聚类性、触发机制及传播路径,最后考察网络整体结构和宏观经济变量对房地产市场系统性风险溢出的影响。研究表明:(1)我国房地产企业间存在明显的系统性风险联动性和溢出效应,在市场动荡时期房地产部门是金融风险溢出的放大器;(2)评估系统重要性节点企业时,除考虑企业规模等内部属性,还应考虑房企间关联结构,利用系统性风险指数可有效捕捉网络中系统重要性节点;(3)跨房企的系统性风险溢出具有显著的聚类特征,尾部风险网络可被划分为4个不同的功能模块,各模块的成员及其角色呈现明显的时变特性,监管部门可据此从供给端“因企施策”;(4)网络聚集性、网络效率和网络匹配性的降低能显著降低房地产市场的系统性风险溢出效应。本文从企业微观层面探讨房地产市场风险的形成机制,为促进房地产业健康发展和防范化解宏观层面的系统性金融风险提供参考。     

The sensitivity of bank stock returns to real estate

According to the Federal Reserve Board, banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This increase in real estate lending has caused concern about the continuing economic health of banks on the part of state and federal regulators, since changes in real estate returns, evidenced by changes in property value, can potentially have a significant impact on bank default risk and profit-ability. However, concerned parties do not seem to have explicitly considered the relationship between mortgage default risk and the specific characteristics of real estate investments.This study examines the sensitivities of stock returns for different bank groups, based on the percentage of total loans in real estate and the percentage of loans in five different mortgage categories (construction and development loans, farmland loans, one- to four-family residential loans, multifamily residential loans, and nonresidential and nonfarm loans), to changes in real estate market returns. This is done by developing and using a three-index model.The results of this study indicate that bank stocks, overall, are very sensitive to changes in real estae returns. Banks, with a larger portion of their total loans invested in all types of real estate loans, except farmland loans, are most sensitive to changes in real estate returns.     

Characteristics of failed U.S. commercial banks: an exploratory study

This study uses survival analysis to determine how early the indications of bank failure can be observed. We find that banks with high loan to asset and high personal loan to assets ratios are more likely to survive. Older banks and banks with high real estate and agricultural loans, loan loss allowance, loan charges off and non‐performing loans to assets ratio are more likely to fail. It is possible to predict survival functions of <50% for failed banks, 3 years or less before failure. Moreover, we find that most of the variables present a behaviour that departs from Benford’s Law.     

Real Estate Brokerage Earnings: The Role of Choice of Compensation Scheme

One of the more interesting characteristics about the real estate brokerage industry is that workers are presented with a choice regarding the sort of compensation scheme under which they want to work. An overwhelming majority of workers choose what is referred to as a commission split scheme in which the salesperson splits any commission that they earn with a supervising broker that they generally are required to work under. In this case the firm provides office support and administrative services to the salesperson and, in return, the salesperson must split any commissions that they earn with the firm. Under the alternative compensation scheme, workers pay a substantial up-front “desk” fee to the firm and then are allowed to keep 100% of any commissions that they earn. In spite of the large volume of research on the determinants of real estate salesperson earnings, to our knowledge there are no studies analyzing the choice of compensation scheme and its impact on the earnings of real estate salespersons. This study uses data from the 2001 and 2003 Membership Surveys of the National Association of REALTORs® to analyze the impact of the real estate salespersons’ choice of compensation scheme on their earnings.     

限购政策是否降低了上市房地产企业价值？——基于强度双重差分法的经验研究

完善住房市场体系是国民经济中的重要议题,限购政策作为政府稳定和调节房地产市场的主要手段,对房地产企业以及住房市场体系建设均有重要影响。本文利用上市房地产企业2008—2013年以及2015—2019年的相关数据,通过构建强度双重差分模型实证分析了两轮限购对上市房地产企业价值的影响及其作用路径。实证结果表明:第一,两轮限购政策均显著降低了上市房地产企业市场价值,当企业在限购城市销售占比越大时,价值下降幅度越大;第二,从企业经营绩效来看,两轮限购对其实际盈利和营运能力并未产生显著影响,第一轮提高了企业偿债的经营风险,而第二轮只是影响了企业的资产增长能力;第三,两轮限购对房地产市场产生异质性影响,第一轮并未显著影响房价上涨,而第二轮则显著遏制了房价上涨;第四,从股票市场看,第一轮限购主要是通过企业经营风险影响投资者预期,而第二轮限购则是通过影响房价来改变投资者预期,这进一步凸显了“房住不炒”的政策作用。本文的研究意义主要体现在制定与推进政策时应关注预期的作用,这对于当前“房住不炒”政策的长期实施及其政策效果的长期稳定都具有一定启示。     

Neuausrichtung des Hypothekenkreditgeschäfts in der Lebensversicherung durch Kreditverkäufe

Loan portfolio sales represent a valid option to restructure the life insurer’s real estate loan business. Latest market experience gained by vendors from the German banking industry is positive as there has grown a liquid and professional market in Germany over the last few years. Some German life insurers have already utilised this market to sell loan portfolios and restructure their real estate loan business accordingly. Potential vendors from the insurance industry can rely on the given market experience and professional assistance to design the transaction process and the restructuring result efficiently.