基于KMV模型的商业银行房地产贷款信用风险研究

传统的房地产信用风险定性评估方法缺乏客观、公允，难以有效地应对商业银行房地产信用风险计量与管理。选取深市十家上市房地产公司作为研究样本，分别设置绩优股、中等业绩股两个样本组，通过比较两个样本组的违约距离及预期违约率，发现KMV模型总体上能够度量我国上市房地产企业的信用风险水平。建立房地产企业征信系统及信用评级制度、引导房地产企业多元化融资模式、培养信用风险管理人才、建立信用风险数据库等是提高我国商业银行房地产贷款信用风险管理的重要措施。

Research on Credit Risk of Real Estate Business Based on the KMV Model

Qualitative assessment methods of traditional real estate credit risk is the lack of objective and fair, and is difficult to ef- fectively respond to the real estate credit risk measurement and management in commercial banks. Selected ten listed re- al estate company in Shenzhen as research samples, and set up two sample group of blue chip stocks, moderate perform- anee shares, compared the distance to default and expected default rates of the two sample groups, this paper finds KMV model is able to measure the level of credit risk of overall listed real estate enterprises in China. These measures should be used to improve credit risk management of real estate loans of commercial banks, such as establishing real estate en- terprise credit system and credit rating system, guiding the real estate business diversified financing model, training credit risk management personnel, and establishing database of credit risk.