| 商业银行房地产贷款信用风险定量压力测试方法研究 |
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| 引用本文： | 沙磊,焦桂梅.商业银行房地产贷款信用风险定量压力测试方法研究[J].南方金融,2011(5). |
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| 作者姓名： | 沙磊 焦桂梅 |
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| 作者单位： | 1. 中国民生银行博士后工作站,北京,100038
2. 山东大学经济学院,山东济南,250012 |
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| 摘 要： | 本文针对银行业房地产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境下的违约概率变化量,以实现房地产贷款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房地产贷款信用风险进行定量压力测试的方案。最后,本文以一个案例来辅助说明上述方法的具体应用,以及对该方法的评价。
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| 关 键 词： | 商业银行 期权 房地产贷款 信用风险 压力测试 |
Quantitative Stress Testing Method for Risk of Commercial Banks' Real Estate Loan |
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| Sha Lei,Jiao Guimei.Quantitative Stress Testing Method for Risk of Commercial Banks' Real Estate Loan[J].South China Finance,2011(5). |
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| Authors: | Sha Lei Jiao Guimei |
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| Institution: | Sha Lei1 and Jiao Guimei2(1.Post-doctoral Work Station,China Minsheng Bank,Beijing,100038 China,2.School of Economics,Shangdong University,Jinan,250012 China) |
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| Abstract: | According to difficulties in effective stress testing for risk of commercial banks' real estate loan,a method which uses option theory to measure customer default probability change by given assumptive scenes is proposed in this paper.The scheme which uses this method to realize bottom-up stress testing for credit risk of real estate loan is introduced,and a case that uses the scheme is explained and assessed. |
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| Keywords: | Commercial Bank Option Real Estate Credit Risk Stress Test |
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