The Research On Measurement And Forecast Of Real Estate Credit Risk

Credit risk is a dominate risk which banks are confronted with since long time ago. While the industry of real estate pays a main role in basic industries of the economics, which is an important approach to stimulate the economic growth and develop the people's living condition. In the modern society, the credit business of real estate is a corn task in each commercial bank. With the high development of real estate, the banks invest more and more in it. As a result, the bad credit of the real estate increases and becomes the high risk industry. Thus, it's necessary to make a suitable plan to recognize and defense the credit risk of real estate. The ability to control and manage the risk is related with the stability of the bank system and the development of the economic growth. With the development of econometrics and computer technology, credit risk management is changing from traditional qualitative analysis to quantitative analysis and many major financial organizations introduced various credit management models in order to improve the ability of controlling and forecasting to credit risk. In China, commercial banks are still utilizing the traditional ways, while just beginning to use the modern ones to analyze credit risk.This paper considers the characteristic of the real estate credit and goes from the view of analyzing the macroeconomics varies, then chooses the most suitable model of credit risk measurement——Credit Portfolio Risk model to measure and forecast the credit risk of real estate. First of all, this paper gives some details for the related concepts of real estate credit and especially points out that"New Basel Accord"stimulates the development of credit risk management well. Secondly, it reviews the development of credit risk management and compares the four major credit risk models. It combines with the conditions in Chinese commercial banks to show the advantage of using CPV model to measure and forecast the credit risk of real estate. Thirdly, in term of choosing three macroeconomic varies (Composite Leading Indicator, China Real Estate Climate Index and Enterprise Climate Index) and the transformation value of the default probability of real estate credit, this paper gives anestimate of CPV model with the'Eviews'soft. By comparing the fitted value and real value of the default probability of real estate credit, it shows the efficiency of CPV model measuring the credit risk of real estate. Then, this model is used to forecast the default probability of real estate of each month in 2006. Finally, basing on the international defense ways of real estate credit risk, this paper gives the domestic ones.This paper can come to a conclusion that, CPV model is full of high rationality and efficiency to measure and forecast the default probability of real estate credit risk and can offer the robust references for the commercial banks to defense the credit risks. Meanwhile, it also confirms that default probability is linked to economy closely. When the economy worsens, default increases; when the economy becomes stronger, default decreases...