The Study And Management On The Credit Risk Of Real Estate Development Loan Of Commercial Bank In China

CBRC set provisions flexibly that large domestic commercial banks implement the BaselⅡin 2010; requiring banks possess higher credit risk management skills. Despite the ratio of real estate development bad loan continued to decline in recent years, it was smaller than of the corporate loans. And we know the credit risk of real estate development loan have an incubation period. So it is of great significance to make a research on the real estate industry which is focused and closely related with people's livelihood.This paper always stood the position of the commercial bank and started the research from the profit formula of the commercial bank. This article held that the commercial banks must reduce the probability of default and expand the size of loans in order to maximize its profit. It analyzed from both the qualitative and quantitative perspective. Firstly from the qualitative point of view, since the house price is the most important determinant of PRD, the author analyzed how the house price are determined and what are the factors that affect the credit risk of real estate development loan by building the dynamic cobweb model.Secondly from the quantitative point of view, the author measured the credit risk from two aspects including the credit risk identification method (Z-score model) and credit risk measurement method (KMV model). Meanwhile, this paper conducted empirical study of the applicability of these two models while being applied in the real estate industry, the empirical research results showed that the KMV model was generally applicable and the function of Z-score model is applicable, but the Z critical value was invalid. Then the author made a simple amendment on the Z critical value and made empirical research once again for the new Z-score model. The empirical results showed that the new revised Z-score model can better identify the credit risk. Finally, the author summarized the key conclusions and made proposals against the credit risk of real estate development loan of commercial bank.