Research On The Macro Stress Testing Method About Risk-management Of Real Estate Finance

U.S. sub-prime mortgage crisis had rooted in high risk of the real estate industryand real estate credit market derivatives. With the immature mechanism of China’sreal estate market and real estate finance system， the banking sector， as the mainfinancing entities of the real estate industry in China， suffered great systematicfinancial risk for the expansion of real estate credit and rapid growth of housingprices. The enhancement of risk management was needed. During the post-financialcrisis period the macro stress testing， as an innovative risk management tool， drewcommercial banks’ and regulators’ attentions. It is necessary to carry out real estatecredit macro stress testing in the background of prudent management in banking.Through studying literatures on domestic and international pressure test method，based on the current development of real estate industry and real estate finance inChina， a systematic research about macro stress testing on China’s real estate creditassets.Real estate credit assets can be divided into real estate business loans andhousing loans to individuals by borrowers. Respectively， these two types of systemicrisk assets were designed to stress test model. For the loans given to the real estatecompanies， we analyses of the impact on the probability of default withmacroeconomic factors by logit transformation and multiple linear regression model.Empirical results show that house prices， interest rates， GDP growth and real estatefixed investment growth had a significant impact on probability of default. For theloans given to house consumers，we analyzed that housing prize played a role inaffecting probability of default，by constructing COX model and the extended model.Empirical results show that house prices have a significant impact on the probabilityof default of real estate personal loans.Based on the stress models above， we construct sensitivity analysis. And inaccordance with the realities of China’s macro-economic and real estate industry， wedesigned stress scenarios， created pressure test of a case study on the real estatecredit assets scenarios.The sensitivity analysis showed that the fluctuations of China’sreal estate credit asset risk was influenced largely by the real estate asset price and theimpact of fixed asset investment growth， influenced less by interest rates and GDPgrowth. The stress test scenario analysis results show that when house prices fell by 30percent， China’s banking system accumulated real estate financial systemic risk isa possible outbreak.