Small And Medium-sized Bank Real Estate Loan Pressure Test Method And Application Research

Since the1970s, the global financial crisis is frequently, the impact of the crisis will continue to increase. People have come to realize the market appears extreme crisis,(" thick tail events ") to the probability of much higher than expected, the financial markets and institutions in extreme conditions of survival ability is also far than expected fragile. China’s real estate market since2007into the rapid development stage, until in2010, the state has many in real estate industry for the tightening measures to regulate and stable real estate market. But, under the state’s macro-regulation, house prices and interest rates of bank risk factors change the security of real estate loans is facing new challenges. Especially small and medium-sized Banks due to many of the scale and area, credit quality and other aspects, which make face greater potential risks. Pressure test as the tail risk analysis of risk management tools, and help to prospective of its real estate loans to small and medium-sized Banks prospective risk management, so as to improve the Chinese small and medium-sized Banks against extreme events or macro economic fluctuations, the ability to ensure that the impact of China’s financial industry and even the entire macroscopic economy healthy and steady development.This article in view of China’s small and medium-sized Banks real estate loans pressure test work started late and lack of standard methods, and combined with the characteristics of small and medium-sized Banks, I try to put forward their own characteristics for small and medium-sized Banks pressure test method of real estate loans. The specific content and conclusion is as follows:First of all, to the current real estate market in China and the macro environment of small and medium-sized Banks microscopic characteristics of real estate loans to describe the analysis, and points out that in the context of the current situation of the small and medium-sized Banks for real estate loans the necessity and pressure testSecondly, the real estate loans of the small and medium-sized Banks subdivided into personal housing loan and real estate development loans, according to the characteristics of small and medium-sized Banks and combining with the macro environment respectively, the pressure of trying to design corresponding test method. Personal housing loan to the top-down method, using the Wilsom statistics of measurement model framework to outstanding loans and housing value ratio (CLTV) and residents income debt service ratio (CDSR) for conduction house prices and interest rates, test factors in extreme cases for small and medium-sized Banks personal housing loan default rate (PD), and other parameters influence the degree. According to the real estate development loan is using bottom-up method, using the financial model calculation by each project in extreme cases, and then to collect the profit and loss, and concluded that all kinds of extreme cases of small and medium Banks after a year of non-performing loans of balance;At last, the selection of the typical A bank case analysis, the method of pressure test will be used to practice, and in the light of the test results from the credit risk management policy, limit, combination risk management, the credit management process, internal rating model modification, this paper puts forward the related Suggestions.