Study Metric Is Based On Individual Loan Risk GMDH-Monte Carlo Simulation Housing

With the phasing of welfare-oriented public housing distribution system in1997and the encouragement of the urban housing construction and consumption, the major commercial banks have greatly launched individual housing mortgage business. By the end of2011, national individual housing loan has reached7.93trillion as85times as that of the end of1997. However, the loan of all the commercial banks during that time only increased six times. The rapid development of personal housing mortgage loans of the commercial banks makes great profits for the commercial banks, but the risk is gradually exposed. Especially in recent years, macroeconomic volatility has led to dramatic fluctuations in the real estate market, which affects bank personal housing loan to a large extent. Therefore, it is necessary from a macro perspective to make a quantitative analysis of the risk of individual housing loans.In this paper, there include the theoretical analysis and empirical study. Different from the past study, which just only provides the warning and preventive measures from a macro perspective, quantitative analysis of individual housing mortgage risks is executed. VaR theory widely used in the financial field serves the empirical research of this paper. First of all, based on the macroeconomic data between1997-2011in China and the balance of the personal housing mortgage loans, GMDH method is used to create a function revealing the relationship between the macroeconomic variables and the individual housing mortgage loans; then the Monte Carlo simulation with the help of the Crystal Ball is used to find out the distribution statistics in the next year; Finally, VaR calculation ideology and international experience guard interval are used to identify the individual housing mortgage loans. In2012, the risk of personal housing loan maybe ease, but with decline of the confidence the risk will be increased. On this basis, there is carried out a pressure test. According to the international experience and taking the pace of development of personal housing loans into account, the ratio is very likely to enter the alert interval, which is18%-20%.