Study On Credit Risk Of Real Estate Loans Of Chinese Commercial Banks Based On CPV Model And Stress Testing

Because of the important effect of the real estate industry to the national economy,real estate deep dependence on bank credit.In the current real estate market adjustment background,the article researches from both theoretical and empirical analysis of credit risk dimensions of commercial bank real estate loans,and analysis Chiness real estate market to adjust more substantial asset quality of commercial banks in China will have a significant impact.Based on the CPV model,measure and predict credit risk of real estate loans of commercial banks.The results show that the model has strong applicability and accuracy for the measurement and prediction of default probability of real estate credit of Chinese commercial bank.Real estate loan credit risk of commercial bank is closely linked with macroeconomic conditions.In the deteriorating economic situation,real estate credit default probability rises,when the economic situation improves,real estate credit default probability declines.On the basis of theoretical explanations,apply firstly empirical analysis of the real estate industry and macroeconomic close contact,which is feasibility premise measured commercial bank real estate loan default probability changes by macroeconomic factors.Nine variables were selected from macroeconomic indicators of macroeconomic factors and the real estate industry conditions in two dimensions.By SPSS 19.0 software backward filtered method selectes five variables intended to eliminate multicollinearity between the explanatory variables and next a test parameter estimation and regression equations derived.Based on the regression equation,use scenario simulation under the assumption of stress testing,given the magnitude of changes in different explanatory variables,measure the rate of non-performing real estate loans of commercial banks,and then analyze macroeconomic factors in the extreme,but it is possible to change asset quality of Chinese commercial banks.The results show that the default probability of real estate loans of Chinese commercial banks is proportional to CPI,inversely proportional to GDP,Per capita income and consumer confidence index.This four variables at 15%change in extreme cases,current asset quality of Chinese commercial banks will be greater impacted.