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1、学校代号10532学号S1118W105分 类 号密级专业硕士学位论文我国商业银行房地产开发贷款的信用风险度量研究学位申请人姓名孟旭培养单位金融与统计学院导师姓名及职称张强教授贺涛高级经济师学科专业金融学研究方向金融分析与管理论 文 提 交 日 期2013 年 4 月学校代号：10532学号：S1118W105密级：湖南大学湖南大学专业硕士专业硕士学位论文学位论文我国商业银行房地产开发贷款的信用风险度量研究学位申请人姓名：孟旭导师姓名及职称：张强 教授贺涛高级经济师培养单位：金融与统计学院专业名称：金融学论文 提 交 日 期：2013 年 4 月 15 日论文 答 辩 日 期：2013 年 5
2、 月 26 日答辩委员会主席：龙海明教授Research on the Credit Risk Assessment of Loans in Real StateDevelopment of Chinas Commercial BanksbyMENG XuB.M.(Hunan University of Science and Technology) 2011A thesis submitted in partial satisfaction of theRequirements for the degree ofMaster of FinanceinFinancein theGraduate
3、 SchoolofHunan UniversitySupervisorProfessor ZHANG QiangSenior economist HE TaoApril, 2013I湖 南 大 学学位论文原创性声明和本人郑重声明：所呈交的论文是本人在导师的指导下独立进行研究所取得的研究成果。除了文中特别加以标注引用的内容外，本论文不包含任何其他个人或集体已经发表或撰写的成果作品。对本文的研究做出重要贡献的个人和集体，均已在文中以明确方式标明。本人完全意识到本声明的法律后果由本人承担。作者签名：日期：年月日学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定，同意学校保留
4、并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借阅。本人授权湖南大学可以将本学位论文的全部或部分内容编入有关数据库进行检索，可以采用影印、缩印或扫描等复制手段保存和汇编本学位论文。本学位论文属于1、保密，在_年解密后适用本授权书。 2、不保密。（请在以上相应方框内打“”）作者签名：日期：年月日导师签名：日期：年月日专业硕士学位论文II摘 要随着房地产业的高速发展，房地产信贷占银行总信贷的比重不断上升，银行房地产开发信贷面临着越来越大的潜在风险。 房地产业是典型的资金密集型行业，其开发和经营的资金大部分来源于金融机构，发展严重依赖于商业银行的贷款，这使得房地产业的风险高度集中于
5、银行体系。而目前我国商业银行对房地产贷款信用风险的准确度量和有效管理的滞后， 也在无形中增加了商业银行的经营风险，本文主要研究在借鉴西方发达的信用风险度量技术的基础上，对如何优化我国商业银行计量房地产开发信贷资产风险的做出了探究，并为进一步加强我国房地产开发贷款信用度量及风险管控提出相应对策。国际信用风险管理领域逐渐发展出了一套完整的风险度量体系，这对于我国商业银行信用风险的量化管理具有一定的借鉴意义，本文系统性地阐述了目前在国际上应用较为广泛的， 同时具有较大影响力的 KMV 模型、 Credit Metrics、 CreditRisk+等信用风险度量模型的理论基础、 度量方式以及在中国经济
6、高速发展的大形势之下的适用性。选取了在现阶段较为适合我国经济发展状况的 KMV 模型为代表，运用实证的方法验证了现代信用风险度量方法在中国房地产开发市场的适用性，实证结果表明违约距离能从整体上区分房地产开发行业中的 ST 类公司与非ST 类公司，能较好的反映出我国房地产业上市公司的信用变化状况，适合我国商业银行用来提高评估房地产开发信贷资金风险即房地产公司偿债能力的水平。但是本文也发现，可能是由于中国股市的非有效性和违约数据的缺乏问题，现代信用风险度量模型对于我国商业银行识别信用风险的能力是有限的，因此还需要不断夯实房地产信用风险的度量基础，提高商业银行精准度量水平，并结合我国的实际情况进行模
7、型的修正和完善。关键词：房地产开发贷款；商业银行；信用风险；KMV 模型我国商业银行房地产开发贷款的信用风险度量研究IIIAbstractThe problem of risk control in real state credit comes along with the developmentof real state industry at high speed and the increase of the proportion of real statecredit in the total credit in banks. The real state industry is a
8、 typical one, in whichfunds are highly gathered. Most parts of funds in its opening-up and running are fromfinancial structures and its development is terribly depends upon the loans given bycommercial banks, which makes risks in real state industry highly concentrate in bankstructures. Whats more,
9、at present, Chinas commercial banks lack exact assessmentsof risks in real state credit and effective managing methods. All those issues haveadded up to the management risks in commercial banks. On the base of the well- builtmethods of credit risk assessment in western countries, this paper research
10、es on theproblem of how to strengthen the credit assessment and risk control in Chinas realstate industry, and further more, probes into assessment methods, which is suitable forChinas banks when they evaluate risks of credit properties in real state industry.Nowadays, a set of complete model system
11、 is coming into being in internationalmanagement field of credit risk. That is helpful for reference to the quantificationmanagement of credit risks lying in Chinas commercial banks. At present, in theworld, there exist some influential and widely-used models of credit risk, such asKMV, Credit Metri
12、cs, Credit Risk+, which are somewhat suitable in the situation ofhighly-developed economy in China. By means of empirical study, this paper, takingMKV as an example, tries to verify the suitability of modern credit risk models inChinas real state industry. The result of empirical research shows that
13、 the defaultlength can , as a whole, identify ST companies and non-ST companies, tell the creditsituation of listed companies in Chinas real state industry and is useful for Chinascommercial banks to assess credit risks of real state. At the same time, this paper findsthat the assessment models of m
14、odern credit risk are limited in the ability for Chinascommercial banks to verify credit risks. Therefore, some more works needs to be done,such as continuing to develop and perfect capital markets, improving the managementsystem of credit risks and revising and completing the models according to Chinaspractical situation.Key words: Real Estate Development Load; Commercial Bank; Credit Risk; KMVmodel专业硕士学位论文IV目录学位论文原创性声明和学位论文版权使用授权书. I摘 要.IIAbstract.III插图索引.VII附表索引.VIII第 1 章 绪 论.
