成都市商业银行的房地产贷款压力测试
|
摘要
商业银行是经营风险的特殊机构,有效的识别和控制风险对现代商业银行至关重要。随着金融全球化的迅速发展,金融服务的创新与各种金融衍生品的推广使全球银行业都面临着前所未有的机遇与风险,我国国内商业银行之间竞争也越来越激烈,然而我国的商业银行不论是风险管理的理念,还是技术、方法等都与发达国家的银行存在差距。在对银行的监管方面,由于国际金融危机、经济危机、主权债务危机等频频爆发,加上我国的金融业逐步开放,我国对商业银行的监管要求越来越严厉,为了加强对极端风险的把握,2007年我国正式开始在全国推广商业银行的压力测试。压力测试是一种以定量分析为主的风险分析方法,通过测算商业银行在遇到假定的小概率事件等极端不利情况下可能发生的损失,对商业银行风险管理体系的脆弱性做出评估和判断,进而及时采取必要措施防范和管控风险。近几年我国有些城市房地产价格大幅上涨,大大超过了居民的支付水平,我国政府愈发加紧对房地产行业的宏观调控,鉴于银行在整个房地产行业融资的重要地位以及房地产行业的风险会给银行带来的影响,银监会多次下发通知,要求各银行对房地产贷款的风险进行压力测试,并公布了部分银行压力测试的结果,引起了激烈的讨论,由于具体测试的流程、指标的选取和模型的设定等都未公布,部分人对压力测试的结论提出了怀疑。在这种情况下,本文以成都市房地产市场为例,选取了两个银行分别进行同样情景下的压力测试,进而说明房地产市场的变动会对不同规模的银行造成的影响。首先,本文分析了商业银行风险管理理论发展的几个阶段以及压力测试这一现代风险管理的方法的理论形成和在我国的应用情况,提倡在我国的国有商业银行、股份银行、城市商业银行等存款类金融机构推广压力测试,目前压力测试技术在国有银行推广情况良好,但股份银行、城市商业银行推进较慢。其次,本文分析了我国房地产市场,特别是成都市的商品住宅市场发展历程及近几年的房屋成交量和房价走势,并对不同的历史时期政府在房地产市场上采用的不同政策加以总结。我国从20世纪80年代开始逐步建立符合市场经济机制的住房体制,实现了传统的福利分房制度向住房的商品化和社会化转变,21世纪初期中央和各地政府均大力支持商品房的建设,使得我国的房地产以及其相关产业快速的发展壮大,越来越多的资金投入其中。伴随着房地产业的高速发展和我国住房制度改革取得的的一系列成果,显现出了土地囤积、房地产市场过热、投机炒作等问题,进而引发了政府的干预,从2005年开始,国家先后出台了“前国八条”,“后国八条”和“国六条”,提出要高度重视稳定住房价格的工作。紧接着07年的调控政策更加严厉,央行也多次上调人民币贷款利率,使得08年各地商品房销售的量、价纷纷下跌,又由于08年全球性金融危机的影响,下半年我国税收政策、货币政策开始宽松,使得09年房地产市场成交量放大,房价持续上涨,有的城市更是过快上涨,远远超过居民支付能力。成都市由于受到08年强震的影响,为了城市的发展和稳定居民信心,成都市政府出台了“非常十条”和“蓉八条”降低相关税费并给与补贴,积极支持居民购房,成都市房屋成交量和房价开始回升,09年更是大幅上涨。在宽松的政策下,房价一路高涨,投机炒房愈演愈烈,为遏制过度投机2010年国家开始严厉打击投机炒房,并收紧了相关政策,2011年“新国八条”提出在房地产调控上要落实地方政府的责任,各地先后出台了调控政策和限购令。从近几年的房地产市场发展来看,我国的房地产市场特别是商品住宅市场对宏观经济政策依赖性高、波动性较强,而我国未来房地产市场的相关调控政策将仍然坚持稳定房价、加快保障性住房建设的政策发展方向,在土地政策、金融、税收等政策上均从严、从紧,坚决防范投机炒作。紧接着本文分析了影响房地产市场的风险因素,包括：政策风险、市场风险和区域性风险,以及房地产市场对商业银行的影响,由于商业银行在房地产市场上的贷款主要有对房地产开发企业的土地储备贷款、房地产开发贷款,以及对个人购房的个人住房贷款,一方面房地产开发企业的高负债经营和违规融资加大银行风险；另一方面,随着房地产市场各种风险的的加大,个人住房贷款违约的风险也增加,一旦房地产市场产生大的波动,对我国金融市场无疑也会造成巨大的影响。本文在分析了影响房地产市场的因素及房地产行业的发展对商业银行的影响的基础上采用成都市两个商业银行的数据建立向量自回归模型模型,选取的指标包括：成都市住宅成交面积、成都市住宅交易均价、5年期以上贷款利率和银行贷款规模、不良贷款率,样本区间从2007年1月至2011年2月。在模型的基础上构建了轻、中、重度压力的三种情景对银行的不良贷款率的变动情况进行了分析。从VAR模型和压力测试的结果来看,国有大型银行的风险水平不仅受到短期因素的影响,更重要的是受到中长期因素的影响,短期影响源于自于银行自身的风险管理水平和对贷款规模的安排,长期的影响更多来源于相关政策的变动以及其引起的市场供求关系的变动,并且这些风险因素对银行风险水平的长期影响将在今后的半年,甚至更长的时期内存在。而城市商业银行主要受各风险因素的短期影响较为明显,一方面,银行受自身风险管理水平和贷款规模的影响较明显,另一方面,受到短期政策和市场的冲击明显,特别是贷款利率上涨时其不良贷款率明显上升。通过对模型和压力测试结果的分析,本文提出了相应的政策建议：一是监管当局要积极推广压力测试技术,应在国际压力测试相关规范的基础上,制定出适合我国国情的压力测试规范和标准,督促商业银行,特别是中小银行构建多因素情景分析的测试模型,严格执行定期上报的规定,并在适当时候将压力测试结果公开接受大众和舆论的监督,另外各银行的高层也应当予以重视,在银行内部建立相应的部门,储备风险管理与金融计量的人才,积极与国际上先进银行交流合作；二是商业银行特别是一些城市商业银行和农村商业银行应当加强数据的收集和整理,引入先进的信息技术,有了客观真实的数据才能很好的建立模型进而计量风险,控制风险；三是对贷款业务引入抵押、质押、信用证等风险缓释工具,对一些风险较高的业务,引入担保、信用违约互换等信用衍生产品和信用保险,当发生违约时,银行的损失由外部机构部分或全部代偿,降低银行的风险；四是要加强城市商业银行和农村商业银行风险管控,同时也要提供适当的政策优惠帮助中小银行剥离不良资产和补充资本；五是在加强商业银行风险管理的同时,严格规范房地产市场,控制房价,使中央和地方的各项政策落到实处。
Commercial-banks are special institutions operate risk, it is essential to modern commercial bank to identify risk effectively and control it. With the rapid development of financial globalization, the innovation of financial services and the promotion of various financial derivatives, the global banking industry is facing unprecedented opportunities and risks, competition among domestic commercial banks in China more and more intense, but whether the concept of risk manage-ment, or technology, methods and so there is a gap with the developed countries banks. In the supervision of banks, since the international financial crisis, econ-omic crisis, sovereign debt crisis broke out frequently, China's commercial banks increasingly stringent regulatory requirements, in order to strengthen the grasp of extreme risk, In 2007, China began a nationwide promotion of stress test to com-mercial banks formally. Some cities in China in recent years, real House prices rise much higher than the pay level of the residents, our government increasingly intensified macro-control on the real estate industry, In this case, we take the real estate market in Chengdu for example, and two banks were selected to conduct the same stress test scenarios, and then explain the changes in the real estate market will result in difference of banks. Firstly, the paper analyzes the theoretical deve-lopment of commercial bank risk management and the modern theory of risk management approach—tress testing, to promote state-owned commercial banks in China, shares of banks, city commercial banks to do the stress test. Secondly, the paper analyzes the real estate market, especially the development of Chengdu's commercial housing market in recent years, the housing process and the volume and price movements, summarize different policies the government adopted in different historical periods in the real estate market, From the development of the real estate market in recent years, China's real estate market, especially the comm ercial housing market, high dependence on macroeconomic policies, strong volatility. Then, the paper established a VAR model, the selected indicators include: residential sales area of Chengdu, the average price of residential transactions, more than 5-year loan rate and bank lending, non-performing loan ratio, and based on the model constructed in the three scenarios of non-performing loan ratio of banks to stress test。Finally, the paper puts forward corresponding policy recom-mendations:First, the regulatory authorities to actively promote stress testing techniques; Second, commercial banks, especially some city commercial banks and rural commercial banks should strengthen data collection and collation; and the third is the introduction of mortgage lending, Pledge, letter of credit and other risk mitigation instruments; fourth is to strengthen risk management and control of the city commercial banks and rural commercial banks; Fifth, strictly regulate the real estate market, control prices。
Commercial-banks are special institutions operate risk, it is essential to modern commercial bank to identify risk effectively and control it. With the rapid development of financial globalization, the innovation of financial services and the promotion of various financial derivatives, the global banking industry is facing unprecedented opportunities and risks, competition among domestic commercial banks in China more and more intense, but whether the concept of risk manage-ment, or technology, methods and so there is a gap with the developed countries banks. In the supervision of banks, since the international financial crisis, econ-omic crisis, sovereign debt crisis broke out frequently, China's commercial banks increasingly stringent regulatory requirements, in order to strengthen the grasp of extreme risk, In 2007, China began a nationwide promotion of stress test to com-mercial banks formally. Some cities in China in recent years, real House prices rise much higher than the pay level of the residents, our government increasingly intensified macro-control on the real estate industry, In this case, we take the real estate market in Chengdu for example, and two banks were selected to conduct the same stress test scenarios, and then explain the changes in the real estate market will result in difference of banks. Firstly, the paper analyzes the theoretical deve-lopment of commercial bank risk management and the modern theory of risk management approach—tress testing, to promote state-owned commercial banks in China, shares of banks, city commercial banks to do the stress test. Secondly, the paper analyzes the real estate market, especially the development of Chengdu's commercial housing market in recent years, the housing process and the volume and price movements, summarize different policies the government adopted in different historical periods in the real estate market, From the development of the real estate market in recent years, China's real estate market, especially the comm ercial housing market, high dependence on macroeconomic policies, strong volatility. Then, the paper established a VAR model, the selected indicators include: residential sales area of Chengdu, the average price of residential transactions, more than 5-year loan rate and bank lending, non-performing loan ratio, and based on the model constructed in the three scenarios of non-performing loan ratio of banks to stress test。Finally, the paper puts forward corresponding policy recom-mendations:First, the regulatory authorities to actively promote stress testing techniques; Second, commercial banks, especially some city commercial banks and rural commercial banks should strengthen data collection and collation; and the third is the introduction of mortgage lending, Pledge, letter of credit and other risk mitigation instruments; fourth is to strengthen risk management and control of the city commercial banks and rural commercial banks; Fifth, strictly regulate the real estate market, control prices。
引文
1高铁梅 《计量经济分析方法与建模》2005年10月第一版第九章
2彭江平 《商业银行风险管理的理论与系统》,西南财经大学出版社2001年9月第一版
1.王春峰,《金融市场风险管理》,天津大学出版社,2003.1
2.赵晓菊,《银行风险管理——理论与实践》,上海财经大学出版社,1999.11
3.杨鹏,《压力测试及其在银行风险管理中的应用研究》,上海财经大学硕士论文,2005
4.熊波,《中国银行体系稳定性评估》,西南财经大学硕士论文,2006
5.方洪全,《国有商业银行信用风险评估方法及应用研究》,电子科技大学博士论文,2004
6.杨军、朱怡,《监管当局压力测试规范的国际比较》金融纵横,2004
7.姚俊峰,《流动性压力测试的应用与实证分析》,中国农村信用合作,2008.06
8.黄复兴,《中国商业银行流动性压力测试研究与探索》,上海社会科学院研究生论文,2009
9.刘亚霄,《中小型银行流动性压力测试中存在的问题探析》,北方经贸,2008.11
10.徐明东、刘晓星,《在我国金融领域推广运用压力测试的政策建议》,经济研究参考,2008年第24期
11.秦媛,《城市商业银行经济资本管理存在的问题及对策》,Commercial Accounting 2008.2
12.崔飞燕,《房贷压力测试》,科技信息,2008年第35期
13.江山,《重度房贷压力测试“内部样本”》,金融货币,2010
14. Mathias Drehmann, Steffen Sorensen、 Marco Stringa, 《The integrated impact of credit and interest rate risk on banks:A dynamic framework and stress testing application》, Journal of Banking & Finance 34 (2010)
15. Martin Melecky、 Anca Maria Podpiera, 《Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe)),2010.09
2彭江平 《商业银行风险管理的理论与系统》,西南财经大学出版社2001年9月第一版
1.王春峰,《金融市场风险管理》,天津大学出版社,2003.1
2.赵晓菊,《银行风险管理——理论与实践》,上海财经大学出版社,1999.11
3.杨鹏,《压力测试及其在银行风险管理中的应用研究》,上海财经大学硕士论文,2005
4.熊波,《中国银行体系稳定性评估》,西南财经大学硕士论文,2006
5.方洪全,《国有商业银行信用风险评估方法及应用研究》,电子科技大学博士论文,2004
6.杨军、朱怡,《监管当局压力测试规范的国际比较》金融纵横,2004
7.姚俊峰,《流动性压力测试的应用与实证分析》,中国农村信用合作,2008.06
8.黄复兴,《中国商业银行流动性压力测试研究与探索》,上海社会科学院研究生论文,2009
9.刘亚霄,《中小型银行流动性压力测试中存在的问题探析》,北方经贸,2008.11
10.徐明东、刘晓星,《在我国金融领域推广运用压力测试的政策建议》,经济研究参考,2008年第24期
11.秦媛,《城市商业银行经济资本管理存在的问题及对策》,Commercial Accounting 2008.2
12.崔飞燕,《房贷压力测试》,科技信息,2008年第35期
13.江山,《重度房贷压力测试“内部样本”》,金融货币,2010
14. Mathias Drehmann, Steffen Sorensen、 Marco Stringa, 《The integrated impact of credit and interest rate risk on banks:A dynamic framework and stress testing application》, Journal of Banking & Finance 34 (2010)
15. Martin Melecky、 Anca Maria Podpiera, 《Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe)),2010.09