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Study on the Appraisal of the Real Estate Credit Risk Using Macro Stress Testing in China

Author: BianYongPing
Tutor: ChengXueZhen
School: Lanzhou University
Course: Finance
Keywords: macro stress testing commercial banks real estate loan credit risk
CLC: F293.3
Type: Master's thesis
Year: 2011
Downloads: 175
Quote: 1
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Abstract


As process of China’s urbanization and modernization promote fast, the real estate industry in the national economic development becomes more and more significant. As the industry needs huge investment and with the large income and profit and so on, these characteristics make the real estate typical concentration of capital industry, so the "financialisation" trend in the real estate has intensified. Meanwhile, the China’s financing structure has a high proportion of indirect financing, banks’credit playing an irreplaceable role in real estate finance. These features above combined with the speculative environment, market substantial volatility with strong expectation, especially the price of the real estate market is soaring in recent years, and other unfavorable factors, the real estate market may come up a violent adjustment will influence the banking sector’s stable running, which has become the policy and research unavoidable hot topic.When facing the proposition of "bank kidnapped by real estate", this article using macro stress testing tool to carry out empirical analysis, that is, through establish the econometrics model between the safety indicators of banks’credit asset and the important variables of real estate market, using the historical data to simulate the mechanism of risk conduction, or mathematical relationship of risk transfer, to study the ability to absorb real estate credit losses of commercial banks under the hypothetical downturn in the real estate market.In conclusion:1. the proposition " banks kidnapped by real estate " has its place, a rapid increase in the size and proportion of real estate industry’s loans, considering the real estate-related upstream and downstream industries such as cement, steel and building materials and so on, the real estate industry is more significant on bank profitability and security of credit assets.2. From the empirical analysis of macro stress testing, as China’s real estate market has not gone through a complete cycle of recession, under the hypothetical pressure scenario, the banks have enough loss reserve and capital to absorb the direct credit losses come from the real estate industry. But as for indirect loss, hard to measure.

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CLC: > Economic > Economic planning and management > Urban and municipal economy > Urban Economics and Management > The real estate economy
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