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Study on the Impact of Mortgage in Credit Risk Factors

Author: LiangZiZuo
Tutor: ShenPeiLong
School: Shanxi University of Finance
Course: Finance
Keywords: Mortgage Credit Risk Probability of default LGD Credit Risk VaR
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 67
Quote: 0
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Abstract


Credit risk is the main risk in the bank from operating activities, the collateral as a credit risk mitigation tools, can effectively reduce the credit risk, mortgage-backed loans is very important in the case of Chinese enterprises, the general lack of personal credit file. However, the specific implementation of the process of China's banking some problems, and focus on the performance of mortgage-backed effect poor, the high rate of non-performing loans, to form a high mortgage and financial risk. This article explained the collateral impact on the probability of default and loss given default rates and credit risk VaR risk mitigation tools, control of bank credit risk has important theoretical and practical significance. Collateral provisions of the New Basel Capital Accord boils down to two effects: on the one hand to improve the borrower's default costs, reducing the probability of default. At present, banks require the borrower to provide collateral and general land use rights, real estate, machinery and equipment and other physical assets. Borrowers to obtain loans at the same time to provide these assets as collateral, which constitute the higher cost of default of the borrower. Only when the borrower that the breach of contract revenue is less than the cost of default, otherwise the borrower will not be default occurs. As a result, the collateral can raise the cost of default of the borrower, the lower the probability of default by the borrower. On the other hand, the role is to reduce the balance of risk exposure, lower LGD. When the borrower defaults, the bank funds recovered through the disposal of collateral, so that the liquidated loan losses to be wholly or partially offset thereby reducing LGD. Eligible collateral can reduce the borrower's probability of default, but also reduce the rate of loss given default, can effectively reduce the credit risk. The second chapter begins with collateral impact on the probability of default and loss given default two aspects, the first analysis of the the mortgage guarantees join will impact the joint probability of default and thus makes default rates reduce, then use option theory model focused analysis collateral LGD derive LGD mortgage asset yields, mortgage asset volatility relations LGD LGD overall immovable lower than the movable property obtained through numerical analysis. Credit Risk VaR analysis of the impact of collateral on the credit risk factor, the third article focuses collateral, credit risk, VaR is the basis of quantitative analysis and management of commercial bank credit risk, which can be for banks credit risk profile and capital requirements for further evaluation. Given the late start of China's economic situation of the banking sector to the lack of data, I chose the CreditRisk improved collateral on credit risk VaR analysis, CreditRisk is a relatively simple and practical credit risk measurement models, required estimated variable rarely , it is suitable for the analysis of our bank credit risk. This chapter, the distribution of collateral losses attributed to three types, the first analysis of the size of a the three distributions credit risk VaR different distribution of credit risk VaR is a huge difference. Secondly discuss in detail the impact of the mean value of the collateral losses and fluctuations in the value of the collateral rate on credit risk VaR collateral loss given default average is the main factor affecting the VaR, general real estate credit risk VaR is higher than real estate. This is consistent with the conclusions of the new Basel Capital Accord of the Basel Committee on Banking Supervision, its clear that, for the same transaction, the capital requirements than unused capital requirements for risk mitigation techniques in the use of credit risk mitigation techniques.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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