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Study on the Function of Mortgage in Credit Risk Decision

Author: WangGuanPeng
Tutor: ZhangWei
School: Tianjin University
Course: Finance
Keywords: Mortgage Credit Risk Probability of default
CLC: F830.5
Type: Master's thesis
Year: 2007
Downloads: 132
Quote: 1
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Abstract


Credit risk is the main risk in the bank from operating activities , secured by mortgage loans is very important in the case of Chinese enterprises , the general lack of personal credit file . However , in the process of implementation , will inevitably lead to some problems , and focus on the performance of mortgage-backed effect poor , the high rate of non-performing loans , a higher financial risk . Therefore , the important research and analysis of credit risk identification mechanism to prevent and resolve credit risk . In theory , This paper analyzes the role of mortgage mechanism in the case of asymmetric information , screening and excitation functions of the collateral has pointed out that from the perspective of contract theory and the theory of credit rationing , and departure from the concept of probability of breach of contract and breach of contract in previous PD Measurement methods and variables to select aspects of the research , which use Ordered Probit model and the feasibility of the introduction of financial and non- financial variables . Empirically , the paper first explains the sort multiple discrete choice model is applied to the theoretical basis of this study and its adaptability . View of bankers' acceptances business credit business logic , consistency , selected to apply for bank acceptance bills of exchange enterprise financial and non- financial , credit support indicators , to identify the statistical analysis of the credit risk model . The main conclusions of this paper are: first , theoretically , mortgage signal screening role in the decision-making process of the credit risk of commercial banks . Between banks and enterprises in the transaction process , the mortgage as the introduction of the credit release techniques , can effectively reduce the \Rational set mortgage credit contracts can effectively separate the high-risk enterprises and low-risk enterprises ; mortgage deed can maximize the incentive industriousness of entrepreneurs . Second , the empirical , risk identification model achieved good results , especially in the judgment of good corporate . Mortgage signal screening role in the corporate credit rating results prove : the considerable collateral role Margin amount , the greater the credit balance , the smaller the possibility of corporate defaults ; greater the a priori probability of default is estimated based on corporate financial indicators , deadline the longer , the greater the likelihood of corporate defaults .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Credit
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