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Study on the Interest Rate Risks and Credit Risks of Commercial Banks in Housing Collateral Loan

Author: YaoZhiWei
Tutor: LuoXianFeng
School: Wuhan University of Technology
Course: Management
Keywords: Risk Management VAR model Commercial bank Mortgage
CLC: F832.4
Type: Master's thesis
Year: 2005
Downloads: 561
Quote: 3
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Abstract


The gradual rise of housing mortgage loans, but the prevalence of financing channels for a single or too few issues, commercial bank credit funds to become the real estate development enterprises raise the most important source of funds. Commercial real estate loans banks in order to avoid the risk of the business, residential mortgage loans of commercial banks has become a more informed choice. Therefore, the use of risk management theory of commercial banks risk mortgage lending system control problem, quantitative research, to enhance China's commercial banks to withstand the risk mortgages ability to effectively guard against and defuse the risk of mortgages, as well as to carry out Real estate loans have a very important theoretical significance and application value. Firstly, the commercial bank mortgage lending, as well as western commercial banks' risk management techniques VaR method VAR (Value at Risk) for system introduction. On this basis, the use of Value at Risk VAR approach to commercial banks in the mortgage business in the face of the credit risk and interest rate risk issues, conducted a quantitative analysis. Finally, the commercial banks in the mortgage interest rate risk and credit risk preventive measures studied. Papers in the mortgage interest rate risk analysis, the use of risk analysis in the field of market VAR methods, and the loss of the loan portfolio as a measure of the scale of interest rate risk, which can be analyzed using the binary tree early repayment of mortgages, and seek Interest rate risk loan portfolio value of VAR, and the results of the model combined with China's actual situation analysis a step further, gives the bank needed to compensate for loss of capital requirements. Use Credit Metrics model and Monte Carlo model of mortgage rates in the credit risk. In this paper, on the basis of the above study. The results show that China's commercial banks in the VAR method can be used against mortgage risk management. And with the financial system, deepen the reform of housing investment, commercial bank mortgage risk will become increasingly prominent, VAR method will also be in the commercial banks' risk management has become increasingly important position. Finally, China's commercial banks in the financial reform deepening and increasingly competitive environment, how to establish a modern scientific risk management system to make policy recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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