商业银行房地产金融流动性风险分析研究  

Research on Liquidity Risk of Real Estate Finance in Commercial Bank

作　　者：韩伯棠[1] 程嘉许[1] 周毕文[1] 

机构地区：[1]北京理工大学管理与经济学院,北京100081

出　　处：《北京理工大学学报（社会科学版）》2011年第1期23-27,共5页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金资助项目(70973011);北京市重点学科建设项目

摘　　要：以商业银行的房地产金融业务为切入点,界定了房地产金融流动性风险的内涵与特点,建立了基于VaR方法、适应我国金融发展状况和房地产发展状况的CB-REFL-VaR风险评价和衡量方法,以不良贷款率、备付金比率、资产流动性比率、存贷款比率、房地产业贷款所占总资产的比例、中长期贷款比率、净拆入资金比率等建立指标体系,并以上海浦东发展银行为样本,进行了CB-REFL-VaR方法实证检验,计算得出VaR值。结果表明:在未来的年度内,上海浦东发展银行的房地产金融流动性风险值较大。提出具体的房地产金融流动性风险防范与处理措施,包括稳妥推行住房抵押贷款证券化;发展房地产信托,完善房地产金融工具体系;发展金融市场,开发新的金融产品;完善房地产金融的体系建设与立法工作等。With the real estate financial business of commercial banks as the entry point,the content and features of real estate financial liquidity risk were defined.Based on the VaR methods,the indexes of risk assessment and measurement,called CB-REFL-VaR,were set up.These indexes include non-performing loan ratio,excess reserves ratio,liquidity ratio,deposit and loan rates,real estate loans to total assets ratio,ratio of long-term loans,net inter-bank borrowing rate,and so on.The system of indexes is fit to the situation of development on Chinese finance and real estate market.Then using Shanghai Pudong Development Bank as a sample,this paper did an empirical testing about the CB-REFL-VaR methods,and calculated VaR of Shanghai Pudong Development Bank.The result indicated that there would be higher real estate finance liquidity risk of the Shanghai Pudong Development Bank in the coming years.Finally,specific prevention and treatment measures on real estate financial liquidity risk were put forward,including： to implement housing mortgage loan securitization securely;to develop the real estate trusts and perfect the real estate financial instruments sound system;to develop financial markets and new financial products;to complete system of real estate finance and legislative work,and so on.

关 键 词：房地产 房地产金融 流动性风险 商业银行 

分 类 号：F832[经济管理—金融学]