商业银行住房抵押贷款信用风险预警系统实证研究  

An Empirical Study on the Early Warning System of Credit Risk for Housing Mortgage Loans in Commercial Banks

作　　者：奚宾[1] 

机构地区：[1]河南工业大学经济贸易学院,郑州450001

出　　处：《云南财经大学学报》2013年第1期117-124,共8页Journal of Yunnan University of Finance and Economics

基　　金：国家社会科学基金项目"我国住房抵押贷款信用风险预警系统研究"(10BJY111);河南工业大学博士基金项目"粮食期货市场避险功能研究"(150086)

摘　　要：商业银行住房抵押贷款面临的最大风险是信用风险。以住房抵押贷款余值与住房价值之商作为预警指标构建住房抵押贷款的信用风险预警系统,将其他变量对预警指标的影响分解为概率、强度和期限3个维度,每个维度又分为3个等级,最终形成27个子模块,并利用北京市住房公积金2009年100份住房抵押贷款为样本进行实证研究,结果表明:2012年4月该贷款组合处于小概率、低强度和短期限模块,资产相对安全。Credit risk is the greatest risk of housing mortgage loans of commercial banks. The author constructs an early warning system of credit risk for housing mortgage loans based on the quotient of the residual value of housing mortgage loans and the value of the house. The influence of other variables on warning indicators is decomposed into three dimensions including probability, intensity and duration. Each dimension is further divided into three levels to form 27 sub - mod- ules. An empirical study is made based on 100 samples of housing mortgage loans of Beijing in 2009 by taking their housing public accumulation funds into consideration. The results show that the loan portfolio is a small probability, low intensity and short duration module in April 2012, so the asset is relatively safe.

关 键 词：商业银行 住房抵押贷款 信用风险 预警系统 

分 类 号：F832.33[经济管理—金融学]