【作者】 田春英；

【导师】 刘萍；

【作者基本信息】 哈尔滨理工大学 ， 技术经济与管理， 2008， 硕士

【摘要】 近年来,我国房地产金融市场上银行对开发商的过度支持及开发商对银行的过度依赖使得房地产行业的特定风险正逐步向银行机构转移。落实授信管理、对风险和收益进行统筹规划是保证银行对房地产企业授信安全性和盈利性的重要手段,而授信额度的核定作为授信管理的核心,已成为当前银行所面临的重要决策问题。本文以银行房地产企业授信额度为研究内容,采用理论结合实际的研究方法,探讨银行如何核定授信额度以实现风险和收益的优化。首先,通过对银行房地产企业授信现状的分析,讨论了当前银行对房地产企业采取的主要授信模式及面临的问题,并分析了现行授信额度核定方法在控制风险及提高效益方面的局限性。然后,在论述Stackelberg博弈基本内容的基础上,深入剖析了授信管理中银行与房地产开发商之间的博弈关系。在经济增加值(EVA)和风险调整的收益率(RAROC)框架下构建了银行授信的目标函数;以融资结构优化为依据构建了房地产企业的目标函数,最终建立二者的Stackelberg博弈模型,并给出了二者均衡解的求解方法。最后,对决定模型实用性的两个关键系数违约概率(PD)和违约损失率(LGD)的确定方法进行了探讨,在比较现有测度方法的技术需求及适用条件之后,分别讨论了运用人工神经网络估计法和清算数据贴现法确定PD和LGD的基本思路。本文从理论上提出了银行核定房地产企业授信额度的新方法,为银行改进授信管理、控制房地产信贷风险提供了一定的理论支持,具有较强的现实意义。更多还原

【Abstract】 In recent years, two problems in China’s real estate financial market are causing the gradual risk transfer from real estate industry to financial instructions, one is the excessive dependence of real estate developers on banks, while the other is the excessive financial support of banks to developers. Hence, implementing credit management to make coordinated planning of risk and return is an important approach to ensure banks’security and profitability, which makes line of credit, the core of credit management, an essential decision-making problem for every bank today.This paper mainly researches on line of credit to real estate developers, using a method of theory combining with practice, it studies how banks should decide line of credit to optimize risk and return. First of all, basing on the analysis about present situation of banks’credit to real estate developers, it discusses some main problems every bank faces under today’s credit pattern and gives the summary of several methods widely used by banks to calculate line of credit, as well as their deficiency in risk control and benefit enhancement. Secondly, after the introduction of Stackelberg game theory, the paper makes a deep analysis on the Stackerlberg relationship between developers and banks during the credit service, after that an objective function of banks according to the structures of economic value added(EVA)and risk adjusted return on capital (RAROC) is designed, so as the target function of real estate developers according to best financial structure, thus the Stackelberg model is built and equilibrium solution is discussed in a simple way. Finally, it studies how to decide two important parameters in the model, probability of default(PD) and loss given default(LGD), both of which influence the practicality of the model seriously. After the comparison of technical requirements and applicable conditions of existing methods to assess the two parameters, it gives separately the basic processes to estimate PD using artificial neural network and LGD using workout value measurement.This paper proposes a new method to decide line of credit to real estate developers theoretically, providing banks with certain theoretical support to improve credit management and control the risk of credit to real estate industry, so the research is quite meaningful in practice.更多还原