系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2014年
9期
2235~2244
,共null页
压力测试 不良贷款率 带外生变量的自回归模型 向量误差修正模型 仿泰德利差
壓力測試 不良貸款率 帶外生變量的自迴歸模型 嚮量誤差脩正模型 倣泰德利差
압력측시 불량대관솔 대외생변량적자회귀모형 향량오차수정모형 방태덕리차
stress testing;nonperforming-loan ratio;autoregressive exogenous model;vector error correction model;TED spread
运用带外生变量的自回归模型和向量误差修正模型对房价下跌背景下商业银行的不良贷款率问题进行了研究.以房地产不良贷款率度量信用风险,以居民消费价格指数、贷款利率、商品房平均销售价格、汇率、仿泰德利差和广义货币供应量作为压力指标变量,建立了合适的房贷压力测试模型.在贷款利率上升、商品房销售价格下跌的压力情境下,分别预测了房地产不良贷款率的变化路径.实证结果表明,在压力情景下,不良贷款率先急剧上升,然后逐渐降低并趋于稳定,在影响因素中,房价对房地产不良贷款率的影响程度最强,持续时间最长.
運用帶外生變量的自迴歸模型和嚮量誤差脩正模型對房價下跌揹景下商業銀行的不良貸款率問題進行瞭研究.以房地產不良貸款率度量信用風險,以居民消費價格指數、貸款利率、商品房平均銷售價格、彙率、倣泰德利差和廣義貨幣供應量作為壓力指標變量,建立瞭閤適的房貸壓力測試模型.在貸款利率上升、商品房銷售價格下跌的壓力情境下,分彆預測瞭房地產不良貸款率的變化路徑.實證結果錶明,在壓力情景下,不良貸款率先急劇上升,然後逐漸降低併趨于穩定,在影響因素中,房價對房地產不良貸款率的影響程度最彊,持續時間最長.
운용대외생변량적자회귀모형화향량오차수정모형대방개하질배경하상업은행적불량대관솔문제진행료연구.이방지산불량대관솔도량신용풍험,이거민소비개격지수、대관리솔、상품방평균소수개격、회솔、방태덕리차화엄의화폐공응량작위압력지표변량,건립료합괄적방대압력측시모형.재대관리솔상승、상품방소수개격하질적압력정경하,분별예측료방지산불량대관솔적변화로경.실증결과표명,재압력정경하,불량대관솔선급극상승,연후축점강저병추우은정,재영향인소중,방개대방지산불량대관솔적영향정도최강,지속시간최장.
Applied with autoregressive exogenous model and vector error correction model,this article analyzes the nonperforming-loan rate of a commercial bank based on the house price falling scenario.Nonperforming-loan ratio is used to describe the credit risk and the pressure indicators,including CPI,lending rates,house prices,exchange rates,TED spread and M2,are used to construct the stress testing model of house loan.This article forecasts the fluctuations of nonperforming-loan ratios between the second quarter of 2010 and the first quarter of 2011 under the assumption of the lending rate rising and house prices falling.The results suggest that the nonperforming-loan ratios will rise sharply first,and then slow down to be steady in the stress scenarios.Among all of those factors,house price is the most influential one and its influence lasts the longest.
