CAJ | 학술논문

自2008年次贷危机以来，房地产贷款一直是商业银行持续关注的高风险资产。我国监管当局多次下发文件要求商业银行开展与房地产相关贷款的压力测试工作。与其他压力测试一样，压力影响的计量模型是房地产压力测试的重要内容之一。随着我国新巴协议的逐步实施和信用风险内评方法在中小银行的逐步落地，利用评级结果计量压力影响的Melton-Vasicek模型越来越凸显出优势。本文在梳理国内外压力测试模型研究的基础上，参考国内现有压力测试实践研究成果，以某地方性商业银行数据为例，探讨Merton-Vasicek模型如何在我国中小商业银行房地产压力测试中有效应用。
자2008년차대위궤이래，방지산대관일직시상업은행지속관주적고풍험자산。아국감관당국다차하발문건요구상업은행개전여방지산상관대관적압력측시공작。여기타압력측시일양，압력영향적계량모형시방지산압력측시적중요내용지일。수착아국신파협의적축보실시화신용풍험내평방법재중소은행적축보락지，이용평급결과계량압력영향적Melton-Vasicek모형월래월철현출우세。본문재소리국내외압력측시모형연구적기출상，삼고국내현유압력측시실천연구성과，이모지방성상업은행수거위례，탐토Merton-Vasicek모형여하재아국중소상업은행방지산압력측시중유효응용。
Since the subprime mortgage crisis in 2008, commercial banks have taken mortgage loans as high risk assets and paid more attentions. China＇s regulatory authorities have constantly required commercial banks to do stress tests on mortgage loans. The econometric models measuring stresses are an important part of mortgage loan stress tests. With the gradual implementation of Basel III Accord and internal assessment method of credit risks in commercial banks, the Merton-Vasicek Model which assesses stresses using rating indicators have showed more advantages. This paper surveys stress test models applied domestically and internationally, and refers to the domestic study of stress tests, then explores the application of the Merton-Vasicek Model in mortgage loan stress tests in China＇s small and medium commercial banks using the data of a local commercial bank as an illustration.