An Empirical Analysis Of Credit Risk On Residential Mortgages Of Chinese Commercial Bank

As the housing system reform progresses these years, residential mortgage loans has become the major financing measure by which Chinese residents buy their houses. The amount of mortgage loans increases at a speed of 40%-50% or higher nowadays, but the unperformed loan rate increases significantly as well. Although the mortgage loans belong to the high quality assets in the balance sheet of banks compared with other commercial loans, some problems appeared, because of the characteristics of residential mortgages:long term, small amount and lenders multiplicity. so the risk management of residential mortgages has become a big challenge for china commercial banks. This paper focuses on credit risk of residential mortgages in commercial banks.This paper includes six parts:firstly, it's the background. Then introduce the residential mortgages and the development status. In the third part, this paper introduces the credit risk and analyzes reason of the credit risk in our country. and then introduce the major model such as:Credit Metrics,KMV,Credit Portfolio View,CeditRisk+.In the fifth chapter, on the basis of historical data of residential mortgage loans that got from one commercial bank of Chengdu, the CeditRisk+ model's principle and relative researches are innovatively used with the Matlab software to generate a program for evaluating the credit risk of residential mortgage loans, finally, we got the loss's probability distribution and the economic capital estimation abased on Var. At the end we put forward with four suggestions for the commercial banks to improve their risk management in residential mortgage loans operation, which is to build their internal credit risk evaluating model and to promote the Mortgage-Backed Securitization (MBS) carefully.