The Research On Macro Stress-testing Of Commercial Bank’s Individual Housing Loan’s Credit Risk

In2008, the US subprime lending crisis is a direct result of the large number of default of the subprime housing loans. In China, since the exhibition of individual housing mortgage loan business in1998, the amount of individual housing loans has grown rapidly, and by now it is about10%of the total loan balances of the banking system. Presently, in the face of the real estate industry becomes the government’s key controlling industry, the central bank has raised interest rate several times in recent two years, the European sovereign debt development direction is not clear, and the world has just came into a weak recovery after the2008crisis, the macro credit risk of individual housing loans of our banking system needs great attention.This article is a research about the application of stress test in the management of individual housing loans’credit risks from a macroscopic view. First of all, the article introduces the basic theory of stress test and of the management of credit risks, which include the definition and connotation of related concepts. And then there is a brief analysis of the actual housing loan bussing situation in China, including the reasons of its rapid growth, the sources of the credit risks and those risks’characteristics. On this basis, the transmission and infectious mechanism of credit risk of individual housing loans is analyzed too.In the demonstration part of the article, the author uses history scene method and assumptions scene method to design the stress scenario:with reference to the changes of the data in the United States in2008financial crisis period to set the GDP growth, the benchmark interest rate, and the personal disposable income’s pressure value; and take the advice of the stress value of housing price given by the CBRC in2011for commercial Banks’real estate loan stress-testing. Then the article designed a macro stress test simulation model, and analyzed the dynamic change of each related index after the impact of the stress scenario. The result shows that, after the stress impact, the banking system’s personal housing loan’s nonperforming rate rises greatly, but after a period of time it will decline, the extent of its rise and decline grows and the fluctuation cycle shortens with the increase of the strength of the impact.Finally, on the foundation of the theory and empirical analysis above, the article point out the difficulties in carrying out macro stress test on in our country, and puts forward some relevant policy suggestions.