Application Research Of The Real Estate Using Stress Testing On Commercial Bank

Many well-known financial institutions have closed down because of the financialturmoil caused by the U.S. subprime mortgage crisis. After the storm many countries setoff a craze of the stress testing. Real estate mortgage loans as closely related to people’slivelihood, and occupies80%in retail the loan balance become the focus of the banks.Real estate mortgage loans have a serious impact on the stability of the financial system. So research real estate mortgage loans to test it whether able to withstand the pressure ofimpact have a strong practical significance.The paper firstly reviews the impact of real estate on the stability of the bankingsystem, stress testing application status, as well as real estate stress testing process. Onthese bases, established real estate stress test model, calculation of the pressure data andanalyzed the results. This article used the data of Shenzhen X Commercial Bank periodof December2007to December2011, a term of49months. In different scenariospressure, test the not past due loans turn into180+probability of overdue loans in a yearafter applying pressure. The article is the Wilson model equation system. Lead into thereal estate market prices lags, transaction area lags and defect rate lags to reflect the bankperformance feedback effects on the economy. Coefficients were estimated using theSUR estimation method, SUR is a panel data analysis method, able to take into accountthe relationship of equation residuals, the correlation of the same period of the housingtransaction area and housing prices were fully displayed. Assuming the distractors is not0. Using the data brought into the stress scenarios macroeconomic as the pressure source.We can get a lot of predictive value of PD though the method of Monte Carlo simulation. It can conclude the default rates in the different confidence level of the value at risk (VaR)and the distribution of it. Finally make the use of the initial loan amount and rate ofmigration to calculate the final defect rate. The results show that the real estate mortgageloans of X commercial was good. It can withstand the pressure; the bank should take amore relaxed mortgage policy to get more benefits.