QN Bank Real Estate Loan Risk Stress Test

Since the reform and opening up,the real estate industry has gradually become a pillar industry under the conditions of China's market economy.However,the heavy dependence of China's real estate industry on banks and the excessive support of financial institutions for the real estate industry are also indisputable facts.Since 2006,the China Banking Regulatory Commission has issued several documents requiring commercial banks to carry out relevant stress testing.In December 2014,the China Banking Regulatory Commission issued a notice on the Guidelines for Commercial Banks' Stress Testing,requiring commercial banks to conduct regular stress tests and provide for The stress scenarios of credit risk include,but are not limited to,the large fluctuations in real estate prices,the deterioration of loan quality and the quality of collateral.Therefore,how to improve risk management capabilities,identify,prevent and control real estate credit risks,and stress testing of real estate loan risks is particularly necessary.In this paper,QN Bank is taken as an example.Through the variable selection of macro-situ stress test,credit rating or regional division of sensitivity stress test,the data volume of different time periods is selected for modeling.According to the basic assumption of linear regression model,different tests are tested.The overall non-performing rate,capital adequacy ratio and net profit of QN Bank real estate loans under stress scenarios(mild,moderate and severe),as well as the non-performing rate of QN Bank real estate development loans and individual home purchase loans.According to the results of stress test,under the mild,moderate and severe stressscenarios,QN Bank has a relatively short-term impact,which has a substantial impact on capital adequacy ratio and net profit,which will result in the capital adequacy ratio not meeting regulatory requirements,net profit.Turned into a loss.However,in the long run,the impact is relatively small,and there is no substantial impact on capital adequacy ratio and net profit.As the actual economic operation,there will be no downward turn of the economy,so short-term perspectives only have theoretical significance.Comparing the two results,the main influencing factors are the bank's internal credit management level and the compensation of different years of profit.Therefore,it is necessary to focus on these two aspects during the economic downturn.The innovations of this paper are as follows: First,according to the different stages of economic operation,the linear regression model is used to analyze the relationship between non-performing rate and macroeconomic variables,and the selected data has strong timeliness.Second,proposing a good level of bank credit management is an important measure to prevent the economic downturn from causing an increase in the non-performing rate.