| The subprime mortgage crisis in the United States caused a great impact on the world economy and financial system.The outbreak of the crisis was caused by the sharp decline of housing prices.It can be seen that the real estate market is closely related to the smooth operation of the economy.Real estate is a pillar industry in China,with a long industrial chain,and its huge industrial scale supports China’s economic development.The financing of real estate enterprises and personal housing loans are basically from banks,so the real estate industry is not only related to economic development,but also involves the credit risk of the banking industry.In recent years,with the rapid development of the domestic real estate industry and the rising housing price,the potential risks behind it have gradually emerged.When the housing price keeps rising,the real estate borrowers will not default,but the credit risk keeps accumulating.Once the housing price drops sharply,the repayment ability and willingness of the real estate borrowers will decrease,which will lead to the increase of non-performing loans and the increase of bank credit risk.Therefore,it is of great significance to study the impact of real estate price fluctuation on credit risk of commercial banks.This paper sorted out relevant literature and concepts about real estate price,credit risk and stress test of commercial banks,analyzed the status quo of real estate price and credit risk of commercial banks,and expounded the mechanism of action between real estate price fluctuation and bank credit risk.On this basis,this paper takes CS Bank as the research object for empirical research,and makes empirical analysis by constructing VAR and VECM models of macroeconomic variables including house price and non-performing loan ratio of CS Bank.The empirical results show that the decline of house price will increase the credit risk of CS bank,but with a time lag.Later in this article,through four design mild,moderate,severe and extreme stress scenarios,with house prices as the pressure factor to conduct stress tests to measure fall in house prices is different when the amplitude of CS the credit risk of losses from the Banks,it is concluded that in house prices fall,the greater the expected loss of commercial bank,the greater the CS bank loan loss preparation is sufficient to cover expected losses,This shows that CS Bank has a strong ability to resist risks.At the end of the paper puts forward relevant prevention from the Angle of commercial bank by the real estate price fluctuations caused by bank credit risk,the entire process is to build a new housing loan credit risk control system,the second is to strengthen the management of real estate loan business structure,the third is to build a real estate loan credit risk early warning system,four is to develop and perfect the pressure test regularly. |
