1. Mortgage default rate appraisal of Chinese commercial bank applied with stress te stin g method.
- Author
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SUN Yu-ying and YAN Yan
- Subjects
- *
AUTOREGRESSIVE models , *AUTOREGRESSION (Statistics) , *NONPERFORMING loans , *BANK loans , *VECTOR error-correction models , *HOME prices - Abstract
Applied with autoregressive exogenous model and vector error correction model, this article analyzes the nonperforming-loan rate of a commercial bank based on the house price falling scenario. Nonperforming-loan ratio is used to describe the credit risk and the pressure indicators, including CPI, lending rates, house prices, exchange rates, TED spread and M2, are used to construct the stress testing model of house loan. This article forecasts the fluctuations of nonperforming-loan ratios between the second quarter of 2010 and the first quarter of 2011 under the assumption of the lending rate rising and house prices falling. The results suggest that the nonperforming-loan ratios will rise sharply first, and then slow down to be steady in the stress scenarios. Among all of those factors, house price is the most influential one and its influence lasts the longest. [ABSTRACT FROM AUTHOR]
- Published
- 2014