自2008年次贷危机以来，房地产贷款一直是商业银行持续关注的高风险资产。我国监管当局多次下发文件要求商业银行开展与房地产相关贷款的压力测试工作。与其他压力测试一样，压力影响的计量模型是房地产压力测试的重要内容之一。随着我国新巴协议的逐步实施和信用风险内评方法在中小银行的逐步落地，利用评级结果计量压力影响的Merton-Vasicek模型越来越凸显出优势。本文在梳理国内外压力测试模型研究的基础上，参考国内现有压力测试实践研究成果，以某地方性商业银行数据为例，探讨Merton-Vasicek模型如何在我国中小商业银行房地产压力测试中有效应用。%Since the subprime mortgage crisis in 2008, commercial banks have taken mortgage loans as high risk assets and paid more attentions. China's regulatory authorities have constantly required commercial banks to do stress tests on mortgage loans. The econometric models measuring stresses are an important part of mortgage loan stress tests. With the gradual implementation of Basel III Accord and internal assessment method of credit risks in commercial banks, the Merton-Vasicek Model which assesses stresses using rating indicators have showed more advantages. This paper surveys stress test models applied domestically and internationally, and refers to the domestic study of stress tests, then explores the application of the Merton-Vasicek Model in mortgage loan stress tests in China's small and medium commercial banks using the data of a local commercial bank as an illustration.
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