房地产开发企业违约概率压力测试研究--现金流蒙特卡洛模拟方法在银行中的应用

Stress Testing on Default Probability of Real Estate Development Enterprises——The Application of Monte Carlo Simulation of Cash Flow in Commercial Banks

本文采用蒙特卡洛模拟方法,根据现金净额是否为负这一标准来判断房地产开发企业是否违约,在对企业的现金流进行随机模拟的基础上来计算企业的违约概率。压力测试的场景为房价下降,利率上升。压力传导途径为房价与利率变动导致企业销售收入变动,销售收入的改变导致企业的现金流量表发生变化。房价和利率对销售收入的冲击是随机的,企业的现金流也是随机的,本文通过随机模拟估算了企业的现金流为负的频率,以此作为企业违约的概率。压力测试表明,当房价下降幅度到达15%附近时,房地产开发商的违约概率开始急剧上升。

This paper employs Monte Carlo simulation of cash flow to estimate the default probability of real estate development enterprises with the standard that an enterprise inclines to default if its net cash flow goes negative. The scenarios of stress testing include the fall of house price and rise of interest rate. The transmission path of stress is that the change of house price and interest rate results in the change of sales revenue, which further impacts enterprise＇ s cash flow. Both the impact of house price and interest rate on sales revenue and enterprise＇ s cash flow are stochastic. The frequency of cash flow turning negative, estimated by Monte Carlo simulation, is regarded as the default probability of enterprise. The stress testing indicates that the default probability of real estate development enterprise will rise sharply when house price drops around 15%.