农地经营权抵押贷款信用风险影响因素及其衡量研究——基于CreditRisk+模型的估计

Influential Factors and Measuring of Credit Risk on Rural Land Contract Right Mortgage Loan——Estimation Based on CreditRisk+ Model

基于1 173个贷款样本数据,运用Logistic回归分析农地经营权抵押贷款信用风险影响因素并预测违约概率,依据CreditRisk+模型,对农地经营权抵押贷款信用风险衡量进行研究,并进行了压力测试。研究表明,农地经营权抵押贷款信用风险主要受到抵押土地因素、保险与政策因素的影响;影响因素的风险程度具有次序性;贷款期限和农业生产周期不匹配是农地经营权抵押贷款面临的突出矛盾;土地经营权来源不同的贷款风险程度存在明显差异;农地经营权抵押贷款预期损失和非预期损失占VaR比例结构合理,极端情景出现时预期损失会有明显波动。提出应瞄准贷款对象、精确贷款条款和强化风险处置,促进农地经营权抵押贷款顺利开展。

Based on 1173 loan samples,this paper uses Logistic regression and CreditRisk+Model to analyze the influential factors of credit risk on rural land contract right mortgage loan,predict the default rate and measure credit risk on rural land contract right mortgage loan.The result shows that credit risk on rural land contract right mortgage loan is mainly influenced by hypothecary land,insurance and policies;risk levels are in order;mismatching between loan term and production cycle is a prominent contradiction and risk contributions vary with different sources of contract right.Besides,the proportion of expected loss and unexpected loss in VaR is reasonable,but when it is at the extreme,the expected loss will show obvious fluctuation.Therefore,in order to facilitate the development of rural land contract right mortgage loan,borrowers should be selected precisely by the lender,and the contract terms that relate to risks should be refined.