压力测试及其在我国商业银行体系信用风险中的应用.pdfVIP

摘要 我国银行一直以来主要采用的是传统的信用风险管理，其主要依赖定性分析和主观 判断，加入 WTO 后，开始与国际接轨，按照《巴塞尔协议》规范自己，逐步推行现行定 量分析的信用风险管理。但这些模型主要讨论的是整个宏观经济在稳定的正常情况下的估 计，忽略了对小概率的极端波动情景和事件的评估。对此巴塞尔委员会在2004年《新巴 塞尔协议》中提出了必须对信用风险执行压力测试即对小概率事件发生时的评估。因此， 我国银行体系应努力跟随国际脚步，吸取国外已有的经验，加强研究，防范于未然。 本文写作的重要思想—压力测试。全文按照“为什么需要压力测试—压力测试是什 么—怎样测算压力测试—压力测试的应用” 的逻辑思路进行了阐述，最后具体的对我国 商业银行体系信用风险进行了宏观压力测试。构建了两种宏观经济极端情境—国内生产总 值增长率大幅下降和通货膨胀率骤升,在这两种情境设定下,商业银行体系的信用风险都 出现了不同幅度提高。通过分析，可以看出，中国商业银行体系在面临假设的宏观经济冲 击时，抵御、化解风险的能力显得不足，稳定性还有待进一步加强。 关键词：压力测试；历史情景；假设情景；信用风险 - I - ABSTRACT At present, the traditional management of credit risk is used in Chinese banks, which relies on qualitative analysis and subjective judgments. Joining in the WTO, we is catching up with process of financial globalization, according to the Basel Capital Accord , and implying in the methods of quantitative analysis, like Credit Metrics and Credit Risk KMV. However, they get the results under the stability of overall macroeconomic, but overlook the assessments when small probability events happen. So in 2004, the Basel Committee proposes that stress tests must be used in management of credit risk in the New Basel Capital Accord. Therefore, our banking system should try to follow the international pace, absorb the experience of foreign countries and strengthen research to resist the occurrence of economic fluctuations. Important theory of this article is stress tests. The content is “Why must stress tests be demanded— what is stress tests- how to measure stress tests - the application of stress tests . Here, macroeconomic stress test is employed on assessing credit risk of Commercial banking system. In detail, assuming two extreme s