商业银行信用风险压力测试应用研析.pdf

ABSTRACT ABSTRACT ABSTRACT AABBSSTTRRAACCTT After the financial storm, stress test become the hot research topic. Based on the requirement of Basel2 and the FSAP, Chinese commercial Banks must improve their stress test ability. Through the research of the working paper of BSBC, IMF, BIS, ARPA , and so on, this paper summarized the stress test method. Currently, stress testing method can be divided into the model method and non-model method. APRA use the non-model method to stress testing the housing loan portfolios in 2006 by using historical data to establish credit risk evaluation matrix. This method has a lower demand of data, but it is not good for forecasting, so more and more commercial banks use model method to stress testing credit risk. Model method can be divided into three kinds. One kind is based on Merton model, Drehmann, Manning and Pesaran et al research the relationship of credit-risk defaults rate and macro macroeconomic variables by Merton model in 2004. In 2008, Michael C S Wong used History-Based Stressed to stress test base on Merton model and KMV model. The second kind is based on Wilson model, Finland Banks and Austrian bank in built up a stress testing framework based on Wilson model. Hong Kong financial supervision and administration expand this framework. The third kind is based on the model of BaselⅡ. BaselⅡsuggests using standard method and internal ratings-based approach to measure credit risk of commercial Banks, the two kinds of credit measurement method can also be used to stress test. According to Chinas situation, this paper adopts the method of History-Based Stressed PD and IRB model to stress test the credit risk of five commer