压力测试在商业银行风险管理中的应用探讨

Application of Stress Testing in Commercial Bank Risk Management

压力测试是金融机构用以衡量由一些例外但有可能发生的事件所导致的潜在损失的一种重要方法,它是衡量正常情况下金融资产市场风险的VaR法的辅助工具,是银行实施《巴塞尔新资本协议》所提出的内部评级法的基础。本文以压力测试的功能和意义为出发点,着重探讨了压力测试的分析方法,对我国商业银行开展压力测试提出了粗浅的政策建议。

Stress testing is an important method for financial institution to measure the potential loss that is resulted from some exceptions, which have possibility to occure. It is a supplementary means for VaR - - -an important meathod to measure the market risk of financial assets in normal condition, and it supports the IRB （internal ratings based approachs） that is demanded by Basel Committee on Banking Supervision. Starting from the function and significance of stress testing, this paper focuses on the analysis procedure of stress testing and gives some simple suggestions for our commercial bank to exercise stress testing.