基于向量误差修正模型的商业银行宏观压力测试模型研究被引量：4

A Research on Commercial Banks Macro Stress Test Model Based on VECM

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摘要本文针对商业银行评估宏观压力测试对其资产状况产生的影响建立模型,在借鉴国际经验的基础上,结合中国国情开发了基于向量误差修正模型(VECM)的宏观压力测试情景设置模型,对我国商业银行开展宏观压力测试工作具有重要的现实意义。 According to the effect of commercial bank to assess the macro stress test on assets condition,the author has developed a situational setup model of macro stress test based on VECM with using international experience for reference and combining with Chinese situation,which has important realistic meaning on developing macro stress test for commercial banks in China.

作者杨晓奇吴栋

机构地区国家开发银行博士后科研工作站清华大学博士后流动站清华大学经济管理学院

出处《金融理论与实践》北大核心 2010年第8期3-8,共6页 Financial Theory and Practice

关键词宏观压力测试情景设置向量误差修正 Macro Stress Test Situational Setup Vector Error Correction

分类号 F830.33 [经济管理—金融学]

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