摘要
在经济金融全球化不断发展的背景下,银行业稳健性对整个宏观经济的健康发展及抵御危机的能力至关重要。在实务应用上,仅仅使用日常风险度量工具(VAR)来衡量市场风险是不恰当的,压力测试作为VAR的重要补充,旨在用来测量某些小概率事件对银行经营或其所拥有的投资组合造成的影响,压力测试现已成为风险管理强有力的工具,在各国政策当局的金融稳定性评估中获得了广泛应用。
With the development of economic and financial globalization,the stability of bank system is essential to the whole macroeconomic healthy development and the ability of withstanding risks.In practice,just adopting daily risk measurement tools（VAR） to measure the market risk is not appropriate,stress test as an important supplement to the VAR,is used to measure the impacts on the operation of banks and its own investment portfolio by certain little probability of events.Stress test has already become a powerful and effective tool to risk management at present and has been widely used in the financial stability analysis by supervisory authorities.
出处
《企业活力》
2010年第9期24-28,共5页
Enterprise Vitality
关键词
压力测试
商业银行
风险管理
述评
国内外
stress test
commercial banks
risk management
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