宏观压力测试特征、实施框架与政策建议

Features, Implementation Framework and Policy Recommendations of Macro-Stress Testing

本文基于金融部门评估规划的视角,分析了宏观压力测试的全局性、关联性和反馈性特征,并基于这三个特征设计了金融部门评估规划视角下的宏观压力测试实施框架。该框架考虑了宏观压力情景的跨期设置,关注银行账户利率风险与信用风险的联系,将二者都纳入资本充足率计量,通过机构违约关联网络理清金融风险传染的路径,并预留信贷计划和流动性需求的收集接口,以展开第二轮影响和宏观负效应分析。本文建议中国宏观压力测试实施框架要考虑中国国情和金融业实际,在制度、系统、人力等方面完善治理结构,逐步、适当披露相关内容。

From the perspective of assessment program of financial sector, this paper analyses the overall, correlation and feedback features of macro-stress testing and designs implementation framework of macro-stress testing based on the above three features. The framework takes account of the inter-period setting of macroeconomic stress scenarios, the links between interest rate risk and credit risk of bank accounts and both risks are included in the measurement of capital adequacy ratio. With the network of default agencies, the paper identifies the transmission path of financial risks, sets aside collecting interface for credit plan and liquidity demands to analyse the second round impact and negative effects of macroeconomy. The paper suggests that the implementation framework of China＇s macro-stress testing should take account of China＇s national conditions and the actual situation of financial industry, improve governance structure of regulation, system, human resources, and so on, disclose relevant contents gradually and appropriately.