金融机构压力测试的国际经验及启示

The International Practices and Enlightment of Stress Tests on Financial Institutions

2008年全球金融危机以来,为增强金融机构经营的稳健性,各国监管当局普遍加强了金融监管力度。其中,通过压力测试考察大型金融机构在极端情景下的风险抵御能力,成为各国监管当局关注的重点。与国际银行业相比,我国压力测试工作的起步和实施时间较短,运行机制还存在较大的完善空间。本文从基本特征、风险情景设定、风险传导机制以及风险抵御能力四个方面比较分析了美国、欧元区和英国银行业压力测试的主要特点;在此基础上,本文进一步提出中国银行业优化压力测试框架体系的五各方面:优化风险因子的设定、修订静态假设、构建统一透明的风险传导机制、完善测试结果评估、建立对不达标银行的约束机制。

Since the global financial crisis in 2008,to enhance the robustness of the financial institutions management,national authorities have strengthened the financial regulation and supervision by introducing stress test,which is to examine risk resistance ability of large financial institutions under extreme situations.Compared with the international banking experiences,China＇s stress test for the banking industry has been just started for a short time,which has much space for improvements.This paper analyzed the main characteristics of the stress test practices in the U.S,EU and UK,from four perspectives：basic features,interest rate shock scenarios,mechanism of risk transmission and risk resistance abilities.Based on the results,this paper proposed several suggestions to improve the stress test framework of China banking industry,such as optimizing the set of risk factors,revising static assumptions,constructing a unified transparent risk transmission mechanism,improving the test result evaluation,and establishing constraint mechanism for banks which have not met the requirement yet.