商业银行信用风险宏观压力测试研究

Research on the Credit Risk of Commercial Bank with Macro-Stress Testing Method

文章根据信贷组合观点理论来构建信用风险宏观经济压力测试模型系统,首先构建了基于压力传导模型和压力情景生成模型的压力测试模型系统;其次通过相关性检验、平稳性检验与"协整检验"筛选出对商业银行风险产生影响的宏观经济变量;最后通过案例分析得出,该模型对于分析我国商业银行在宏观经济压力下的信用风险具有一定的适用性。

The researchers construct a macro stress testing model system for China＇s commercial bank credit risk based on the credit portfolio theory. Firstly, this paper constructs a pressure test model system based on pressure conduction model and pressure scenario generation model. Then the macroeconomic variables that affect the risks of commercial banks are selected through the correlation test, the smoothness test and the co-integration test. Finally, a case analysis proves that the model is applicable in the analysis of credit risk in China＇s commercial banks under macroeconomic pressure.