我国债券资产的压力测试

The Stress Testing of Chinese Bond Assets

随着20世纪70年代布雷顿森林体系的崩溃,金融自由化和全球化进程日益加快。与此同时,全球或区域性的金融危机频发,金融活动中的风险日益常态化。因此,对金融机构或是一定的金融资产组合进行风险管理变得越发重要。就风险管理的方法而言,传统的VaR方法有其先天的局限性,不能对极端风险事件的冲击进行度量。最早作为VaR辅助方法被提出的压力测试,则可以解决这个问题。目前,我国正处于利率市场化进程中,有出现极端风险事件的可能。因此,对我国债券资产进行压力测试是非常必要的。使用敏感性分析的压力测试方法,对我国上市公司债的收益率进行压力测试。同时,运用向量自回归(VaR)模型得到三种信用评级的上市公司债收益率在市场利率上升100、200和400个基点的极端情况下的变动情况。

With the collapse of the bretton woods system in the 1970 s,the process of financial liberalization and globalization is speeding up.At the same time,the global or regional financial crises is more frequent,the risk in the financial activity is becoming more and more normalized.Therefore,the risk management of the financial institution or a financial asset portfolio has become increasingly important.In terms of risk management methods,the traditional VaR method has its inherent limitations.It can not measure the impact of the extreme risk events.While,the stress testing whitch has been proposed as the earliest VaR auxiliary methods can solve this problem.At present our country is in the process of marketization of interest rate,the protection of China's accession to WTO has expired,the possibility of extreme risk events has been bigger.Therefore,it is very necessary to conduct stress testing to bond assets in our country now.This paper uses the sensitivity analysis of stress testing method to the yield to maturity of corporate bonds.We get the change of three credit rating of listed corporate bond yields in the case of market interest rates rose 100,200 and 400 basis points by vector autoregressive(VaR)model.