基于时变参数模型的银行信用风险与宏观经济形势的动态关系研究

A Macro-Analysis and Stress Test of the Credit Risk of China's Regional Banking System

压力测试是用于评价金融机构在极端冲击下的系统风险承担能力的一种风险量化分析工具,对金融机构的资产组合和风险管理具有重要意义。本文运用带随机波动的时变参数向量自回归模型,以CQ地区为例,以银行体系整体信用风险和房地产贷款信用风险作为研究对象,观察宏观经济因素与信用风险水平的动态关系,并对其进行宏观压力测试。研究结果表明,CQ地区银行体系的整体不良率在宏观经济增速下降和利率上升的情况下,依然能保持稳定;房贷不良率对加权贷款平均利率的上升也不敏感;CQ地区银行体系信用风险对宏观经济冲击的抗风险能力和对宏观经济冲击的缓释能力较强,总体运行较为稳健。

Stress test is a risk management tool to evaluate the ability of financial in stitutions to operate indownturn or severe scenarios,which is very important for portfolio management and the stability of the financial system.This paper proposes a TVP-SV-VAR model to estimate the overall credit risk of the banking system in Chongqing and its mortgage assets.It incorporates dynamic interactions between macro-economy and credit risk,and tests how the banking system behaves in different scenarios.The results show that the non-performing loanrate in Chongqing is relatively stable in the circumstance of slow economic development and high interest rates.Bad loans are found not sensitive to the increase of asset weighted interest rates.The banking system in Chongqing has strong capacity in mitigating the influences of risks and economic downturns.This paper provides insights into the stability of banking system which is applicable to other cities in China.