农信社信用风险:基于压力测试方法的实证研究——以广东省A市为例

An Empirical Analysis on Credit Risk of Rural Credit Cooperatives Based on Stress Testing Method: Taking A city of Guangdong Province as an example

压力测试作为一种前瞻性风险评估工具,用以考察宏观经济因素异动对金融机构的冲击程度。选取广东A市未改制的LC农信社与已改制的A农商行样本数据测试,结果显示:GDP增长率、CPI、M2增长率、一年期贷款基准利率LR的变化对信用风险影响显著,在区域GDP和M2增长率大幅下降、CPI和LR大幅上升情景下,随冲击程度的提高,A农商行和LC农信社不良贷款率随之提高,且LC农信社不良率攀升幅度大于A农商行,表明LC农信社抵抗冲击能力较差,信用风险较高。最后,根据巴塞尔协议对预期损失定义,计算出不同压力下的预期损失,得出结论,并以此作为金融机构计提贷款减值准备和确定资本的依据。

Stress testing,as a forward-looking risk analysis tool,has a significant impact on the stability assessment of the financial system,it is used to assess the impacts of extreme macroeconomic shocks on financial institutions.We take the rural credit cooperatives of A city Guangdong Province as an example to carry out credit risk stress testing.In this paper,we have selected the data of the non-restructured LC rural credit cooperatives and their structured A rural commercial bank.The results show that the changes of The GDP growth rate,CPI,M2and one-year loan benchmark interest rate LR affects the credit risk of A City Rural Credit Cooperatives significantly.We have set the extreme scenario that regional GDP growth rate and M2growth rate dropped significantly,CPI and LR rise sharply.With the increase of the Impact level,the non-performing loan rate of A rural commercial bank and LC rural credit cooperatives is also increasing,and the degree of non-performing loan rate of LC rural credit cooperatives is higher than that of A rural commercial bank,which shows that the LC rural credit cooperatives is less able to resist shocks,the credit risk is higher.Finally,according to the definition of the expected loss of the Basel Accord,we calculate the expected loss under different scenarios,and draw the conclusion as a basis for the provision for impairment of loans and the determination of capital.