中小商业银行资本压力测试方案探索

Exploration of Capital Stress Test Program for Small and Medium-sized Commercial Banks

风险加大和资本吃紧的状况,对中小商业银行资本管理提出更高的要求。资本充足压力测试能够前瞻性勾勒风险,整体预测各类风险对资本充足的影响,因此构建适合于中小银行资源禀赋和管理实际的资本充足压力测试方案显得重要而迫切。本文尝试分析构建中小商业银行资本压力测试方案和模型,以期为中小商业银行分析资本状况提供重要参考。探讨了中小商业银行资本压力测试的框架范围和流程,研究中小商业银行资本压力测试的传导机制,构建了信用风险、市场风险、银行账户利率风险等压力测试主模型;第五部分为述评性结语。

The increase of risk and the tight capital situation put forward higher requirements for the capital management of small and medium-sized commercial banks.The capital adequacy stress test can predict risks in a forward-looking manner,so it is necessary to construct a capital adequacy stress testing program which is suitable for small and medium-sized banks'resource endowments and management.This paper attempts to analyze the construction of capital stress test plans and models for small and medium commercial banks.The first part discusses the framework and process of the capital stress test of small and medium-sized commercial banks;the second part analyzes the methods of stress scenarios,builds the scenario generation model and establishes the stress scenario;the third part studies the transmission mechanism of the capital stress test of small and medium commercial banks;Part of the stress test main model of credit risk,market risk,bank account interest rate risk,etc.;the fifth part is the descriptive conclusion.