基于宏观压力测试的银行行业贷款风险研究

A Study on the Industrial Loan Risk in Commercial Bank based on Macro Stress-testing

不同行业受宏观经济增速放缓的影响程度不同,商业银行可以利用压力测试获得前瞻性信息以优化信贷行业结构。本文以某银行2006年至2018年六个行业的不良贷款率半年度数据为样本,利用SUR模型对银行的行业贷款风险进行了宏观压力测试。结果表明:各具体行业不良贷款率对冲击的敏感性显著不同;其中,批发零售和住宿餐饮业对冲击最为敏感;租赁和商务服务业、交通运输业受冲击影响最小。研究可为商业银行信贷行业结构优化提供有益的参考。

Different industries are affected by Slowing macroeconomic growth to different degrees,commer-cial banks can use stress tests to obtain forward-looking information to optimize the industry structure of credit.This paper takes the semi-annual data of non-performing loan rates of six industries from 2006 to 2018 in a Bank as a sample.The SUR model was used to conduct the macro stress-testing on the bank’s industry loan risk.The results show that the non-performing loan ratio of each specific industry has different sensitivity to the change of macroeconomic;Among them,wholesale & retail and accommodation catering industry were the most sensitive to the impact;Leasing and business services,transportation industry were the least affected by the impact.The study in this paper can provide a meaningful reference for the structure optimization of in-dustry credit of commercial bank.