金融控股集团信用风险压力测试的实证分析及对策建议

Financial Holding Groups’Risk Stress Test and Policy Suggestion

在国家防范重大金融风险攻坚战的背景下,为提高金融控股集团应对极端市场环境下的风险识别、计量以及抵御风险事件冲击的能力,提升风险管理的全面性、前瞻性和有效性,本文基于微观视角采用逐步回归分析方法对金融控股集团的信用风险进行压力测试,评估宏观经济形势、政策变化和交易对手信用状况变动等因素对金融控股集团的表内外资产、盈利状况和账面不良率可能造成的风险,并提出防范这些风险采取必要的经营战略及管理应对措施的对策建议。

In the context of the country’s prevention of major financial risks,in order to improve the ability of financial holding groups to identify,measure and resist the impact of risk in extreme market conditions,and to improve the comprehensiveness,forward-looking and effectiveness of risk management,this paper used a stepwise regression analysis method to stress test the credit risk of the financial holding group,and evaluate the factors such as the macroeconomic situation,policy changes and changes in the counterparty’s credit status,which may be caused by the financial holding group’s on-and off-balance sheet assets,profitability and book non-performing rate.Proposes countermeasures to prevent these risks by adopting necessary business strategies and managing countermeasures.