信用价差对商业银行违约风险的影响分析——基于“跳跃—扩散”模型的压力测试研究

The Impact of Credit Spread on Commercial Banks′Default Probability—Stress Test from Jump-diffusion Model

研究基于资本市场数据,采用KMV模型求解的倒闭概率作为商业银行经营风险指标,再用“跳跃—扩散”模型模拟压力场景研究信用价差对商业银行违约概率的影响。研究发现,AAA级企业信用价差急剧变大时,中国商业银行违约概率非常低;AA级企业信用价差急剧变大时,中国商业银行违约概率也非常低;A级企业信用价差急剧变大时,大多数商业银行违约概率都非常高,甚至接近于1,爆发银行业系统性风险的可能性将非常大。

Based on capital market data,the study uses the probability of failure solved by the KMV model as an indicator of commercial banks′operating risks,and then uses the"jump-diffusion"model to simulate stress scenarios to study the impact of credit spreads on commercial banks′default probability.The study found that when the AAA-level corporate credit spread sharply increases,the default probability of Chinese commercial banks is very low;when the AA-level corporate credit spread sharply increases,the default probability of Chinese commercial banks is also very low;when the A-level corporate credit spread increases sharply,the default probability of most commercial banks is very high,even close to 1,and the possibility of a occurring bank systematic risk will be very high.