基于压力测试的商业银行信贷风险管理

A Research on Credit Risk Management of Commercial Banks Based on Stress Test

受经济增速放缓和新冠疫情影响,我国商业银行的经营风险尤其是信贷风险日趋增加,对商业银行信贷风险进行监测并采取一定措施防控,是维护商业银行稳健经营和金融安全的重要途径。梳理了我国商业银行信贷风险生成机制,构建宏观压力测试模型分析研究我国商业银行目前存在的信贷风险后发现:商业银行信贷风险与国内生产总值增速和广义货币供应增长率呈负相关关系,与居民消费价格指数呈正相关关系,且当国内生产总值增速与居民消费价格指数处于极端状态(处于设定的情景压力下)时,商业银行不良贷款率都有不同程度的增加,应从风险防控、贷款审批及金融监管等方面加以防范。

Affected by the slowdown in economic growth and the COVID-19 pandemic,business risks,especially the credit risk,of commercial banks are increasing.Monitoring credit risk and taking certain measures to prevent and control is an important way to maintain the steady operation of commercial banks and financial security.After sorting out the generation mechanism of commercial banks’credit risk and constructing a macro stress test model to analyze the current credit risk of commercial banks,this paper finds negative relationships between the credit risk of commercial banks and the growth rate of gross domestic product and the growth rate of broad money supply and a positive correlation between the credit risk of commercial banks and the consumer price index,and when the GDP growth rate and the consumer price index are in an extreme state(under the set situational pressure),the non-performing loan ratio of commercial banks will increase to varying degrees.So credit risk should be prevented by measures on the aspects of risk prevention and control,loan approval and financial supervision.