基于MC方法的商业银行信用风险压力测试——以某银行为例的实证分析

The Credit Risk Stress Testing of the Commercial Banks Based on the Monte-Carlo Simulation(MC)

本文以某中小商业银行为例,结合湖北经济金融运行实际构建了宏观经济压力测试模型系统,包含一个说明不良贷款率的多元线性回归模型,以及一套说明宏观经济环境的自回归模型。然后运用蒙特卡罗方法随机模拟了基准和受宏观经济冲击下该银行不良贷款率的统计分布。结果显示,在面临假设的宏观经济冲击,特别是GDP和房地产冲击时,该行不良贷款率上升较快,为金融管理部门和商业银行充分了解其经营状况的薄弱环节提供了有价值的参考。

Takes a bank for example,this paper create a macro-economy stress testing model system according to the economic and financial operation in Hubei Province.There is a multiple linear regression model for non-performing loan ratio and a autoregression model for macro-economic environment in the system.The paper utilizes the Monte-Carlo stimulation(MC) to stimulate the benchmark and the statistical distribution of the bank's non-performing loan ratio under the impact of macro-economy.The results show that the non-performing loan ratio increasing fast when confronting the hypothetic macro-economic shock,which provides valuable reference for financial management department and commercial banks realizing their weaknesses in the operation.