Stress Testing In Risk Management In Commercial Banks In China

For an essential supplement, stress test has became one of indispensable methods in risk management of commercial banks. And therefore some of my country's commercial banks are demanded to try stress test . At the same time, many scholars has began to research it and delivered some articles . Unfortunately, there is no one article for systemic introduction to it and a effective system about stress test in terms of the practical condition of our country's commercial banks. So on the basis of the domestic and foreign research results , the article try to make a comprehensive,systemic theory framework and model of stress test combined the practical condition of our country's commercial banks. Besides ,the demonstration analysis of the article has quite meaningful for understanding of the state and joint-stock commercial banks.The dissertation is composed of five chapters.The first chapter is basic theory. In the first ,make the definition of stress test in theory. Secondly, introduce the stress test procedures systematically. Thirdly, summarize and appraise the methods of stress test. Finally, review the domestic and foreign literature.The second chapter is demonstration model. The article has constructed the stress test model in view of the special condition of our country's commercial banks from the three angles of market risk, the credit risk as well as the liquidity risk .The third chapter is model restraints. According to our country actual situation and the model request, elaborate the model restraints from three angles. Firstly ,it is the method restraint. This model method mainly has sensitivity analysis and scenario analysis. Because sensitivity analysis only consider single factor and there are close relation between macro economic variables, its results is limited to the risk management of banks. Without good macroeconometric models the use of scenario analysis has been restricted. Secondly ,it is the restraint about interest rate and exchange rate. Because interest rate and exchange rate are controlled by...