Stress Tests Application In Risk Management Of Commercial Banks

During the past twenty years, the global financial markets developed as a fast speed. Financial institutions are faced with the increasingly serious financial risks. The worldwide financial crisis outbreak frequently.Therefore, establishing an effective risk management system is very important.Faced of complex and volatile financial situation, in accordance with BaselⅡrequirements, commercial banks continue to strengthen risk management, using a variety of methods. It developed from simple mechanical standard method, to have certain flexibility, to a senior internal model method.Stress-testing approach is as a senior internal Modeling an important complement, it is mainly to study the financial system and in extreme cases, anti-risk ability to compensate for the internal model method can only measure of risk scenarios in the normal size of the defect, thus forming a the risk of a complete measurement system.The dissertation is composed of five chapters.The first chapter introduces the background of the stress-testing methods and the research situation. SectionⅠresearch stress test theoretical definition of micro-and macro-stress testing SectionⅡfocus on the literature of over review.ChapterⅡresearches stress testing methods. SectionⅠdescribes the basic theory. Stress-testing by the traditional method of introduction, pointing out that the theory of defects in the traditional method, combined with macro-and micro-pressure stress test criteria for the classification of the methods. SectionⅡis principally on the development process of stress testing, sub-two aspects of domestic and foreign. SectionⅢpresents the macro stress-testing methods, procedures and models. SectionⅣmainly micro-stress testing methods and procedures are explained.ChapterⅢtakes examples of the main application of structured methods for commercial banks to conduct stress tests of single loan. SectionⅠis a start with some basic assumptions. Section II is a structured method of empirical analysis SectionⅢthe results of these stress tests, choose the loan credit rating, loss given default rate, the correlation coefficient and risk-free interest rate as the test indicator to study the various parameters on the impact of loan value.ChapterⅣis mainly the conclusions and policy recommendations. Through the third chapter of the empirical results, we find that credit rating, the quality and relevance of indicators of income changes in the value of the loan portfolio greater impact on the proposed categories as indicators of commercial banks.