The Study Of Macro Stress Testing Based On The Risk Contagion Effect Of Commercial Banks

Macro stress testing after the financial crisis has been the academic attention, butmost of the macro stress testing did not consider the risk of contagion effects in theinter-bank, just to bring the impact of the banking system as a whole to considerchanges in the real economy, and did not analyze these shocks from spreading withinthe banking system would have led the banking system at greater risk.To the potential systemic risk faced by the more accurate monitoring to preventthe banking system, it is necessary to consider the banks’ risk contagion effect in thestudy of macro stress testing. So we proposed a risk-based contagion effect of macrostress testing models, macro stress testing in research from the perspective ofmacro-prudential management of the financial industry. this two-step to theestablishment of macro stress testing model based on banks’ risk of a contagion effect.First step to construct the macro stress testing model, the first empirical analysis todetermine the four macroeconomic impact variables, growth rate of gross domesticproduct, consumer price index, national housing climate index, the entrepreneurconfidence index, risk indicators selected by the HP filter processing, and ultimatelybuild the model of macro stress testing the correlation between risk indicators andmacroeconomic variables. The second step construct the risk of infection model, thefirst based on information entropy optimization principle to estimate the bilateralinter-bank risk positions matrix, and then by the matrix method model depicts therelationship of bank lending in the interbank lending market, and to assess themacroeconomic shocks in the internal banking system risk contagion effect.The data of16listed banks in macro stress testing empirical research based onbanks’ risk of a contagion effect. Concluded that: in the same stress scenarios did notconsider the risk of a contagion effect in the inter-bank stress test results to considerthe risk of a contagion effect in the inter-bank stress test results were compared, Theformer operating difficulties of the number of bankers less on average2-3, thepotential risk is reduced, so consider the risk of contagion effects of bank stresstesting more objective measure of the true risk in extreme risk situations faced by thebanking system.On the basis of the previous theoretical analysis and macro stress testingmethods based on inter-bank risk contagion effect, given the countermeasures of China’s banking sector to prevent systemic risk, and targeted macro stress testing inmacro-prudential management framework for the use of a few suggestions.