Research On Macro-Stress Testing Of China Commercial Bank Credit Risk

The sound operation of commercial bank has an important significance topromote healthy and stable development and prosperity of the national economy."World Bank" studies several global banking crisis for many years and concludes thatbad management of credit risk is the main cause of commercial bank’s bankruptcy,thus strengthening the credit risk management and control is the key to the long-termand healthy development of commercial bank.In recent years, stress test with itsunique advantages in the bank risk management has been applied widely, yet itprovides a new research direction for credit risk management. Based on the credit riskof the commercial bank and the stress test theory and method, refer to the matureinternational credit risk measurement model, this paper builds a macro stress testmodel that perfects for commercial bank of China, then, has a stress test on theeconomic growth rate during the period of the Twelfth Five-year Plan.Macro stress test model uses CPV model as the macro stress test conduction model.Findings from the empirical research show that the GDP growth rate, the StateHousing boom index, financial expenditure, money supply growth rate, one-year timedeposit interest rate and the one-year lending rate have a significant effect oncommercial bank’s bad loan ratio, of which, the GDP growth rate, fiscal expenditure,money supply growth rate, one-year time deposit interest rate have a positiveinfluence on the credit risk of commercial bank; the State Housing boom index andone-year period loan interest rate have a reverse influence on the credit risk ofcommercial bank. For the influence degree, one-year lending rate is the biggestinfluential macro economic factor to the credit risk of commercial bank,followes bythe domestic production GDP growth rate.The stress test empirical analysis combines sensitivity analysis and scenarioanalysis. Sensitivity analysis uses one-year loan interest rate as stress situation, in themild stress cases, bad loan rate of commercial bank rises to1.82%compared to fourthquarter of2011,1%,increases by0.82%;In extreme situations, the stress is reached3.36%. In Scenario analysis, this paper improves the CPV model and conducts stressscene setting based on the VAR model and Monte Carlo simulation, thus makes itmore relevant to actual stress. The results of main factors of GDP growth stress testshows that under extreme stress situation,bad loan rate of commercial bank rises to 5.8%compared to fourth quarter of2011,with an increase of nearly five times.The empirical research results tells us, in stress situations, macro economicvariables impacts on bad loan rate of commercial bank remarkablely. During the riseof one-year period loan interest rate or different degree of decline of macro economy,our country’s commercial bank ’s bad loan ratio rises greatly, which will bring impactand test to the management of commercial bank.