| As the important supply of value-at-risk (VAR), stress-testing is mainly used to measure the influence on economic entities when the key variable or the economic environment extremely changes. It is widely used in risk management of various enterprises. Foreign commercial banks begin to make use of stress-testing in the1990s, and stress-testing was also gradually valued in banks of our country. In December2004, the CBRC introduced "The Commercial Bank Market Risk Management Guidelines". It asked commercial banks to establish comprehensive and rigorous market risk stress-testing procedures, which was also the first time stress-testing mentioned in files of the CBRC. In late July2007, the CBRC firstly proposed stress-testing on the real estate loan in some commercial bank. In December2007, CBRC officially issued "Commercial Bank Stress-testing Guidelines" in the purpose of requiring the commercial banks to make appropriate stress-testing programs. In mid-August2008, the CBRC issued "Notice of the real estate loan Stress-testing on the key areas" to the Banking Regulatory Bureau in seven provinces and cities. Since then, the CBRC has strengthened the frequency and intensity of the real estate loan Stress-testing in commercial banks. Real estate loan Stress-testing becomes a routine work in risk management of commercial banks in China. Our banking system has put great effort in developing Stress-testing.According to the different perspective of stress-testing, stress-testing can be divided into micro stress-testing and macro stress-testing. The micro stress-testing is used to evaluate the individual risk, while the macro stress-testing is used to evaluate the risk of entire financial system. After the Asian financial crisis in1998, people began to pay attention on the extreme economic circumstances, and macro stress-testing had caught international attention. In May1999, the International Monetary Fund (IMF) combined with the World Bank developed "the Financial Sector Assessment Program (FSAP)". It put the macro stress-testing forward for risk management in each member states. In August2009, China has formally joined the "the Financial Sector Assessment Program (FSAP)", and macro stress-testing began to be valued in China.Meanwhile, China’s commercial banks face a variety of risks, including market risk, credit risk and operational risk and so on. Different risk is influenced by different factors and the same factor also has a different influence on different risk. So macro stress-testing for different risk should take different testing ways. Among them, the credit risk is the risk of loss arising from a borrower who does not make payments as promised. Credit risk is one of the major risks among global banks. And also in China, where loan business is still the main asset of banks, credit risk management play an important role in the banking system. Macro stress-testing of credit risk contribute to the banking regulatory authorities in depth understanding the level of credit risk, taking appropriate measures to enhance the risk defense capabilities and improving the core competitiveness of the banking system. Therefore, this paper will study the macro stress-testing in credit risk. By Macro stress-testing, the regulatory authorities can estimate the stability of the financial system and take certain measures to ensure the stable development of the financial system. Banks can also learn about their own financial environment and take certain measures to ensure the normal operation in extreme scenarios.This research is mainly divided into five parts:Chapter1:Introduction. The background and significance of this paper, the research status of both at home and abroad, as well as the structure, research methods and the innovation are introduced. So that readers can have an initial understanding of this paper.Chapter2:Theory and summary of macro stress-testing in credit risk. This part focuses on the meaning of macro stress-testing in credit risk, steps and methods in macro stress-testing, and emphasizes the important role of macro stress testing in credit risk management.Chapter3:Models of macro stress-testing in credit risk and the choice. This part introduces some mainstream stress-testing models in credit risk and highlights the Merton model, Wilson model and the proposed credit risk estimation models in New Basel Capital Accord. Then, we make comparison of the three models and choose Wilson model as a reference model for empirical research. Chapter4:A Case Study in the real estate loans. This section combines stress-testing theory, methods, and models with practical applications. The characteristics and conduction mechanism of the credit risk of real estate loans is analyzed to form a more clear understanding. Based on the analysis and Wilson model, we practice macro stress-testing on credit risk of China’s real estate loans.Chapter5:Conclusions and policy recommendations. First, the empirical results of stress-testing on real estate loans are summarized to three conclusions. Subsequently, the constraints that exist in the macro-stress testing are analyzed and policies are recommended. Finally, the inadequacies of this paper are described.The first innovation of this paper is we have chosen the macro research perspective. At present, the stress-testing has been practiced more in the microscopic field than macroscopic field, especially in China. The CBRC has repeatedly asked commercial banks for micro stress-testing on real estate loans, but the empirical research and analysis of this paper is focused on the macro stress-testing. This provides some reference for the banking supervisory authority to assess the stability of the banking system. Secondly, we have analyzed the conduction process of the credit risk of real estate loans, so that the choice of indicators is more reasonable. What’s more, the provision coverage under various stress scenarios is analyzed, and we have proposed some policy recommendations for China in the application of macro stress-testing of credit risk. |
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