The Empricial Study Of Stress-testing For Credit Risk Of The Commerical Banks In China

After the2008financial crisis, the international relevant regulatory authorities and financialinstitutions pay more attention on management and prevention of financial risk. Then the BaselCommittee draw up the relevant regulatory documents in order to strengthen the management ofcommercial bank risk. For China in which the economy is not developed, although with years offinancial reform, commercial Banks have been establishing the relevant risk system, most of thecommercial Banks in China still have a bad situation with loans rate of the high side and low capitaladequacy ratio that is bad for long-term stability and development of commercial banks. Moreover,in the practical application, general risk measurement tools (VaR) can only measure market riskabout the asset of commercial Banks in normal circumstances. For some event with small probablerare cannot be measured by VaR. So the stress testing as favorable supplement of VaR are necessaryfor credit risk management of commercial bank. Based on this background, this paper selects stresstesting of credit risk of commercial bank in China as the research object, through the empiricalanalysis, this paper research related macro factors affecting commercial bank credit risk in China.The result can take this certain reference for credit risk management and defense of maincommercial Banks in China, and improve the management level of credit risk.First of all, based on Non-performing Loans Rate to measure credit risk of commercial Banks inchina, we construct the macro-stress testing framework that is suitable for the assessment model ofcredit risk of Chinese commercial Banks, and analyze its structure features; Secondly, we select thevariable and data of the model, based on growth rate of the nominal gross domestic product (GDP),compared to the consumer price index (CPI) and the growth of Broad money supply (M2),weestimate parameters and analyze the results of the model; And then we use thecorrelative-stress-testing method and estimate the risk value of Non-performing Loans Rate ofcommercial Banks under the stress situation, so as to analyze the characteristics of credit risk of theChinese commercial Banks; Finally, we contrast and analyze the result of the stress testing, andunder the stress situation of growing of the GDP rate and CPI rise, we predict the change of theNon-performing Loans Rate in the first quarter of2013to the fourth quarter of2013.The results showed that: growth rate of the nominal gross domestic product (GDP)、theconsumer price index (CPI) and Broad money supply (M2) are significant factors which affect theCommercial Bank credit risk of China; the rise of the consumer price index （CPI）have a positiveimpact when growth rate of the nominal gross domestic product (GDP) and the grow of Broadmoney supply (M2) have a negative impact; In addition, when Commercial Bank of China facingpoor macroeconomic situation, the credit risk will be substantially greater, it means that the commercial bank of China has no stress anti-risk ability and the banking system is still not stableenough. Consequently, this paper puts forward to the proposed measures by which we improve thesystem stability of the commercial Banks.