The Research On The Stress Testing Of Market Risks In The Bank Of Fudian

Launched in2003by IMF, the Second Pillar of the New Basel Accord requires that commercial banks to ensure that the main risks are fully identifying, measuring, monitoring and reporting, and to ensure that the levels of Internal Risk Capitals, the main levels of risks and the qualities of risk managements are adapted to each other. Considering it put forward higher requirements on the capabilities of China’s commercial banks’risk managements, it is important to use the market risk stress testing methods wisely, when estimating the capital adequacy ratio of commercial banks by the way of Internal Capital Measurement Models. This thesis selected Bank of Fudian, one of the city commercial banks in Yunnan Province, taking into account the characteristics of the term structure of the Balance Sheet of banks, and adding repricing intervals, to the basic models of stress testing of the market risks, to estimates of the capacity of commercial banks for market properly.First of all, there are an overview of the theories of market risk, and the internal capital model methods and standard methods of the measurements of internal capital adequacies of commercial banks. In addition, the author analyzed the concept, the historical developments, the methods, the goals, the testing processes and the existing researches, of the stress testing of the market risks stress. The whole point of my research is the revised models of stress testing of interest rate risks, and stated the historical changes of China’s market interest rates, the existing stress testing of interest rate risks, the revised models of the market risk stress testing of the Fudian bank’s market risks, and the constraints of the interest rate risk stress testing. Then, there are the analysis of revised stress testing models of exchange rate risks, the historical exchange rate changes of the Chinese RMB against the U.S. dollar and the RMB against the Hong Kong dollar, the existing stress testing models of exchange rate risks, and the results of analysis of stress testing of the Fudian bank’s exchange rate risk. Finally, there are policies and measurements about the Fudian bank’s stress testing, in order to achieve the specific applications of this research.