Commercial Bank Credit Risk Stress Testing Research

Since the20th century, with the rapid development of the global economy, Banks are led by the high-speed expansion of financial institutions, Banks are much more than the definition of intermediary organizations, but the leading agency for the financial system, as banks industry is due to the lenders, credit risk is the inevitable crisis, southeast Asian financial crisis in1997and2007and the us subprime mortgage crisis were caused by banking credit crisis. As china is a developing country, bank is the main source of enterprises to raise funds, bank credit risk is the major risk factors of financial institutions in our country. Credit risk and macroeconomic are intimate. In-depth study of Chinese commercial Banks credit risk and macro economy is the need of the commercial Banks internal management, and prevent the banking system disorders, caused the stock market slump, the financial crisis and the needs of the political crisis. With the bankruptcy of Leiman brothers in2008, the commercial bank credit risk the subject constantly expand in many countries, and some countries applied the pressure test to measure risk, but because of its high cost, complex technology and lack of talent, many countries give up this technology. The us subprime crisis and Europe’s debt crisis swept through the global, countries had to pay attention to the development of pressure testing technology. The United States and Europe in2009, successively carried on the practice of the country’s Banks to conduct stress tests. China Banks started as early as2003to carry out pressure test, but due to the limiting condition, the plan has been in the experimental stage and has not been effective promotion. Banking regulatory commission in2007,"commercial bank stress test instructions" in specific provision, domestic commercial Banks must be in accordance with the procedures and regulations of the pressure test. In the international and domestic dual driven, stress testing in recent years has played an important role in the development of China’s banking industry. Since the1990s, the pressure test as an estimated economic loss under abnormal market conditions have been widely used in international banking and the whole financial sector, has become one of the effective methods of risk management. Throughout history data,we can see that the rate of return is not strictly conform to the normal distribution density function, but of the HouWei characteristics, namely in the probability of extreme market conditions tend to be higher than the hypothesis of fall of probability, therefore, pressure testing is paid more and more attention as a tail risk analysis tool by academia and industry. In recent years, on the other hand, war, political struggle, frequent natural disasters and financial crisis broke out, greatly increases the pressure test using frequency, that makes the stress test’s status got obvious improvement. Based on commercial bank loan default rates as an indicator to measure credit risk of commercial Banks, using a Logit model will default Rate into the intermediate index Y, macroeconomic factors to index as the dependent variable Y and multiple regression analysis, this paper uses six macro factor (GDP growth Rate, CPI index, the growth Rate of broad money M2, the one-year interest Rate, the enterprise boom index ES, real estate sales prices index Price) of the level of volatility to measure credit risk of commercial Banks, and through the erection of situational method carries on the macroeconomic stress test, quantitative analysis of the macro economy for commercial Banks non-performing loan ratio. The research results show that the GDP growth, real estate price index, residents fee price index and enterprise prosperity index and has significant effect on commercial bank credit risk. This paper established two extreme pressure situation, GDP growth dropped sharply and inflation rate increased dramatically, in both situations, Banks non-performing loan ratio was significantly improved.Finally based on this the stress test results, I put forward several reasonable Suggestions. Respectively is gradually developing and perfecting our country commercial bank to pressure test system; Commercial Banks should cultivate high-quality talents in the field of financial risk management; Standardized data management; Bank financial report should contain the stress test results; Pressure test method should be combined with other risk analysis method; When the commercial Banks to build pressure test model, we should be encouraged to use more extreme event variable.