Research On Credit Risk Of China’s Commercial Banks Based On Marco-press Testing

The nature of the commercial banks determines that they should bear risks andbase themselves on managing risks to make earnings. With the speeding up processof financial globalization, the increment in international activities and the rapiddevelopment of derivatives, the correlation between commercial banks’ credit riskand other risks is getting stronger and stronger. Distinction between the twobecomes more and more difficult. Under new circumstance, credit risk managementbecomes increasingly prominent. Since the1990s, financial crisis happensfrequently. In2008happened the subprime crisis, the root cause of it is poor creditrisk management, and financial regulations cannot keep up with financialinnovation. Traditional credit risk management theory and measurement modelcannot meet the demands of the market, in order to compensate for the insufficienttraditional credit risk management theory, Basel Accord II uses a "three pillars"concept: minimum capital requirements (addressing risk), supervisory review andmarket discipline to manage the credit risk of commercial banks and ensure thestability of the entire system, launched in2010,"Basel III" raised the core capitaladequacy ratio of commercial banks from4%to6%to enhance the anti-riskability of commercial banks. How to generally and effectively conduct managementon bank credit risk is an important issue of China’s commercial banks.Using China’s listed commercial banks as the object of the study, from theempirical analysis point of view, this paper makes a macro stress testing researchon China’s listed commercial banks which are exposed to credit risk, so that it canprovide valuable references to improve the level of risk management of listedcommercial banks’ management comprehensively.The empirical results show that: the one-year benchmark lending rate R, theconsumer price index (CPI),Gross Domestic Product(GDP), the stock price index(SIDEX), retail sales of social consumer goods total Sells, total nominal moneygrowth rate of M2are the significant factors of affecting commercial banks’non-performing loan rate, and the coefficients of the regression equation shows thatthe one-year benchmark lending rate R, the consumer price index (CPI) make thegreatest impact on commercial banks’ non-performing loan rate, as we can see fromthe results of scenario stress test, the changes of R, CPI significantly affect listed commercial banks to the level of credit risk. When the R, CPI make extremeadverse change, the listed commercial banks non-performing loan ratio will greatlyincrease, it is the direct reflection of China’s listed commercial banks’ poor riskmanaging performance and the instability of our banking system.Based on the empirical analysis, considering China’s actual situation, it putsforward policy recommendations to strengthen the promotion of stress testingtechnology in the financial area, so as to enhance China’s listed commercial bank’scredit risk management capabilities, and improve the overall risk management levelof the banking institutions in China.