Empirical Reseach Of Commercial Banks Credit Risk Stress Test

Banks, as financial and economic center, have a particular important responsibility to the entire national economy and the whole society. In essence, commercial banks are financial institutions, which operate risks. The BSC according to the characteristics of risk factors, the bank may face the risk is divided into eight categories:credit risk, market risk, liquidity risk, operational risk, country risk, reputation risk, legal risk and strategic risk, and credit risk which is the most basic, the most important risk. According to the McKinsey Co, the international banking industry actual risk capital allocation research data, in the overall risk faced by the bank credit risk to occupy a larger proportion, about60%. Therefore, whether banks can effectively manage risks will directly determine its success or not.5years ago, the financial crisis had caused many banks went into bankruptcy. After the crisis, strengthening banking supervision has become the international consensus, so how to effectively control the credit risk of commercial banks, reducing extreme risk events caused damage to the banks, it is worthy of our study.At present, the international on the reference standards of banking supervision and risk management is mainly developed by The Basel Committee, which is The "Basel agreement" and the relevant documents, the risk management methods:the value at risk and stress testing. after the financial crisis, various countries financial supervision authorities give more attention to the Stress Testing. In2009, the United States and Europe has started the practice of banking stress tests.There are five chapters in the paper:The first chapter mainly introduces the reality and theory background, discusses the significance of choosing this topic, reviewed the theory of stress testing at home and abroad, introduced the main topic of this study stress testing in the credit risk management of commercial banks. The second chapter discusses the characteristics of the credit risk of commercial banks and the main measurement methods. The third chapter, the definition and the main procedure of stress testing, summarized the application of stress testing. The fourth chapter, the commercial bank credit risks stress testing. The fifth chapter, conclusions and policy recommendationsThe main contribution of this paper concludes following aspects:First, summarizes the stress testing theory at home and abroad, as well as the application in Germany, Britain, the United States, the European Union and China’s. Especially The FSAP stress testing in UK and USA. Second, studied the stress testing theory, the credit risk of stress testing and stress testing analysis methods are described in detail. Third, established the commercial banks’ credit risk analysis model, and empirical analysis of the credit risk stress testing of China’s commercial banks, and provides suggestions for developing the stress testing work in China in the future.