Research On Macro Stress-testing Of Credit Risk Of Chinese Commercial Bank

The Subprime Crisis of USA reveals the incompetent ability to deal with credit risk of a large number of commercial banks under extreme economic fluctuations. Although the Subprime Crisis has passed over five years, the negative influence of the global economy has deeply been going on. Today, how to identify, prevent and monitor the credit risk or how to keep the financial system stable should be the most serious problem for commercial banks and financial regulators of all countries in the world. China is a developing country. Chinese commercial banks and financial regulators need to pay more attention on those two questions due to the late start of financial market and less experience on financial regulation. The main work of the paper is as followed:(1) Basel Capital Accord is the internationally recognized banking supervisory standards. This paper makes a comparative analysis on several aspects of the three editions of capital accord from1988to2010, such as background, regulatory standards, special contribution and so on, to study the rules for risk management of global commercial banks. China has made some regulations according to our characteristic of financial market in the process of implementation of the Basel Capital Accord, this paper aims to study the results of implementation.(2) Considering the four major Chinese state-owned commercial banks-Bank of China, Agricultural Bank of China, Industrial and Commercial Bank of China and China Construction Bank as the object, through financial statements analysis and chart analysis and other methods, the paper studies China’s four major state-owned commercial banks’risk management framework and the quality of credit risk assets, to reflect Chinese commercial bank credit risk management problems. Then the paper study the relationship between Chinese commercial banks credit risk and macroeconomic from the theoretical point of view.(3) This paper aims to reflect the current situation of credit risk management of Chinese commercial banks, through the empirical test between the data of Non-performing Rate collected from2000to2012which published on the annual report of14commercial banks listed in Shanghai Stock Exchange, and the data of macro economy. According to the empirical results, we suggest some methods, such as the implementation of the Basel Capital Accord, the establishment of a comprehensive risk management system and government regulator’s stress-testing, to improve the ability of credit risk management of Chinese commercial banks.