Commercial Bank Macro Stress Test

Stress-testing, as a tool to assess the stability of entire financial system, has received considerable attention in the last few years. Commercial banks and financial sector regulators have taken the leading in the area of research, given the particular concern for financial stability issues. This paper attempts to build a credit risk model between the default rate and macroeconomic indicators in China to carry out macro stress-testing, and take Industrial&Commercial Bank of China for example to assess the risk level of the bank’s assets and risk-bearing ability. The paper shows the risk control of ICBC is reliable and reasonable at the present stage, and also provides methodology support for evaluating the vulnerability of China bank system.