A Research On The Methods Of Credit Risk Stress Tests In The Commercial Bank Of China

Commercial bank is the cornerstone of country’s social and economic system, It playsan very important role in allocating funds social production need to various industries anddepartments,it imposes an great influence on the development of country’s economic. Thecredit risk,one of the most important risk of commercial bank,comes with the emergenceof commercial banks,will be always existing in the daily operation and management ofcommercial bank. Therefore, credit risk management has been a major issue in themanagement of commercial bank，Whether the credit risk can be managed effectivelyaffects the healthy development of the national economy.The subprime crisis, outbroke in America in2008,quickly swept to the world underthe globalization waves,resulted in a big loss to the development of the global financialmarket and economy. People came to know the importance of the financial system‵sstability, and have begun to improve management in the credit risk of domesticcommercial banks. Since traditional credit risk management methods had been unable tomeet the requirements under the new situation of credit risk measurement, stress testingmethod has attracted more and more attention.it gradually became the best weapon thedomestic commercial banks and financial institutions used in the management of creditrisk.This paper begins with the evolution of credit risk management, introduce the creditrisk management in systemic,then the paper will analyze and summarize thecharacteristics of the credit risk management. Finally we choose the CPV model as thecredit risk measurement models,of our country,based on the actual situation of thedomestic commercial banks. this paper preliminary select GDP growth rate, financialexpenditure, the State Housing boom index, M2growth rate, total retail sales of consumergoods, the consumer price index, net exports, the one-year loan interest rates, the one-yeardeposit interest rate as the explanatory variables in the model, then we use the stabilityanalysis, multicollinearity test to check these explanatory variables,finally we chose theGDP growth rate, financial expenditure, the State Housing boom index, money supplygrowth rate, one-year lending rate and the one-year deposit interest rate as the macroeconomic variables.Then the sensitivity of stress testing method and emotional stress testing method will be used to test the credit risk of commercial banks in china on thebasis of the model.After stress testing, this paper will compare two kinds of stress testingmethod with each other, summarize their own characteristics in use, and come up withsome advices about how to improve the using of stress testing in our country,such asimprove the relevant regulations, improve credit risk stress testing technology for thepractice, strengthen the application about the results of the stress testing, Strengthen thetraining of human resources etc..