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

City commercial banks are an important component and a special groups of China’s banking sector, its predecessor was the urban credit cooperatives which were established in the 1980 s. In recent years, city commercial banks have made great progress and development, but with the constant changes in the macroeconomic environment and deepening reform of the financial industry, due to the multiple effects of their nature and the external environment, city commercial banks still have many problems relating their future development, and the most important and urgent problem is the credit risk problem.In 2007, the US subprime crisis awakened the alarm for us. After the crisis, the national banking regulators consensused to strengthen macro-prudential supervision, that is they would pay more attention to prevent systemic risk and maintain the stability of the financial system. Macroeconomic fluctuations bring the great impact of sound operation to all commercial banks in the world, so the macroeconomic factors must be taken into account as the important parameters when all kinds of commercial Banks, especially the city commercial bank measure the credit riskThis paper’s theme is the stress test for credit risk in city commercial banks, and its principle is first theoretical and then practice. In the first section, the paper introduced the importance of city commercial bank’s credit risk under the macroeconomic changes; secondly, the paper described the credit risk concepts and theories related to stress testing methods in detail, including the causes and current situation of the city commercial bank’s credit risk, the comparative of credit risk measurement models and concept、classification and process of stress test, and the relationship of macroeconomic factors and city commercial bank’s credit risk are analyzed in theory; then, selected the required model variables, analyzed and processed the required variables, built the macro stress testing model; finally, made an empirical research for city commercial bank’s credit risk with the build model, namely, chosen two variables as situational variables, exerted different pressures, and tested the change trend of city commercial bank’s credit risk under different stress scenarios. The results showed that when China’s city commercial banks were subjected to adverse macroeconomic shocks, the NPL ratio increased and credit risk also increased significantly. After analysis, due to its own characteristics, there is a big potential credit risk in China’s city commercial banks, the risk once appear, it would seriously affect the stability of commercial banking system. In view of this, some countermeasures and advices was put forward to nip in the bud in the last chapter.