The Credit Risk Assessing Of Commercial Bank System In China:Based On Macro Stress-Testing

Credit risk management has been the focus of commercial banks for a long time, in case of a credit crisis,it will lead the risk of inflection and affect the real economy. Despite many times of financial reforms have been made, our country’s commercial banks have established a primary risk management system, but the situation that many commercial banks non-performing loans rates are still high is not improved, credit risk prediction and management of commercial banks are particularly important to commercial banks. As an important method to predict risk, stress-testing has been widely applied aboard. While in our country, stress-testing application is still in its infancy, so according to our country’s actual situation, to further explore and apply stress-testing to our commercial banks has a certain significance.Through the study of stress-testing, with the structure of credit portfolio view model, in this paper, we build a macro stress-testing model in line with our country’s actual situation to study the relation between the non-performing loans rate and the macroeconomic factors. First, in this paper we select nominal GDP growth rate, CPI growth rate and M2growth rate from first quarter of2004to the fourth quarter of2013as macroeconomic variables in the macro stress-testing model, in order to study how these variables influence the non-performing loans rate. Second, on the basis of building the macro stress-testing model, we use the method of stimulated stress scenarios, set two extreme stress scenarios:the nominal GDP growth rate decline and the CPI growth rate rise, analyze when banks face mild, moderate and severe impacts, how the non-performing loans rate vary in the four quarters during2014. In the end, according to the result of the macro stress test, give some suggestions to our country’s banks to complete the credit risks management and the stress-testing in the future.Through research, it shows that:(1) the nominal GDP growth rate, CPI growth rate and M2growth rate have significant impact on the non-performing loans rate of major commercial banks. Among them, the nominal GDP growth rate and M2growth rate have negative relationships with the non-performing loans rate, and CPI growth rate has a positive relationship with the non-performing loans rate.(2) From the view that what is the degree of macroeconomic variable influence the credit risk of our commercial banks, it shows that the CPI growth rate have the deepest impact on commercial banks,then the nominal GDP growth rate, the M2 growth rate.(3) Under the assumed two extreme stress scenarios, when faced with varying degrees of impacts, the non-performing loans rate of major commercial banks in the four quarters of2014both showed a significant upward trend, which shows China’s commercial banks influenced by macro economic credit risk, risk-resisting ability of the banking system is not very strong, banking system’s stability is weak.