The Research Of Stress Testing In Credit Risk On Commercial Banks

Following the liberalization, globalization and innovation in financial field, the risk environment is getting more and more complicated, meanwhile the competition is rising. As a result, the commercial banks are facing more serious credit risks.Bank managers all over the world have put a lot of attentions, especially after the global financial crisis in 2008, in rethinking the managing models and methods of the credit risk. Stress test as a prospective risk management tools, is used to estimated economic loss under extreme but objective existence of macroeconomic conditions. It has been widely used in international banking and the whole financial and has become an important methods of risk management. At present, China's commercial banks face an accelerated market reform and restructuring development challenge, so the regulators and the banks themselves have attached great importance to the management of all types of risk. In consequence, the researches of commercial bank credit risk stress tests have substantial practical significance in the stability evaluating of commercial bank, as well as preventing and resolving the systemic financial risk in our country.This article compared the different methods that foreign banks use macroeconomic factors on credit risk stress testing for reference base on assessing the commercial bank credit risk theory and the stress testing theory.Taking the characteristics of China's macroeconomic and financial system into account,method of commercial banks are compared, we select the SVAR model(structural vector auto regression model)to empirical analysis of the non-performing loan rate.It's designed to find out the effect of macroeconomic factors to the different types of banking institutions On the credit risks.Secondly,according to the historical scenarios, scenario by scenario and the growth rate of GDP and one to three year lending rate applied impact is appropriate, based on this study and to predict the trend of China's commercial banks non-performing loan rate. At the same time, using the dates to analyze the ability of risks resilience.The results found that the GDP growth rate, the benchmark in the interest rate, to a period of three years loans,CPI, exchange rate of non-performing loan ratio has obvious effects on interpretation, respectively, the growth rate of GDP in the opposite direction of movement and the rate of bad loans, one to three year lending rates,CPI, and exchange rate in the same direction movement, this is consistent with the actual situation. It again makes a further illustration on the validity and applicability of SVAR model used in credit risk measurement of Chinese commercial banks. The results show that, when the GDP growth rate of our country and one to three years lending rates were subjected to mild, moderate and severe impact, overall loan loss reserves of commercial banks can not cover the non-performing Loan loss.Finally, we made commendations for the use of stress tests by China's banking institutions from two aspects, the management of credit risk and the use of stress tests. These include:Improve the ability of commercial banks to defense risk; Establish related norms and standards of stress testing; Strengthen the supervision of the bank's risk assets; Construction the credit risk of macro stress testing system compatible with China's national conditions; Ensure the effective implementation of the credit risk stress testing.