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The Empirical Research Of Stress Testing On Commercial Bank's Credit Risk

Posted on:2017-09-06Degree:MasterType:Thesis
Country:ChinaCandidate:C H WangFull Text:PDF
GTID:2359330512966117Subject:Finance
Abstract/Summary:PDF Full Text Request
As the important hub of social and economic development,the operational stability of the commercial banks shall concern the development of the whole society.While facing to the grand economic background of the “new normal”,both the domestic and foreign economic entities has asked the higher requirement on the operation of commercial banks.The economic trend of new normal enabled the commercial banks facing to the growing challenges and risks during their operating process,there into the risk threatening the operation of commercial banks to the largest extent shall be the credit risk.Thus,in this paper it determines to prevent and avoid the losses on the banks due to credit risk through stress test.In this paper,through the methods combining the empirical study and theory,it identifies the existing problems of China's commercial banks on credit risk,and further analyzes the situation of credit risk through the methods of stress test and internal rating method etc.First of all,in this paper,the regression fitting data was collected through the public method.In this paper,the data of five year loan interest rate,non-performing loan ratio etc were collected from the website of China Banking Regulatory Commission;the data of foreign exchange interest rate,price index,money supply,purchasing manager index,national housing business climate index,gross domestic product etc were also collected from the State Statistical Bureau,and incorporate above data and their lagging data into the regression fitting related to the no-performing loan rate,during the fitting process the lagging data of non-performing loan rate was also incorporated into this paper,enabling the model result more suitable for the practice.Secondly,to construct the Wilson stress testing system.Based on the regression fitting of the macro factors in different orders and the non-performing loan rate constructed with Wilson model,the GDP growth rate was determined as the basic variable in this paper,by establishing the relationship equation set between each macro factor and GDP growth rate through statistical software,to further construct such a Wilson stress testing system completely.Finally,the stress analysis was performed in this paper.By using the scenario analysis method and sensitivity analysis method,the risk resistance degree on the great decline situation of several shareholding commercial banks within short time during the occurrence of GDP growth rate was also calculated in the two levels of medium and heavy degree in this paper,and finally its testing result was also evaluated accordingly.At last,the conclusion was made in this paper that,the selected five macro factors or their lagging items can both pass the regression fitting test,each factor shall generate the influence on the non-performing loan rate in different directions and degrees;and under the risk level with the heavy and medium degree set by the internal rating method of the banks,the sample commercial bank can resist the impact of such stress quite well.The contribution of this paper are mainly included in following three aspects: the one is the improvement and innovation of Wilson model.In this paper the lagging period was set for the credit risk in this paper,and the lagging coefficient was also determined through the metering method,it made the result better fitting on the practice;the second one is to analyze by combining the historic scenario method and sensitivity analysis method.In this paper,the above mentioned two methods was combined to set the scenario and loss transmission,to determine the credit risk degree of the commercial bank under the set stress scenario;the third one is to adopt the internal rating method for measuring the risk.In this paper,by combining the improved Wilson model and the internal rating method for the commercial bank promoted by Basel association,it can more intuitively reflect the economic losses on the commercial bank caused by the credit risk of commercial bank.
Keywords/Search Tags:Commercial Bank, Credit Risk, Stress Testing, Wilson Model
PDF Full Text Request
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