Research On Credit Risk Of China's Commercial Banks Based On Macro-Stress Test

China's commercial bank's nonperforming loan rate continued to rise for several consecutive quarters,the quality of bank assets continued to deteriorate,and the credit risk faced by banks continued to rise,due to the impact of macroeconomic fluctuations such as the slowdown in economic growth.This paper provides a macro-stress test for China's commercial banks,provides some reference for the establishment of a stress test model suitable for China's national conditions,and also makes it clear that the stability of the financial system and the risk of the banking industry under the possible macroeconomic fluctuation,Which has practical significance for our country at this stage of the banking industry.On the basis of introducing the relevant research results at home and abroad,this paper gives the definition and characteristics of credit risk.After comparing the four modern credit risk measurement models,the CPV model is selected for macro pressure test,and the paper analyzes the credit risk situation faced by China's commercial banks at the present stage.After that,this article describes the definition of stress testing,classification and operational processes.In the empirical part,after comparing the non-performing loan rate is selected as a pressure indicator for stress testing,and then the paper selects the GDP growth rate,total investment in fixed assets,total retail sales of social consumer goods,total imports and exports,broad money supply M2,CPI year on year growth rate,more than five years lending rates these macroeconomic indicators as explanatory variables.And the CPV model is used to construct the credit risk conduction model.The final model is obtained by multiple linear regression.The results show that GDP growth rate and total investment in fixed assets are negatively correlated with the non-performing loan ratio of commercial banks,while the impact of CPI on nonperforming loan rate is positive.Other indicators have no significant impact on the NPL ratio.In the stress test part,according to the model results and related indicators of the trend of change,respectively,the paper sets the mild,moderate,severe three stress test scenarios,Stress test is carried out combined with credit risk transmission model.The results show that the non-performing loan ratio will rise to 2.43%,3.37% and 5.31% respectively after a year of mild,moderate and severe impact,while the provision coverage will drop to 128.07%,92.35%,58.61 %.The risk resistance of China's commercial banks has dropped significantly,and even the risk can not be completely covered.In order to improve our stress test and reduce the credit risk faced by commercial banks,the article finally put forward six policy suggestions: First,establish China's commercial banking database and improve the credit system;Second,establish the stress test system complied with China's national conditions;Third,the government should actively stabilize the price level,inflation will remain in the appropriate range;Fourth,the government should improve the quality of economic development and improve the investment environment;Fifth,introduce professional risk management personnel,increase the intensity of personnel training;Sixth,improve the bad loan processing system.