The Application Of Bayesian Estimation Of Change-point Time Series Models In The Macro Stress-testing On Commercial Banks

Finance is the core of modern economy.In the context of the financing system at the present in China,the indirect financing dominated by commercial Banks account for the most part in social total funds.It makes the financing risk of default more concentrated in the banking system,so the commercial banking system's stability and healthy development plays a decisive role for the healthy operation of China's economic and financial system Because of the natural disasters,war,politics,and frequent outbreak of financial crisis,since the 1990 s,due to its estimated abnormal market advantage stress-testing under the condition of economic loss is widely used in the international banks and financial institutions,and has become one of the important methods of risk management.Firstly,the research situaion and basic theory of the stress-testing are introduced.Based on the predecessors' research results,on the base of Wilson model,commercial bank non-performing loans are chosen as the pressure indicator,and are converted into macro comprehensive index as an intermediate variable by the Logit transformation.Then the multivariate linear regression of the intermediate variable and the selected macroeconomic data is carried out.The result shows that the gross domestic product(GDP)growth rate,growth rate of broad money(M2),bank of one-year benchmark lending rate(LR).the consumer price index(CPI),the natioal housing development sentiment index(HIP)have an impact on commercial Banks non-performing loan ratio.After a detailed introduction of the Bayesian estimation of change-point time series models,in the scenario settings of the stress-testing the Bayesian estimation is used innovatively to discern the change point of the macro risk factor time series data.The historical development of risk factors are analyzed mare accurate.On the basis of the results the scene settings of the analysis of macro risk factor are carried on The non-performing loan ratios of commercial Banks in light,moderate,and severe cases are predicted.The predicted results are analyzed and the appropriate policy recommdations are given.