Empirical Study On Credit Risk Stress Test Of Commercial Banks

Finance is the core of the modern economy.A stable and healthy financial system plays a crucial role in the country's macroeconomic stability and sustainable development.The financial industry itself has high liability,systematic vulnerability and risk contagion.How to evaluate and effectively prevent these potential risks and ensure the healthy and stable operation of the financial system has become the focus of concern of monetary authorities of various countries.As far as China's current financial financing system is concerned,the stability and healthy operation of the commercial banking system plays a decisive role in the healthy development of China's economic and financial system.Therefore,the commercial bank credit risk management theory that effectively prevents and controls commercial banks' Management theory of the most important.In the current credit risk management tools of commercial banks,more preclude the use of the value at risk,loan classification and default probability models to identify and monitor credit risk.In this paper,commercial banks credit risk stress test as the title,respectively,the use of theoretical research and empirical research method for analysis.Firstly,it introduces the significance of stress testing of commercial banks;the concept of stress testing,the classification of stress testing,stress testing and relationship,the international application of stress testing,the development of stress testing in domestic banking industry,The situation and the practice of developed countries for comparative analysis,at the end of the second chapter,introduced the steps and methods of stress testing,and according to the actual situation in our country,based on the study of domestic and foreign literature,choose the appropriate stress test in our country The third chapter specially studies credit risk stress testing,introduces the concept and characteristics of credit risk,combs the status of credit risk management in our country,analyzes the impact of macroeconomic factors on bank credit status,Model based on the actual situation in China,to carry out stress tests.Finally,based on the regression results and the stress tests,the conclusions drawn in this paper are as follows:(1)The faster the GDP growth rate increases,the faster the non-performing loans of commercial banks are digested and the non-performing loan ratio is lower;(2)The consumer price index(3)The more the benchmark interest rate of one-year loans increases,the larger the size of non-performing assets of commercial banks,the higher the non-performing loan ratio;(4)The growth rate of broad money supply(5)From the stress test,the decline of GDP growth rate has a notable impact on the non-performing loan ratio of commercial banks.At the same time,according to the conclusions of the study,suggestions are put forward(1)To establish a stress testing system that is suitable for the national conditions of our country;(2)to speed up infrastructure construction with financial databases and basic models as the core;(3)To establish a multi-level and multi-system stress testing system;(4)pressure test analysis results regularly public report;(5)the stress test results applied to the whole process of risk management.