Credit Risk Management Of Chinese Commercial Banks From The Perspective Of Macroeconomic Fluctuation

At the end of 2007,the subprime mortgage crisis broke out in the United States of America,and many financial institutions suffered heavy losses.Since then,the crisis have spread rapidly and globally,and eventually turned into a worldwide financial crisis.After undergoing the long recession and gradually recovery,the global economy finally ushered in the 10 years rapid growth since 2017.While the world economy is tasting the "sweetness" of economic recovery,we must be deeply aware of the shortcomings of financial institutions in risk management.On the global outlook,finance has always played a decisive role in international competition and international relations.Therefore,maintaining financial stability is also the responsibility of the central banks all over the world.Credit risk is the key object of the risk management system of commercial banks in various countries.The significant contents of banks and regulators are effective monitoring the credit risk and early warning caused by credit risk,which have a great impact on the national economic development and even on the world economic stability.Thus,which mentioned above shows the importance and urgency of studying the credit risk management of commercial banks,so as to accurately identify and evaluate bank credit risk.In the comparative analysis of the modern credit risk management measurement models(mainly KMV model,Credit Risk+model,Credit Metrics model and CPV model),this paper finds that most of the current credit risk measurement models lack the consideration of macroeconomic factors.While neglecting the impact of this aspect is surely unreasonable and incomplete.Based on previous studies,this paper establishes a model linking macroeconomic factors with the credit risk of commercial banks on the basis of Credit Portfolio View(CPV).Fully recognizing and reasonably studying the impact of macroeconomic fluctuations on the default risk of commercial banks in China is helpful for commercial banks to improve their credit risk management and improve the efficiency of macro-prudential management.When choosing macroeconomic factors as independent variables,this paper analyzes the"New Normal" of China's macroeconomic changes and considers the coverage of variables as much as possible.The paper uses the least squares method to carry out multiple regression analysis and makes some improvements,and then cooperates with stress test model to simulate the banks' resistance capabilities,so as to estimate the extent of credit risk changes level in macroeconomic fluctuations.Practically,it is difficult to obtain the data of the dependent variable(the loan default probability of commercial banks),but on the basis of previous studies,we choose to use the non-performing loan ratio to conduct empirical research.At the same time,it also analyzes the differences between the credit risk management of commercial banks with different equity structures under the influence of macroeconomic fluctuations.The results show that quantifying the impact of macroeconomic factors on the default probability of commercial banks through the construction of CPV model and stress test model will help to improve the accuracy of credit risk measurement of commercial banks and provide a reference for the credit risk management of commercial banks in China under the future changes in macroeconomic environment.