Study On Market Risk Stress Test Of Shanghai Pudong Development Bank

With the deepening of finance and the continuous promotion of financial liberalization,interest rates,exchange rates and stock prices fluctuate frequently and violently.Influenced by market risk factors,China's commercial Banks are facing more and more uncertain market risks.As a means of risk supervision,stress test can effectively reduce the huge losses of commercial Banks caused by market risks.In order to improve the risk management ability of commercial Banks and strengthen the prevention of systemic risks,the China banking insurance regulatory commission issued the guidance on the stress test of commercial Banks in 2014.Under the influence of the international macro environment and the increasingly strict regulatory requirements of the regulatory authorities on financial institutions,the stress test is necessary to be carried out and studied for both the banking regulatory authorities and the Banks' own risk management.On the other hand,the active exploration of the stress test is helpful to improve the current market risk stress test method.In order to improve the effectiveness of the market risk stress test,this paper improves and optimizes the impact scenario of the market risk stress test and the market risk measurement model.Among them,for the construction of market risk stress test impact scenarios,this paper respectively selected the historical shibor series interest rate,the us dollar/RMB and the Hong Kong dollar/people's central parity,and wind financial index for time series analysis and prediction of mean and variance,and combined with monte carlo simulation to construct the stress test impact under different scenarios.According to the market risk measurement model,the interest rate sensitivity gap of different maturities is calculated in this paper with different interest rate fluctuations,the net foreign exchange exposure of different currencies is calculated with different exchange rate fluctuations,and the risk of stock price fluctuations is calculated with economic value method.Based on the improvement of the traditional stress test process,this paper selects the annual report data published by Shanghai pudong development bank in 2018 to make an empirical analysis of the market risk stress test.The results of the stress test show that the interest rate risk of Shanghai pudong development bank in the short term is higher than the risk of foreignexchange risk and stock price fluctuation,so SPD bank should strengthen its interest rate risk management.In the case of severe adverse impact,SPD bank's market risk loss is less than13% of its net interest income.It can be seen that SPD bank can withstand the adverse impact of market risk fluctuations in the short term.Finally,the article based on the analysis of test results of Shanghai pudong development bank risk management,constantly adjust the Shanghai pudong development bank market risk positions,increasing development of the intermediary business,the optimization of assets and liabilities of term structure,sufficient economic capital stock price volatility risk,perfecting the market risk pressure test process suggestion,in order to further improve its market risk management.