宏观压力测试在我国银行系统信用风险评估中的应用研究

发布时间：2018-06-16 17:32

本文选题：宏观压力测试 + 信用风险　；参考：《西南财经大学》2012年硕士论文

【摘要】：作为对风险价值(VAR)方法的重要补充,压力测试方法主要被用于衡量当关键变量或者经济环境发生极端的大幅变动时经济主体所受到的影响程度。压力测试方法广泛的被各个企业应用在其风险管理工作中,上世纪90年代初,国外商业银行也开始使用压力测试方法。随着压力测试在国际银行业受到了越来越多的运用,压力测试在我国银行业也逐渐受到了重视。2004年12月,银监会出台了《商业银行市场风险管理指引》,该指引对商业银行建立全面、严格的压力测试程序并针对其市场风险进行压力测试提出了要求,这也是压力测试工作首次明确被银监会在相关文件里面提出。2007年7月下旬,银监会向部分银行机构(包括国有银行、股份制商业银行及资产规模500亿元以上的城市商业银行等)首次提出了对房地产贷款业务开展压力测试的要求。2007年12月,银监会正式出台了《商业银行压力测试指引》,要求各商业银行根据自身的业务发展情况和风险管理水平,制定相应的压力测试方案。这是银监会从监管角度出发,首次对商业银行提出全面、系统地开展压力测试的要求。2008年8月中旬,银监会向北京、上海、重庆等七省市银监局发出《关于开展重点地区房地产贷款压力测试的通知》,此后,银监会要求商业银行对房地产贷款开展压力测试工作的频率与力度都逐步加强,房地产类贷款的压力测试成为了我国商业银行风险管理的常规工作。通过银监会的这系列的动作,我们可以看到压力测试在我国银行业开始得到了逐步的发展与运用。根据开展压力测试工作的出发点的不同,可将压力测试分为微观压力测试与宏观压力测试。微观压力测试主要是基于金融个体自身的风险进行的压力测试评估；宏观压力测试则是基于对整个金融体系的风险进行评估的压力测试。1998年的亚洲金融危机发生后,人们对极端的经济情形开始加以关注,借此契机,风险管理领域的宏观压力测试方法开始受到了国际社会的关注1999年5月,国际货币基金组织(IMF)联合世界银行一起制定了“金融部门评估规划(FSAP)”,提出了将宏观压力测试方法应用在对各成员国金融系统稳定性的评估中。我国也于2009年8月正式加入了“金融部门评估规划(FSAP)",宏观压力测试方法在我国开始受到了重视。同时我们可以看到,我国商业银行面临着多样的风险,包括市场风险、信用风险、操作风险等。不仅影响不同风险的因素有所不同,而且同一影响因素对不同风险的影响程度也有所不同,因此我们在进行宏观压力测试时,针对不同的风险会采取不同的压力测试方法。其中,信用风险是指受信方未能按契约承诺履行义务,而造成授信方经济损失的风险。信用风险是全球银行共同面对的主要风险,在金融危机冲击下,企业存货增多、销售下降、居民收入降低、抵押物品贬值等情况,更会加大银行所面临的信用风险。在我国,银行的资产业务的重要部分仍是贷款业务,信用风险管理是我国银行系统风险管理的重中之重,对信用风险进行宏观压力测试,有助于监管当局深入了解我国银行体系的信用风险水平,并采取适当的措施提高银行对信用风险的防御能力、提高银行系统的核心竞争力。因此,本文将针对信用风险的宏观压力测试进行研究,通过评估极端情景发生时可能给银行系统带来的信用风险,为银行以及监管当局提供一定的参考。通过对信用风险的宏观压力测试,监管当局可以判断金融系统的稳定性并采取一定的手段保证金融系统乃至整个经济体系的稳定发展；银行可以了解自己所处的金融环境风险水平并采取一定的措施保证其在真正遭遇极端情景时可以正常运转。本文的研究主要分为五个部分：第一章,导论。这一部分首先介绍了宏观压力测试的发展与在我国的应用情况、说明了在风险管理中对信用风险进行宏观压力测试的重要性,并对国内外学者对压力测试的研究状况进行了适当的概述,且重点说明信用风险宏观压力测试的发展情况。其次,对本文的结构、研究思路和方法进行一个概要的介绍,使读者对文章的背景和主要思想内容形成一个初步的认识。最后,对本文的写作思路框架进行了简单的介绍,并对本文的创新之处进行了简要说明。第二章,信用风险宏观压力测试理论综述。这部分首先讨论了信用风险宏观压力测试的内涵,并认为信用风险宏观压力测试是一种基于金融系统稳定性、针对系统的信用风险防御能力进行的压力测试方法。其主要被监管当局用于评估当宏观经济变量发生大幅不利变动带来信用风险时,对整个金融体系的稳定性影响；也可被金融机构使用,以更好的认清自身所处的整个系统的信用风险情况并加强自身的信用风险防御能力。然后,具体介绍了进行信用风险宏观压力测试的四个具体步骤：确定参加压力测试的金融机构范围、信用风险识别、情景设定、情景分析,并重点介绍了在情景设定时可采用的具体方法。最后,从风险管理角度强调了监管当局进行信用风险宏观压力测试的重要作用。第三章,信用风险宏观压力测试的模型及选择。主要介绍了现今比较主流的信用风险压力测试模型,重点介绍了Merton模型、Wilson模型以及巴塞尔新资本协议中提出的信用风险测度模型。同时,对应用Merton模型与巴塞尔新资本协议中提出的信用风险测度模型的困难进行了分析,认为Merton模型假设条件比较严格,模型所设定的计算过程对数据及计算量的要求都较高；外部评级法和内部评级法则要求公开评级机构与内部评级技术的水平较高。而Wilson模型具有将银行信用风险与宏观经济变量直接联系起来、操作简单清晰明了、数据可得性较高等优点。因此,本文选择了以Wilson模型为基础进行自上而下的信用风险宏观压力测试。第四章,以房地产类贷款为例的实证研究。这一部分将前面部分所介绍的压力测试理论、方法以及模型与实际应用结合起来。首先对房地产类贷款进行压力测试的背景进行了介绍,说明了房地产行业与银行业的密切关系,并强调了房地产类贷款的风险在我国已经受到了关注。接着,分析了我国房地产类贷款的信用风险的特点、在金融主体之间的传导机制,形成对房地产类贷款的信用风险较为明确的认识,为建模中的压力指标与承压指标的选择提供理论依据。然后,本文采取历史情景与因素推动法相结合的情景设定方法设定了三种极端情景,并以Wilson模型为基础对我国房地产类贷款在设定的极端情景下的信用风险状况进行了计量分析,最终得出了在不同冲击强度下银行系统的不良贷款率与拨备覆盖率变化。第五章,结论与政策建议。就上一章对房地产类贷款的压力测试实证研究结果进行了总结,得出了三条结论：房地产类贷款的不良贷款率与宏观经济密切相关、房地产类贷款的不良贷款率受到上期不良贷款率的影响以及本文的压力情景下银行系统信用风险受到明显影响。随后,对我国银行系统的信用风险宏观压力测试实施过程中存在的制约因素进行了具体的分析,并认为我国存在数据不完善、信用评级行业与银行内部信用评级体系发展不完善、缺乏适合我国国情的信用风险宏观压力测试方法等制约信用风险压力测试有效实施的因素,并针对这些制约因素提出了诸如完善数据库、加快信用评级行业及信用评级技术的发展、建立适合我国国情的信用风险宏观压力测试模型等具体的政策建议。最后,对本文写作的不足之处进行了总结。本文的创新之处首先在于选取了宏观的研究角度。目前,压力测试方法在微观上的应用要多于宏观上的应用,在我国更是如此。我国银监会曾多次要求各商业银行针对房地产贷款进行微观压力测试,但是本文以房地产类贷款信用风险的宏观压力测试为切入点进行了实证研究分析。这为银行业监管当局对银行体系的稳定性进行考量判断提供了一定的参考。其次,本文在实证部分对房地产类贷款的信用风险传导过程进行了分析,使压力指标的选择更具合理性；同时,在估计出不同压力情景下银行系统的不良贷款率后,深入的分析了实证结果,即：对各压力情景下的拨备覆盖率进行了分析,并针对目前我国在信用风险宏观压力测试应用中的制约因素提出了一些政策建议。
[Abstract]:As an important supplement to the risk value (VAR) method, the stress testing method is mainly used to measure the extent of the influence of the economic subject when the key variable or the economic environment changes dramatically. The pressure testing method is widely used by various enterprises in its risk management work. In the early 90s of the last century, foreign commercial Silver As the pressure test is being used more and more in the international banking industry, stress testing is also being paid more and more attention to the banking industry in China, in December.2004. The CBRC issued the guidelines for the risk management of commercial banks, which set up a comprehensive, strict pressure testing procedure for commercial banks. The pressure test of the market risk is required. This is the first time that the pressure test was clearly put forward by the CBRC in the relevant documents in late July.2007. The CBRC proposed to some banking institutions (including state-owned banks, joint-stock commercial banks and 50 billion yuan to the city commercial banks) for the first time. In December.2007, the CBRC formally promulgated the guidelines for the pressure testing of commercial banks, which required the commercial banks to formulate corresponding pressure testing schemes according to their own business development and risk management level. This is the first time that the CBRC will start from the regulatory perspective for the first time to the commercial bank. In mid August.2008, the CBRC issued a notice to the seven provinces and cities of Beijing, Shanghai, Chongqing and other provinces and cities, the CBRC issued a notice on the pressure test of real estate loans in key areas. After that, the CBRC requested commercial banks to gradually strengthen the frequency and strength of the pressure test of real estate loans, and the real estate loan The pressure test of the money has become the routine work of the risk management of the commercial banks of our country. Through the series of actions of the CBRC, we can see that the pressure test has been progressively developed and applied in the banking industry of our country.
According to the different starting points of the pressure testing work, the pressure test can be divided into the micro pressure test and the macro pressure test. The micro pressure test is based on the pressure test evaluation based on the risk of the financial individual itself; the macro pressure test is based on the pressure test of the risk assessment of the whole financial system,.1998 After the Asian financial crisis of the year, people began to pay attention to the extreme economic situation. Taking this opportunity, the macro pressure testing method in the field of risk management began to receive the attention of the international community in May 1999. The International Monetary Fund (IMF) combined with the world bank to formulate the "financial sector assessment planning (FSAP)". The macro pressure testing method is applied to the assessment of the stability of the financial system in each member country. In August 2009, China formally joined the "financial sector assessment planning (FSAP)". The macro pressure test method has been paid attention to in our country.
At the same time, we can see that China's commercial banks face a variety of risks, including market risk, credit risk, operational risk and so on. The factors that affect not only different risks are different, but the impact of the same factors on different risks is also different. Therefore, when we carry out the macro pressure test, we are aiming at different risk meetings. The credit risk refers to the risk that the credit risk is caused by the credit side's failure to fulfill its obligations under the contract. The credit risk is the main risk that the global bank faces. Under the impact of the financial crisis, the increase in inventory, the decline in sales, the decrease of the income of the residents, the devaluation of the mortgaged goods and so on. In our country, the important part of the bank's asset business is still the loan business, and the credit risk management is the most important part of the bank system risk management in our country. The macro pressure test on the credit risk will help the regulatory authorities to understand the credit risk level of the bank system in our country and take the credit risk level. Take appropriate measures to improve the bank's ability to defend the credit risk and improve the core competitiveness of the banking system. Therefore, this paper will study the macro pressure test of credit risk, and provide some reference for banks and regulatory authorities by assessing the credit risks that may be brought to the banking system when extreme situations occur. On the macro pressure test of credit risk, the regulatory authorities can judge the stability of the financial system and take some means to ensure the stable development of the financial system and the whole economic system. The bank can understand the risk level of its financial environment and take some measures to ensure that it can be true when it is really experiencing extreme situations. It is often transported.
The research of this paper is divided into five parts:
The first chapter, introduction. This part first introduces the development of the macro pressure test and its application in China, explains the importance of the macro pressure test on credit risk in risk management, and gives a proper overview of the research status of pressure testing at home and abroad, and focuses on the macro pressure test of credit risk. Secondly, a brief introduction to the structure, research ideas and methods of this article is introduced to make a preliminary understanding of the background and main ideas of the article. Finally, a brief introduction is made to the frame of thinking of this article, and the innovation of this article is briefly explained.
The second chapter is a summary of the macro pressure test theory of credit risk. This part first discusses the connotation of the macro pressure test of credit risk, and considers that the macro pressure test of credit risk is a pressure testing method based on the stability of the financial system and is based on the system's ability to defend the risk of credit risk. The impact of the macro economic variables on the credit risk, the stability of the whole financial system, and the use of the financial institutions to better recognize the credit risk of the whole system and strengthen its own ability to defend the credit risk. Then, the macro pressure measurement of credit risk is introduced. The four specific steps of the test are to determine the scope of the financial institutions, the identification of credit risk, the setting of the situation, the situation analysis, and the specific methods that can be used when setting the situation. Finally, the important role of the supervision authorities on the macro pressure test of the credit risk is emphasized from the risk management point of view.
The third chapter, the model and selection of the credit risk macro pressure test, mainly introduces the current mainstream credit risk pressure test model, focusing on the Merton model, the Wilson model and the credit risk measurement model proposed in the new Basel capital agreement. At the same time, the corresponding Merton model and the Basel new capital agreement are put forward. The difficulty of the credit risk measurement model is analyzed. It is considered that the hypothesis of Merton model is more strict, the calculation process set by the model is higher for the data and the amount of calculation. The external rating method and the internal rating law require the higher level of the public rating agencies and the internal rating technology. And the Wilson model has the bank letter. With the direct link between the risk and the macroeconomic variables, the operation is simple and clear and the data availability is high. Therefore, this paper selects the top-down macro pressure test on the credit risk based on the Wilson model.
The fourth chapter, taking real estate loan as an example, this part combines the pressure test theory, method and model introduced in the previous part. First, it introduces the background of the pressure test of real estate loan, explains the close relationship between the real estate industry and the banking industry, and emphasizes the real estate. The risk of production loan has been paid attention in our country. Then, it analyzes the characteristics of the credit risk of real estate loan in China, the transmission mechanism between the financial subjects, a clear understanding of the credit risk of the real estate loan, and the theoretical basis for the selection of the pressure index and the pressure index in the modeling. In this paper, three extreme scenarios are set up by the scenario setting method combined with the historical situation and the factor promotion method. Based on the Wilson model, the credit risk status of the real estate loan in China is measured and analyzed. Finally, the bad loan rate and preparation of the bank system under different impact intensity are obtained. Coverage change.
The fifth chapter, the conclusion and policy recommendations. In the last chapter, the results of the empirical research on the pressure test of real estate loan are summarized, and three conclusions are drawn: the bad loan rate of real estate loan is closely related to the macro-economy, the bad loan rate of real estate loan is influenced by the bad loan rate of the previous period and the pressure of this article. The credit risk of the bank system under view has been obviously affected. Then, the restrictive factors in the implementation of the credit risk macro pressure test in China's banking system are analyzed, and the imperfect data in our country, the imperfect development of the credit rating industry and the internal credit rating system of the credit rating industry and the bank lack suitable for the national conditions of our country. The macro pressure test method of credit risk restricts the effective implementation of the credit risk pressure test, and puts forward some specific policy suggestions, such as perfecting the database, speeding up the development of credit rating industry and credit rating technology, and establishing a pressure test model of credit risk macro view, which is suitable for our country. After that, the shortcomings of this article are summarized.
The innovation of this paper is to select the macro research angle. At present, the application of the pressure testing method on the micro level is more than the macro application. In our country, the CBRC has repeatedly asked the commercial banks to test the real estate loans for the micro pressure, but the credit risk of the real estate loan is in this article. This paper provides a certain reference for the banking regulatory authorities to evaluate the stability of the banking system. Secondly, this paper analyzes the credit risk conduction process of real estate loans in the empirical part, making the selection of the pressure index more reasonable; meanwhile, After estimating the bad loan rate of the bank system under different stressful situations, the empirical results are deeply analyzed, that is, the reserve coverage rate under various stressful situations is analyzed, and some policy suggestions are put forward in view of the restrictive factors in the application of credit risk macro pressure test in China.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.3;F224

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