国内上市中小商业银行的压力测试研究

发布时间：2018-06-24 02:42

本文选题：信用风险 + 压力测试　；参考：《西安电子科技大学》2012年硕士论文

【摘要】：2011年,我国经济同时经历着外围经济形势恶化、国内通货膨胀、房地产泡沫、地方融资平台等一系列危机,国内企业的生存环境非常恶劣。我国金融行业经营风险增大,特别是中小商业银行由于其本身抗风险能力不强,面临着更加巨大的潜在风险。本文以国际上广泛使用的WILSON压力测试模型为基础,将反馈因子纳入变量之中,形成改进的WILSON模型,并对我国10家样本中小商业银行进行了信用风险压力测试,以预测其在面临极端不利情景时的表现。通过对压力测试结果的分析,发现了我国中小商业银行压力测试实践中遇到的困难,总结了中小商业银行运用压力测试方面存在的普遍问题和不足。最后,为中小商业银行如何更好的运用压力测试和结合压力测试促进自身发展分别提出了一些建议。
[Abstract]:In 2011, China's economy experienced a series of crises, such as the deterioration of external economic situation, domestic inflation, real estate bubble, local financing platform and so on, and the survival environment of domestic enterprises was very bad. The management risk of our country's financial industry is increasing, especially the small and medium-sized commercial banks are faced with more huge potential risks because of their weak ability to resist risks. Based on the Wilson stress test model which is widely used in the world, the feedback factor is incorporated into the variables to form an improved Wilson model, and the credit risk stress tests are carried out on 10 small and medium-sized commercial banks in our country. In order to predict their performance in the face of extreme adverse scenarios. Through the analysis of the stress test results, the difficulties encountered in the practice of the stress testing of the small and medium-sized commercial banks in China are found, and the common problems and shortcomings in the application of the stress tests to the small and medium-sized commercial banks are summarized. Finally, some suggestions on how to better use stress test and combine stress test to promote their own development are put forward.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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