我国商业银行信用风险宏观压力测试研究

发布时间：2018-01-12 00:03

本文关键词：我国商业银行信用风险宏观压力测试研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：压力测试关注资产组合收益的厚尾特征分布,能度量在极端情况下资产组合损失,弥补了传统风险管理工具VaR的缺点,因而成为商业银行风险管理的重要工具。尤其是2007年末全球金融危机以来,压力测试特有的对危机的预警能力使其在各国金融体系中被广泛实践。由于我国压力测试的文献研究起步较晚,压力测试技术相对比较落后,大部分文献都是总结国外压力测试的研究方法,仅有少数论文运用我国商业银行数据进行实证研究,而且由于我国银行体系数据可比性较差,实证研究基本都是建立在个别银行基础上的,对银行体系的压力测试实践还比较少。本文对我国宏观压力测试研究的不足做了改进,一是在压力测试技术方面,在总结国内外研究的技术方法后,在宏观压力测试模型建立、风险因子选择和压力情景设定等方面都进行了创新或改进。二是在充分考虑银行体系数据可比性的前提下针对我国整个银行体系进行了压力测试实证研究,结果表明,gdp增长率、贷款利率、cpi、货币供应量增长率和房价指数是影响商业银行信用风险的主要宏观经济因素。压力测试结果表明,在所设定的轻度、中度和重度压力下,银行信用风险会显著增加,但是在重度压力情景下违约损失依然可以由贷款损失准备覆盖,说明我国银行业整体健康,承压能力较强。三是针对不同类别银行可能在相同的压力情景下承压能力的不同,对五类银行分别进行了实证研究并对其测试结果进行对比,结果表明国有银行信用风险受宏观经济衰退影响最为严重,股份制银行和外资银行其次,城市商业银行和农村商业银行受国家整体宏观经济衰退影响相比较小,并解释了这种结果与银行的所有权性质和经营范围的不同有关。并由此提出国有银行应当是压力测试监管最重要的部分,宏观压力测试要根据其特点采用不同层级的宏观数据。本文通过理论分析和实证研究,为我国商业银行体系宏观压力测试流程的完善和技术方法的科学性提供了重要参考。并提出将压力测试作为银行风险管理的常规化工具,对压力测试的技术方法、信息披露和监管等方面提出了相应的建议,对我国商业银行风险管理体系的完善具有重要意义。
[Abstract]:Stress testing focuses on the heavy tail characteristic distribution of portfolio returns, which can measure portfolio losses in extreme cases, and makes up for the shortcomings of traditional risk management tool VaR. Especially since the global financial crisis in end of 2007, the stress test has been widely used in various countries' financial systems because of its unique ability to warn of the crisis. Due to the late start of the literature research on stress testing in China, the stress test technology is relatively backward, most of the literature is to summarize the research methods of foreign stress testing. Only a few papers use Chinese commercial bank data for empirical research, and because of the poor comparability of the data of our banking system, the empirical research is based on the basis of individual banks. The practice of stress testing of the banking system is still relatively small. In this paper, the deficiencies of the study of macro stress testing in China have been improved. First, in the pressure test technology, after summarizing the domestic and foreign research methods, the macro pressure test model is established. The selection of risk factors and stress scenarios have been innovated or improved. Secondly, the empirical study on the stress test of the whole banking system has been carried out on the premise of considering the comparability of the data of the banking system. The results show that GDP growth rate, loan interest rate, money supply growth rate and house price index are the main macroeconomic factors affecting the credit risk of commercial banks. Under the set of mild, moderate and severe pressure, the bank credit risk will increase significantly, but the default loss can still be covered by the loan loss reserve under the heavy pressure scenario, indicating the overall health of the banking industry in China. Third, according to different types of banks may be under the same pressure scenarios, the five types of banks were studied empirically and the test results were compared. The results show that the credit risk of state-owned banks is most seriously affected by the macroeconomic recession, joint-stock banks and foreign banks are next, urban commercial banks and rural commercial banks are less affected by the overall macroeconomic recession. It also explains that this result is related to the nature of ownership and the scope of operation of the bank, and puts forward that the state-owned bank should be the most important part of the supervision of the stress test. Macro-stress test should adopt different levels of macro data according to its characteristics. This paper through theoretical analysis and empirical research. It provides an important reference for the perfection of macro-stress testing process and the scientific of technical methods in China's commercial bank system, and puts forward that the stress test should be used as the regular tool of bank risk management. This paper puts forward the corresponding suggestions on the technical methods, information disclosure and supervision of stress testing, which is of great significance to the perfection of the risk management system of commercial banks in China.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F224

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