基于宏观压力测试的我国商业银行信用风险研究

发布时间：2018-01-10 10:35

本文关键词：基于宏观压力测试的我国商业银行信用风险研究　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：受到经济增速放缓等宏观经济波动的冲击,我国商业银行不良贷款率连续多个季度持续上升,银行资产质量有持续恶化的趋势,银行面临的信用风险持续上升。本文对我国商业银行进行了宏观压力测试,为建立适合我国国情的压力测试模型提供了一些借鉴,也便于认清商业银行在可能发生的宏观经济波动下,金融系统的稳定性以及银行业的风险暴露水平,这对于我国现阶段的银行业具有现实意义。本文在介绍了国内外相关研究成果的基础上,给出了信用风险的相关定义和特征,在对比了四种现代化的信用风险度量模型之后,最终选取CPV模型进行宏观压力测试,并分析了现阶段我国商业银行所面临的信用风险情况。之后,本文介绍了压力测试的定义、分类及操作流程。在实证部分,经过对比后选取不良贷款率作为承压指标进行压力测试,随后选取了GDP增长率、固定资产投资完成总额、社会消费品零售总额、进出口总额、广义货币供给量M2、CPI同比增长率、五年以上贷款利率这些宏观经济指标作为解释变量并结合CPV模型构建信用风险传导模型,通过多元线性回归得出最终模型。结果显示GDP增长率和固定资产投资完成总额与商业银行不良贷款率呈现负相关的关系,而CPI对不良贷款率的影响则是正向的。其他指标对于不良贷款率并没有显著的影响。在压力测试环节,根据模型结果和相关指标的变化趋势,分别设定了轻度、中度、重度三种压力测试情景,结合信用风险传导模型执行压力测试。结果表明一年以后,在轻度、中度、重度三种冲击下,不良贷款率将分别上升至2.43%、3.37%、5.31%,同时拨备覆盖率将会下降至128.07%、92.35%、58.61%。我国商业银行的风险抵御能力明显下降,甚至出现了风险无法被完全覆盖的情况。为了提高我国压力测试、降低商业银行所面临的信用风险,文章最后提出六项政策建议:一、建立我国商业银行业数据库,完善信用体系的建设。二、建立符合我国国情的压力测试体系。三、政府应该积极的稳定物价水平,将通货膨胀保持在适度的范围。四、政府应提高经济发展质量,改善投资环境。五、引进专业的风险管理人才,加大人才培养的力度。六、进一步完善不良贷款处理体系。
[Abstract]:Under the impact of macroeconomic fluctuations such as economic slowdown, the non-performing loan ratio of commercial banks in China has been rising for several consecutive quarters, and the quality of bank assets has been deteriorating. The credit risk faced by banks continues to rise. This paper carries out macro stress tests on commercial banks in China, which provides some reference for the establishment of a stress test model suitable for the situation of our country. It is also convenient to recognize the stability of the financial system and the risk exposure level of the banking industry under the possible macroeconomic fluctuations of commercial banks. This is of practical significance for China's banking industry at this stage. Based on the introduction of relevant research results at home and abroad, this paper gives the relevant definition and characteristics of credit risk. After comparing four modern credit risk measurement models, CPV model is selected to carry out macro stress test, and the current situation of credit risk faced by commercial banks in China is analyzed. This paper introduces the definition, classification and operation flow of the stress test. In the empirical part, we select the non-performing loan ratio as the pressure index to test the pressure, and then select the growth rate of GDP. Total investment in fixed assets, total retail sales of consumer goods, total imports and exports, and broad money supply M2 / CPI growth rate. Loan interest rate of more than five years these macroeconomic indicators as an explanatory variable and combined with the CPV model to build credit risk transmission model. The final model is obtained by multiple linear regression. The results show that the growth rate of GDP and the total completion of fixed asset investment are negatively related to the non-performing loan rate of commercial banks. The influence of CPI on the non-performing loan rate is positive. Other indicators have no significant effect on the non-performing loan rate. In the stress test, according to the results of the model and the change trend of related indicators. Three stress test scenarios, mild, moderate and severe, were set up, and the results showed that one year later, under three kinds of shocks, mild, moderate and severe, combined with credit risk conduction model, the stress test was performed. The non-performing loan ratio will rise to 2.43% and 3.37% 5.31% respectively, while the coverage rate of provisions will fall to 128.07% or 92.35%. 58.61. in order to improve the stress test and reduce the credit risk faced by commercial banks, the risk resistance of commercial banks in China has obviously decreased, and even the risk can not be completely covered. Finally, the article puts forward six policy recommendations: first, to establish a commercial banking database in China, improve the construction of credit system; second, to establish a stress test system in accordance with the national conditions of our country. The government should actively stabilize the price level and keep inflation in a moderate range. Fourthly, the government should improve the quality of economic development and improve the investment environment. Fifth, the introduction of professional risk management personnel. Increase the strength of personnel training. Sixth, further improve the processing system of non-performing loans.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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