基于贷款结构差异的商业银行信用风险宏观压力测试研究

发布时间：2018-03-11 21:31

本文选题：商业银行　切入点：信用风险　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：宏观压力测试作为宏观审慎管理的重要组成部分，可用于评估宏观经济冲击下金融机构的极端损失，目前已受到全球金融机构和监管当局的高度重视。目前国内对于宏观压力测试应用研究才刚刚起步。信用风险是我国商业银行面临的最主要的风险。已有对信用风险宏观压力测试的研究侧重于评估宏观经济冲击对商业银行信用风险影响的大小，并未就商业银行产生这种变化的差异性的根源进行探讨。商业银行贷款结构是影响信用风险的重要因素，如果不考虑结构差异，将不能准确反映系统性风险变化。因此，本文从贷款结构差异的视角对我国商业银行进行信用风险宏观压力测试，旨在为商业银行进行科学信贷决策、有效防范极端情景下的信用风险提供参考。本文构建了基于贷款结构差异的商业银行信用风险宏观压力测试框架，选取2011年不良贷款率最高和最低的两家国有银行和两家股份制商业银行作为研究对象。首先，，选取GDP、CPI、一年期贷款基准利、第三产业生产总值占比和国房景气指数五个宏观经济变量，构建VAR宏观经济情景模型，模拟宏观经济因子的内在作用机制。其次，分析银行贷款结构特征，利用KMV模型测算基于贷款结构差异的银行违约率作为信用风险承压指标，构建各银行的宏观压力传导模型。再次，考虑宏观因子之间相互作用，对GDP增长大幅下降以及利率大幅上升两种极端情景下各商业银行信用风险进行压力测试，并从行业贷款结构差异和贷款期限结构差异的角度对压力测试结果进行分析。实证结果表明，GDP和利率大幅波动对我国各家商业银行信用风险的冲击都很大，在这两个宏观经济因子不同程度的冲击下违约率均出现了大幅度地增加。其中，在GDP增长率大幅放缓的过程中，制造业、建筑业、批发零售业、房地产行业和信息技术业这五个行业贷款总占比越高的商业银行，违约率越高。在利率大幅上升的过程中，中长期贷款占比越高的商业银行，违约率也越高。最后，本文就加强系统性信用风险的管理提出了相关建议。
[Abstract]:As an important component of macro-prudential management, macro-stress tests can be used to assess the extreme losses of financial institutions under macroeconomic shocks. At present, the global financial institutions and regulatory authorities have attached great importance to it. At present, the research on the application of macro stress testing in China has just started. Credit risk is the most important risk faced by commercial banks in China. The study of risk macro stress test focuses on assessing the impact of macroeconomic shocks on the credit risk of commercial banks. This paper does not discuss the root cause of the difference of the commercial bank. The loan structure of the commercial bank is an important factor affecting the credit risk. If the structural difference is not considered, it will not accurately reflect the change of the systemic risk. From the perspective of loan structure difference, this paper tests the credit risk of Chinese commercial banks in order to provide a reference for commercial banks to make scientific credit decisions and effectively guard against the credit risk in extreme situations. In this paper, the macro stress test framework of credit risk of commercial banks based on the difference of loan structure is constructed, and two state-owned banks and two joint-stock commercial banks with the highest and lowest non-performing loan ratio in 2011 are selected as the research objects. This paper selects five macroeconomic variables, such as VAR CPI, one-year loan benchmark interest, the proportion of tertiary industry GDP and the national housing boom index, to construct the VAR macroeconomic scenario model to simulate the internal mechanism of macroeconomic factors. Secondly, This paper analyzes the characteristics of bank loan structure, uses KMV model to calculate the default rate of bank based on the difference of loan structure as the credit risk bearing index, and constructs the macro pressure conduction model of each bank. Thirdly, considering the interaction between macro factors, The credit risk of commercial banks is tested under the two extreme scenarios of sharp decline in GDP growth and sharp rise in interest rate. The stress test results are analyzed from the perspective of industry loan structure difference and loan maturity structure difference. The empirical results show that the large fluctuations of GDP and interest rate have a great impact on the credit risk of commercial banks in China, and the default rate has increased greatly under the impact of these two macroeconomic factors. In the midst of a sharp slowdown in GDP growth, the higher the share of loans in the manufacturing, construction, wholesale and retail sectors, the real estate sector and the information technology sector, the higher the default rate. The higher the ratio of long-term loans to commercial banks, the higher the default rate. Finally, this paper puts forward some suggestions on how to strengthen the management of systemic credit risk.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224

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