基于宏观压力测试方法的商业银行体系信用风险评估_华晓龙.pdfVIP

DOI :10.13653/j.cnki.jqte.2009.04.012 基于宏观压力测试方法的商业 行体系信用风险评估 ·117 · 基于宏观压力测试方法的商业银行 体系信用风险评估 华 晓 龙 (西安交通大学经济与金融学院、 内蒙古财经学院金融学院) 【】本文以贷款违约率作为评估 行系统信用风险的指标, 使用 Logit 模 型将贷款违约率转化为综合指标 Y, 以指标 Y 作为因变量与宏观经济因素进行多 元线性回归分析, 通过假设情境法进行宏观压力测试, 定量分析宏观经济因素波动 对中国 行体系贷款违约率的影响。研究结果显示:名义国内生产总值、消费者价格 指数、真实房地产价格指数和名义流动贷款利率对 行体系贷款违约率的影响显著。 本文构建了两种宏观经济极端情境———名义国内生产总值大幅下降和通货膨胀率骤 升, 在这两种情境设定下, 行体系的贷款违约率都出现了不同程度的大幅度提高。 　宏观压力测试　信用风险　贷款违约率　逾期贷款率 　F832.2　　　A The Credit Risk Assessing of Commercial Bank System in China:Based on Macro Stress-Testing 　　Abstract:This paper mainly studies on the application of macro stress-testing in assessment of the bank s credit risk.On the basis of comparatively analyzing the mature models to establish the model fitting for hina s situation, this paper sets overdue loans ratio as a credit risk indicator, uses Logit equation transferring it into a composite indicator which could reflect the banking system s default probability, and then establishes linear regression model with macroeconomic factors.At last the paper gives quantitative analysis on how macroeconomic factors could affect de- fault probability of hina sbanking system with a hypothetical situation of stress tests.The paper practices stress-testing under two macroeconomic stress scenarios repectively, then finds that:macroeconomic variables like the nominal gross domes- tic product, the consumer price index, the real price of real estate index, and the nominal liquid lending rates all have significant impact on loans default ratio of the banking system.On the scenarios about sharp decline of NGDP and surge of PI, default probability of banking system s loans goes up sharply. Key words:Macro Stress-testing; redit Risk;Defualt Probability;Ov