后疫情时期商业银行风险压力测试研究——基于银行行业贷款数据的实证分析  

Commercial Bank’s Credit Risk Stress Testing in the Post-Epidemic Era——Based on the Industrial Loan Data

作　　者：张茜 梁海志[1] 马倩倩 Zhang Xi;Liang Haizhi;Ma Qianqian

机构地区：[1]邮政科学研究规划院金融研究中心 [2]中国社会科学院数量经济与技术经济研究所

出　　处：《开发性金融研究》2020年第6期22-28,共7页Development Finance Research

摘　　要：新冠肺炎疫情冲击下GDP短期受到冲击,商业银行不良贷款率随之攀升。本文利用SUR模型和MentoCarlo技术对国有商业银行进行信用风险压力测试,并从行业角度分析各具体行业不良贷款率对宏观经济冲击的敏感程度。研究发现,GDP增速同比下降情景下不同行业不良贷款率波动幅度不同,租赁和商务服务业、建筑业最为敏感,制造业、批发零售业表现出明显上升趋势,交通运输业、房地产业受冲击影响微小。The outbreak of the COVID-19 pandemic has caused economic recession.The GDP dropped in short-term and thenon-performing loan(NPL)ratioshave risen correspondingly.This paper uses the SUR model and Monte-Carlo method to conduct a stress test on the credit risk of state-owned commercial banks.Different fromformer studies,this paper focuses on theindustrial perspectiveand analyzes the sensitivity of NPL ratioof specific industriesin responding to macroeconomic shocks.The study showsthat different declines of GDP growth rates have different effects on the fluctuations of NPL ratios in specific industries.The leasing and business services,and construction industries are most sensitive to declines of GDP growth rates.With the decreases of GDP growth,the NPL ratiosof manufacturing,wholesale and retail industries haveincreased significantly,whilethe NPL ratios of transportation and real estate industries havechangedslightly.

关 键 词：后疫情 行业贷款风险 宏观压力测试 SUR模型 Mento Carlo技术 

分 类 号：F272.3[经济管理—企业管理] F832.4[经济管理—国民经济]