商业银行压力测试的国内外研究现状及其评述  

The Situations of Study and Comments on Stress-testing of Commercial Banks Home and Abroad

作　　者：杨文生[1] 赵杨[1] 

机构地区：[1]山东经济学院财政金融学院,山东济南250014

出　　处：《税务与经济》2010年第6期15-20,共6页Taxation and Economy

摘　　要：在经济金融全球化不断发展的背景下,银行业稳健性对整个宏观经济的健康发展及抵御危机的能力至关重要。在实务应用上,仅仅使用日常风险度量工具(VAR)来衡量市场风险是不恰当的,压力测试作为VAR的重要补充,旨在用来测量某些小概率事件对银行经营或其所拥有的投资组合造成的影响。压力测试现已成为风险管理强有力的工具,在各国政策当局的金融稳定性评估中获得了广泛应用。With the development of economic and financial globalization,the stability of bank system is essential to the whole macroeconomic healthy development and the ability of withstanding risks.In practice,just only adopting daily risk measurement tools（VAR） to measure the market risk is not appropriate,stress-testing as an important supplement to the VAR,is used to measure the impacts on the operation of banks and its own investment portfolio by certain little probability of events.Stress-testing has already become a powerful and effective tool to risk management at present and has been widely used in the financial stability analysis by supervisory authorities.This paper makes comprehensive instructions on stress-testing home and abroad,and carries on corresponding synthesis and comments.

关 键 词：压力测试 商业银行 风险管理 

分 类 号：F830[经济管理—金融学]