银行宏观审慎监管框架下的压力测试应用研究  

The Application of Stress Testing in Banking System under Macro-prudential Regulation

作　　者：殷俊[1] 刘爽 

机构地区：[1]中央财经大学经济学院,北京100081 [2]大公国际资信评估有限公司,北京100125

出　　处：《财经理论与实践》2011年第1期13-18,共6页The Theory and Practice of Finance and Economics

摘　　要：国外对于银行体系宏观压力测试的研究已较为系统,全球金融危机进一步凸显了压力测试对于银行体系宏观审慎监管的重要作用。为加强银行的宏观审慎监管,增强金融稳健性,美国和欧盟相继开展了银行体系的压力测试工作,在压力测试范围、压力情景设置、测试方法等方面积累了一定的经验。对比我国商业银行体系压力测试情况,我国应从加强应用研究、完善银行体系宏观审慎监管数据库、提高压力测试效率和透明度、强化测试结果应用等方面改进压力测试工作。The foreign research on macro stress test of banking system was already systemic. The global financial crisis made it clear that stress test was important for macro-prudential regulation. United States and European Union have developed the stress testing practices to strength the macro-prudential regulation of banking system. They have a lot of experiences on the aspects of application scope, stress scenario and method of stress test. As to our country, the database of macro-prudential regulation should be established, the efficiency and transparency of stress testing must be improved.

关 键 词：宏观审慎监管 金融稳健 压力测试 

分 类 号：F831.59[经济管理—金融学]