我国银行业信用风险宏观压力测试研究  

The study on macro stress tests of credit risk in banking system

作　　者：黄彦琳[1] 邓可欣[1] 彭建刚[2] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079 [2]湖南大学金融管理研究中心,湖南长沙410079

出　　处：《海南金融》2011年第4期4-9,共6页Hainan Finance

摘　　要：本文通过实证研究提出并论证了一种宏观压力测试方法,该方法可用于银行业监管和系统性风险的防范。首先采用有序多分类Logistic模型测算行业原始违约概率,再运用MFD违约概率模型将宏观冲击因子引入以求得渗入宏观经济因子的违约概率,然后采用CreditRisk+模型分别测算不同宏观压力情景下与信用风险对应的经济资本变化,经济资本的这些变化将成为银行业资本调整策略的重要依据。The proposed method can be used for macro stress tests in banking regulation and systemic risks in post-crisis era. Based on macro stress testing framework and the basic processes, we use the Ordinal Logistic model to estimate the default probabilities of listed companies in six industry, and we use MFD model to analyze the relationship between macro factors and the default probability of listed companies. By using economic capital model, we obtain the results of the three macro tests （strong, medium and weak） and offer corresponding conclusions and policy recommendations.

关 键 词：宏观压力测试 信用风险 MFD违约概率模型 CREDITRISK+模型 

分 类 号：F832.2[经济管理—金融学]