我国商业银行信用风险压力测试研究  

Research on Credit Risk Stress Testing of China's Commercial Banks

作　　者：张能福[1] 康翔[1] 

机构地区：[1]五邑大学经济管理学院,广东江门529020

出　　处：《征信》2013年第11期13-17,共5页Credit Reference

基　　金：广东省自然科学基金资助项目(8152902001000010)

摘　　要：以不良贷款率作为衡量商业银行信用风险的主要指标,借鉴国内外的研究经验,采用LOGIT方法论构建我国宏观经济因素对银行信用风险影响的压力测试模型,并通过假设情景法进行宏观压力测试,定量评估了宏观经济变化对商业银行信用风险的冲击。研究表明,压力测试可以为我国商业银行信用风险管理提供有益的参考。By taking non-performing loan ratio as the main indicator for measunng credit risks of commercial banks,, drawing on the researches at home and abroad, and using LOGIT methodology, the paper builds the stress testing models regarding the impact of China＇ s macroeconomic factors on bank credit risks, conducts tests on macro stress through the simulation method, and makes a quantitative assessment of the shocks from macroeconomic changes up- on credit risks of commercial banks. The results show that the stress testing can provide useful suggestions for credit risk management of commercial banks.

关 键 词：商业银行 信用风险 压力测试 不良贷款率 LOGIT模型 

分 类 号：F832.4[经济管理—金融学] F224