基于行业冲击因子矩阵的宏观压力测试方法研究  

Research of Macro Stress Testing Method Based on Industry Shock Factor Matrix

作　　者：曹麟[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《统计与信息论坛》2014年第8期41-48,共8页Journal of Statistics and Information

摘　　要：目前,考虑行业违约相关的宏观压力测试方法较少,而两种主流方法风险传导过程都存在明显不足。因此,从理论上提出一个新的压力传导模型,通过冲击因子矩阵使偏离平均值的行业违约率与宏观经济冲击因子联系起来,将违约的顺周期性和行业违约相关性纳入统一框架内;在技术上避免了分行业多元线性回归方程,使分行业压力测试过程简易可行。实证结果表明:该方法能合理刻画宏观经济冲击对各行业违约率的影响,商业银行为提高抵御系统性风险的能力,可降低顺周期性强的行业贷款占比,或者调整贷款行业结构以避免行业集中度过高。T here are a few macro stress testing methods considering the industry default correlation , defects exist in two kinds of main methods of risk conduction process .A new risk conduction model is proposed theoretically ,the shock factor matrix is used to associate deviations from the average value of the industry default rates with macroeconomic shock factor ,the default procyclicality and industry default correlation are integrated into a unified framework ;industry multiple linear regression equations are avoided technically ,so the industry stress testing is simple and feasible .T he empirical results show that , this method can properly describe the impact of macroeconomic to industry default rates ,the commercial banks can improve the ability of resisting the systemic risk by reducing the industry loans of strong procyclicality or adjusting loans industrial structure to avoid high Industry concentration .

关 键 词：商业银行 宏观压力测试 顺周期性 行业违约相关性 

分 类 号：O212.1[理学—概率论与数理统计] F830.2[理学—数学]