基于外部信息的信托公司信用风险压力测试案例分析  

Case Study on Credit Risk Stress-testing of Trust Company Based on External Information

作　　者：张学陶[1] 易义军[1] Zhang Xuetao;Yi Yijun(School of Finance and Statistics, Hunan University)

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《当代金融研究》2017年第2期69-80,共12页Journal of Contemporary Financial Research

摘　　要：鉴于目前信托公司在压力测试方法应用上的缺乏,本文基于宏观经济变量与不良贷款率的相关性,建立了宏观经济波动冲击对信托公司信用风险影响的压力测试方法,并以某信托公司为例进行案例分析。该压力测试方法较为有效地测试出了某信托公司面临极端压力情景时的风险承受能力。为提高压力测试的精确度,可结合业务的行业结构进行多个压力测试,并按业务比例进行加权汇总。In view of the trust company currently lacking in the application of stress-testing method,a stresstestingmethod of the impact of macro-economic fluctuation shocks on the credit risk of trust company is established,based on the correlation between macroeconomic variables and non-performing loan rate,and a trust company is takenas an example to analyze in this paper.The stress test method effectively tests the risk tolerance of a trust companywhen facing extreme pressure scenarios.In order to improve the accuracy of stress testing,multiple stress tests can becarried out in conjunction with the industry structure of the business and weighted by business proportion.

关 键 词：信托公司 信用风险 压力测试 计量模型 

分 类 号：F832.39[经济管理—金融学]