基于宏观压力测试的银行行业贷款风险研究  

A Study on the Industrial Loan Risk in Commercial Bank based on Macro Stress-testing

作　　者：康亮 KANG Liang(Business School,Ningbo University,315211,Ningbo,Zhejiang,China)

机构地区：[1]宁波大学商学院,浙江宁波315211

出　　处：《特区经济》2020年第4期72-75,共4页Special Zone Economy

摘　　要：不同行业受宏观经济增速放缓的影响程度不同,商业银行可以利用压力测试获得前瞻性信息以优化信贷行业结构。本文以某银行2006年至2018年六个行业的不良贷款率半年度数据为样本,利用SUR模型对银行的行业贷款风险进行了宏观压力测试。结果表明:各具体行业不良贷款率对冲击的敏感性显著不同;其中,批发零售和住宿餐饮业对冲击最为敏感;租赁和商务服务业、交通运输业受冲击影响最小。研究可为商业银行信贷行业结构优化提供有益的参考。Different industries are affected by Slowing macroeconomic growth to different degrees,commer-cial banks can use stress tests to obtain forward-looking information to optimize the industry structure of credit.This paper takes the semi-annual data of non-performing loan rates of six industries from 2006 to 2018 in a Bank as a sample.The SUR model was used to conduct the macro stress-testing on the bank’s industry loan risk.The results show that the non-performing loan ratio of each specific industry has different sensitivity to the change of macroeconomic;Among them,wholesale & retail and accommodation catering industry were the most sensitive to the impact;Leasing and business services,transportation industry were the least affected by the impact.The study in this paper can provide a meaningful reference for the structure optimization of in-dustry credit of commercial bank.

关 键 词：行业贷款风险 宏观压力测试 SUR模型 Monte Carlo模拟 

分 类 号：F830.33[经济管理—金融学]