信用价差对商业银行违约风险的影响分析——基于“跳跃—扩散”模型的压力测试研究  

The Impact of Credit Spread on Commercial Banks′Default Probability—Stress Test from Jump-diffusion Model

作　　者：宋玉颖 刘志洋[2] Song Yu-ying;Liu Zhi-yang(Changchun College,Agriculture Bank of China,Changchun,Jilin 130012;School of Economics and Management,Northeast Normal University,Changchun,Jilin 130117)

机构地区：[1]中国农业银行长春培训学院,吉林长春130012 [2]东北师范大学经济与管理学院,吉林长春130117

出　　处：《贵州商学院学报》2020年第4期61-70,共10页Journal of Guizhou University Of Commerce

基　　金：教育部人文社会科学研究青年基金项目“货币政策与宏观审慎监管协同机制及有效性检验”(19YJC790088);吉林省金融学会重点研究课题“金融衍生产品市场助推银行业系统性风险管理机制研究”(2020JJX035);东北师范大学社会科学青年基金团队项目“金融衍生产品市场助推银行业宏观审慎监管实施机制研究”(20QT002)。

摘　　要：研究基于资本市场数据,采用KMV模型求解的倒闭概率作为商业银行经营风险指标,再用“跳跃—扩散”模型模拟压力场景研究信用价差对商业银行违约概率的影响。研究发现,AAA级企业信用价差急剧变大时,中国商业银行违约概率非常低;AA级企业信用价差急剧变大时,中国商业银行违约概率也非常低;A级企业信用价差急剧变大时,大多数商业银行违约概率都非常高,甚至接近于1,爆发银行业系统性风险的可能性将非常大。Based on capital market data,the study uses the probability of failure solved by the KMV model as an indicator of commercial banks′operating risks,and then uses the"jump-diffusion"model to simulate stress scenarios to study the impact of credit spreads on commercial banks′default probability.The study found that when the AAA-level corporate credit spread sharply increases,the default probability of Chinese commercial banks is very low;when the AA-level corporate credit spread sharply increases,the default probability of Chinese commercial banks is also very low;when the A-level corporate credit spread increases sharply,the default probability of most commercial banks is very high,even close to 1,and the possibility of a occurring bank systematic risk will be very high.

关 键 词：信用价差 商业银行违约概率 “跳跃—扩散”模型 

分 类 号：F830[经济管理—金融学]