基于CPV模型的我国商业银行信用风险宏观压力测试研究  

A Study on Macro Pressure Test of China′s Commercial Bank Credit Risk Based on CPV Model

作　　者：张志彬[1] 丁晓莉 ZHANG Zhibin;DING Xiaoli(School of Business,Hunan University of Science and Technology,Xiangtan 411201,China)

机构地区：[1]湖南科技大学商学院,湖南湘潭411201

出　　处：《洛阳理工学院学报（社会科学版）》2022年第3期33-40,共8页Journal of Luoyang Institute of Science and Technology：Social Science Edition

基　　金：湖南省教育厅科学研究重点项目“基于激励相容的城市环境治理长效机制与政策体系研究”(编号:20A189)的阶段性成果.

摘　　要：使用2011~2021年的季度数据,利用CPV模型对我国商业银行的信用风险进行宏观压力测试,笔者发现:国内生产总值增长率、广义货币供应量增长率和消费者价格指数等宏观经济指标对商业银行不良贷款率产生显著的负向影响,美元兑人民币汇率则对其产生显著的正向影响。将国内生产总值增长率作为发生波动的宏观经济指标,把受其影响的各宏观经济指标的数值代入估计的多元回归方程,对受到不同压力冲击下商业银行不良贷款率的变化情况进行模拟,结果显示:虽然商业银行的不良贷款率在受到轻度、中度和极端压力的冲击下均出现不同幅度的上升,但我国商业银行整体具有较强的抵御风险的能力。目前,所计提的贷款拨备能够覆盖其信用风险损失,但其仍然要采取有效措施以规避潜在的信用风险。By analyzing the quarterly data from 2011-2021 and applying CPV model,a macro pressure test of Chinese commercial bank credit risk is taken and finds that macro-economic indicators such as GDP growth rate,broad money supply growth rate and consumer price index have a significant negative impact on commercial banks′NPLR,while the exchange rate of U.S.dollars against China RMB has an obvious positive impact on it.Estimating the fluctuating macro-economic indicators with the help of the GDP growth rate,introducing the value of the macro-economic index into the measure of multiple regression equation and modeling the change of bad loans under the impact of different pressure,the test result shows that although the non-performing loan ratio of commercial banks rises on a different scale under the mild,moderate or extreme pressure,China commercial banks demonstrate a strong ability to resist risk.The current loan provision can cover the credit risk loss,but it is still necessary to take effective measures to avoid potential credit risks.

关 键 词：商业银行 CPV模型 信用风险 宏观压力测试 不良贷款率 

分 类 号：F832[经济管理—金融学]