Research On Stress Test Theory Of Commercial Banks And Its Applications In China

Currently,the global economy is still in the period of adjustment after the financial crisis,which made the economic recovery and financial stability face a series of challenges.In China,the economic development has been entering into a new era with three overlaid features,namely switching growth rates,adjusting economical structure,and digesting pre-stimulus policies.In this case,the development is facing unprecedented opportunities,but also confronts many new problems and challenges.With the deep reform of Chinese domestic financial sector and the increase of open-door to the outside world,the commercial banks in China are facing more complex business environment.The risk characteristics are changing profoundly,such as more sources of risks,more concealment,easily infected by abnormal fluctuations.Therefore,how to effectively assess the adverse effects of extreme events and take appropriate preventive measures is not only the need of improving the risk management by commercial banks,but also the need of conducting regulation by regulatory authorities.Stress test as a popular index adopted by commercial banks and other financial institutions worldwide,it provides an effective tool to measure the potential loss of capacity caused by extreme events.In order to better understand the financial risk profile and improve the ability to maintain financial stability,the Chinese government had launched the FSAP assessment in August 2009,to strengthen the study on FSAP stress tests.The research on stress tests had been conducted systematically and comprehensively in western countries.IMF and some other international organizations have become a major leader in the field of stress test,especially on the combination of theory and practice.However,due to the difficult access of data and lack of technology and talented people,there are still some gaps on current need for commercial banks to conduct stress tests in the studies on both of theoretical and application aspects.Therefore,it is crucial to carry out the research on stress tests of commercial banks as well as its applications,so as to meet the reform and development of China's banking industry,and the supervision requirement for the regulatory authorities.This thesis concentrates on studying commercial bank stress tests in China from the perspectives of theoretic and applications.The first chapter introduces the research background,general idea,framework,main studying problems,contributions,as well as future research points.The second chapter surveys current research related to the thesis.The third chapter summarizes the practical experience on commercial bank stress tests in worldwide countries,and concludes its regulations and development in China.The fourth chapter investigates stress tests theory and hierarchy system construction.Firstly,propose the general principle to set up the hierarchy system.Then refine the basic component of effective stress test.Finally,build a three-level stress testThe fifth chapter,taking individual housing loan and bond portfolio as examples to verify the stress test in business level,summarizes the current research and applications,and proposes the contributions and driven forces to reorganize other stress testing approaches.The sixth chapter takes a commercial bank as an example,to verify the stress test in institutional level.Through analyzing the impact of macroeconomic fluctuation on commercial bank credit assets,set up the method and procedures,explore the risk contagion problems,and further proposes the counterpart policies.The seventh chapter takes the banking liquidity risk as an example to study the construction and application on commercial bank stress test,from the macro,medium,and micro perspectives.And explore the the risk contagion between financial agencies,banks,different risks,and different markets,etc,with the purpose of building the stress test risk transmission model.The eighth chapter is to conclude and summarize the thesis study.It reports the methods and mechanisms to construct the stress test system from the perspectives of platform construction,theory and technology innovation,database,etc,and point outs the further research points.The contributions of this thesis are given as follows:(1)investigate the issues on effective stress test,and build the hierarchical system.(2)in the institutional level,to study the bank credit risk problem under macroeconomic fluctuation,and then further explore the risk contagion problems.(3)establish a contagion model on stress test,based on macroeconomic fluctuation,risk evolution.(4)in the design of stress scenarios,simultaneously give normal scenarios and stress scenarios,and use them to fix the prospective problems on scenario design problem.Then handle various scenario consensus problem by using historic and synthesis methods.