Value At Risk , Macro-stress Test And Credit Risk Assessment In Commercial Banks Of China

Macroeconomic volatility have brought a great challenge to the risk management of commercial banks in various countries. Traditional risk value method can use in the confidence of normal market environment for effective risk assessment, it dose not fully meet the current commercial bank demand for credit risk assessment. Macro stress testing can measure the risk of commercial banks in case of extreme market risk tolerance and make up for the lack of traditional VAR method, it has now become an integral part.After the analysing of the traditional VaR method. This paper mainly studies on the macro-stress testing in China Bank's Credit Risk Assessment. Firstly, the paper selected the non-performing loan ratio of commercial bank as China banks'credit risk indicator, chosed explanatory variables from domestic, overseas, the banks'professional work on the basis of the foreign maturity model. Using of macro selected explanatory variables on bank credit risk indicators to do multiple linear regression. The results showed that: ZGDP, CPI, BCI and RE are significant factors which affect the Commercial Bank credit risk of China. Secondly, assuming two extreme situation-sharp decline in nominal GDP and surging up in inflation rate, the results are that substantial increase of the rate of default loan in different degree. At last, the paper basing on the the above conclusion gave some policy suggestion like Chinese banking system is inadequate in resolving risks in face of macro-economic shocks and the stability remains to be further strengthened.