The Credit Risk Assessing Of Commercial Bank System In China: Based On Macro Stress-Testing

As the most important risk of commercial banks, credit risk management has attracted a great deal of attention in financial institutions. With the economic globalization, financial innovations continue springing up, and the international financial markets becoming increasingly augmented. Credit risk is gradually increasing, just to advance a major challenge to predict and effectively manage credit risk for all commercial banks. Therefore, from an empirical point of view, this paper studies on the stress testing of credit risk in Chinese commercial banks, so as to provide a reference against credit risk of commercial banks and raise the level of credit risk management.First, we bulid macro stress testing model and structural characteristics of China's commercial bank credit risk assessment; Second, we should choose the model's variables and data, estimate the model parameters and analyze the results; after this we use stress-testing model and Monte Carlo simulation to analyzs the Commercial Bank's credit risk characteristics of China. Finally, we compare the results of the stress-testing.The results showed that:RGDP, NR, CGPI, EX and SPI are significant factors which affect the Commercial Bank credit risk of China; CGPI and NR have a positive impact when RGDP, EX and SPI have a negative impact; NR is the most influential macro-economic factor and EX least influential macro-economic factor; In addition, when Commercial Bank of China facing poor macroeconomic situation, the credit risk will be substantially greater, it means that the commercial bank of China has no strong anti-risk ability and the banking system is still not stable enough.