Overview And Examples On Stress Test Of Commercial Banks

With the continuous deepening of financial innovation, the risks faced by finan-cial institutions are increasingly hidden, using only the traditional risk manage-ment tools has been unable to meet today’s rapidly changing financial situation, which requires us to innovation in risk management, and seek new risk manage-ment tools to better serve the financial industry. Banks as an important branch of the financial industry, its robustness arc critical to the healthy development of the entire financial industry. Today stress test plays an increasingly important role as a complement to traditional methods of risk management, has been applied widely in the countries of the world banks. As the financial industry in China started late, the stress test has been the introduced to financial risk management in our country in recent years. Compared with advanced foreign banks, the prac-tice, theoretical studies and model structure of stress test in our country are in the initial stage. There are lots of literatures on the theory of stress tests, but few specific cases. This paper uses empirical analysis, with the data of Austrian banks, gives the commonly used modeling methods and specific cases of stress test about credit risk, market risk, liquidity risk, and the interbank contagion. Designed to let the readers have a more specific and intuitive understanding of the stress tests, and then carry out the stress tests combined with China’s economic, and financial environment.