Study On Macro Stress Testing Of Commercial Banks’ Credit Risk In China Based On The Difference Of Loan Structure

As one of the most important tools of macro-prudentia l ma nage ment, macrostress testing can be used to measure the extreme loss of fina nc ial institutio ns causedby extreme scenario shocks, which has been attached great importance by financ ia linstitutions and regulatory authorities all o ver the world. However, researches aboutmacro stress testing have just begun in China. Credit risk is the ma in risk faced by thecommerc ia l banks in China. Existing researches about macro stress testing of creditrisk are ma inly focused on assessing credit risk of commerc ial banks undermacroecono mic shocks, but as to why it has such results hasn’t been discussed.Commercial bank’s loan structure is an important factor affecting the credit risk. Ifneglecting structura l differences, the syste mic risk changes will not be accuratelyreflected. Therefore, this artic le execute macro stress testing on commercia l bankscredit risk from the perspective of loan structura l differences, provid ing re ferences forcommerc ia l banks to carry out scie ntific credit decis ions and effectively prevent thecredit risk under extre me scenarios.This artic le constructed credit risk macro stress testing fra mework of commerc ialbanks based on loan structure differences, selecting four banks as research subjectswhose non-performing loans rate is e ither the highest or the lowest of a ll thestate-owned or joint-stock commerc ia l banks in2011. First, se lect the GDP, CPI,one-year benchmark lend ing rate, the proportion o f tertiary industry GDP and nationa lhous ing c limate index five macroeconomic variab les, the macroecono mic scenarioVAR to build models that simulate the macroecono mic factors inherent mechanis m.Secondly, the analys is of bank loan structure, the use of estimates based on KMVmodel structura l d ifferences bank loans defa ult rates as ind icators of credit risk underpressure to build the bank’s macro stress transfer model. Aga in, consider theinteraction between macroecono mic factors, the GDP growth a nd interest rates risesignifica ntly dropped two extreme scenarios of the commercia l bank credit risk stresstesting, and structura l differences from the industry loans and loan term structura ldifferences of perspective on stress test results for analys is.The emp irical results showed that GDP and interest rate volatility have a greatimpact to the credit risk of commerc ia l banks in China. Under these two extremescenarios, credit risk of each bank has both increased substantia lly. When GDP decreased sharply, the defa ult rate is higher if the total five industria l loan proportionsare higher, inc luding manufacturing, construction, wholesa le and retail trade, realestate industry and the IT industry. Besides, whe n interest rate rose sharply, thedefa ult rate is higher if the proportion o f med ium-long-term loan is higher. At last, itput forward re levant proposals for commerc ia l banks on how to strengthen themana ge ment of s ystemic credit risk...