Comparative Study Of Credit Risk Of Different Types Of Commercial Bank Of China With Macro Stress Testing

The international financial crisis caused by U.S. subprime mortgage in 2008 made people experience the disastrous consequence again, yet people also realized that the probability of extreme risk event such as: debt crisis, financial crisis, economic crisis is far more higher than the original expectation. Commercial bank as high-risk enterprise the risk management and control will be more strict and cautious, in the new situation,the bank should not only control common risk, but also should take effective measures to prevent and respond extreme risk which may occur suddenly. From the beginning of the 20 century 90’s, the stress test was introduced into the risk management of financial institutions neighborhood. Stress test as a quantitative method which can assess the size of the risk of the financial institution may face in the extreme environment has gradually become an effective risk management tool in financial institutions all over the world.In the framework, this paper systematically introduces the theories and methods of credit risk and stress testing, on the basis of theories introduction, we apply the stress testing to compare and analyze the credit risk level of China’s large-scale commercial bank, joint-stock commercial bank, city commercial bank and rural commercial bank in the extreme environment. In this paper, we use one of modern credit risk management model——CPV model as the basis to construct four types of commercial bank’s credit risk macro stress testing model. The macro stress testing conduction model of four types of bank display that fixed investment growth rate and house price index 、interest rate have significant impacts on non-performing loan rate of four types of commercial bank in our country, fixed investment growth rate and house price index have same effective direction on four types of commercial bank,specifically, when the fixed investment growth rate and house price index are more higher, the non-performing loan rates and credit risk of four types of commercial bank will more lower, on the other hand will more higher. Interest rate has different effective directions on four types of bank, therefore we select fixed investment growth rate and house price index as risk indexes of macro stress testing, comprehensive consideration of historical scenario method、hypothesis scenario method and model method to set three stress scenarios, according to the degree of pressure from small to large order : mild、bad and serious scenario. Testing results show that, when fixed investment growth rate and hous e price index face mild, bad and serious shock, the rates of non-performing loan of four types of bank rise greatly. In the four types of bank, the rise of large state-owned commercial bank’s non-performing loan rate is smallest, under the serious situatio n, its non-performing loan rate increased by 3.6 times than before. The rise of city commercial bank’s non-performing loan rate is highest, under the serious situation, its non-performing loan rate increased by 6.78 times than before. The non-performing loan rate of joint-stock commercial bank is also sensitive to the changes of macro economy, under the serious situation, its non-performing loan rate increased by 4.96 times than before, under the serious situation, rural commercial bank’s non-performing loan rate increased by 3.99 times than before. In addition, the test results also show the ability of overall commercial bank in our country to resist credit risk is not strong. Large state-owned commercial bank can effectively deal with mild and bad shock, joint-stock commercial bank and city commercial bank can only effectively deal with mild shock, rural commercial bank cannot effectively deal with the slightest impact this paper has devised. Macro stress testing results show the ability of commercial banks in our country to resist extreme credit risk is weak. Although the probability of extreme macroeconomic fluctuation is small, but based on the severity of the consequence, the whole commercial banks in our country should take effective measures to strengt hen the prevention and alert to credit risk and nip in the bud.