Analysis On The Current Situation Of Macro Stress Testing Of Commercial Banks In China

Credit risk is one of the main risks facing the banking industry,which affects not only all aspects of modern social and economic life,but also affects a country's macroeconomic policy and development,and even affect the stability of the global economy and the coordinated development.Therefore,how to effectively measure and manage the credit risk is the issue that the bank risk managers pay close attention to,and have to face all the time.Since 1980s,the financial crisis and banking crisis have emerged in an endless stream.When they happend,the banking industry realizeg that the financial system risk and vulnerability not only from the innovation and development of the banking system inside,more is from the macro economic and financial environment change,those unlikely but destructive consequences may lead to extremely serious macroeconomic events on the banking system.Andbanking industry before was lack of forward-lookingon this part of the consequences of the foreseeable future,,and was too optimistic to the stability of the banking system.This paper comes from the perspective of credit risk,and use stress testing as the main line,taking a S Urban Commercial Bank as an example,through several parts to elaborate the research and application of stress testing in the credit risk management of our commercial bank,and the feasibility of the credit risk management of China's banking industry operation.This paper uses the method of combining theory and practice,adopts the research methods of multivariate statistical analysis and principal component regression,from the credit risk management?credit risk stress testing theory and empirical analysis of credit risk stress test,not only based onstress test theory,but also combined with management of China Banking Regulatory Commission and the actual situation of S Urban commercial bank.In the research,we use Wilson model and quantitative statistical analysis method to study effects of mild,moderate and severemacroeconomic stress scenario of S urban commercial bank credit rate,so as to provide reference and theoretical support for the S urban commercial bank's loan policy,capital adequacy ratio level and credit risk management.