| In recent years,with the rapid development of world economy financial industry,financial products and financial tool innovations are developing at an unprecedented speed.The financial industry made great contributions in promoting economic development as well as the rapid development of its own,but in the mean time this industry has accumulated risk.In 2008 the US subprime mortgage crisis showed its destructive power to the global financial industry,make people started to realize the importance of risk management in the financial system.Bank as the most important part of the financial system,its operating risk affects the operation of the entire financial industry.The decline in domestic economic growth in recent years has affected many industry of their profits,especially traditional industries and industries with excess capacity,many enterprise’s loan-payback capacity fell sharply,with a high indirect financing proportion of Chinese enterprises,together they causes commercial bank in our country faces enormous credit risk.In this context it is very important to study on banking credit risk.The method of stress testing of credit risk,liquidity risk,and market risk management has been practiced for many years,the related theory is relatively mature,but in our country the theory and practice of pressure test does not have enough attention and development,and the banks just implement stress testing according to the requirements of the China banking regulatory commission,and didn’t give enough attention to the results of stress tests,this is also because pressure testing theory in our country is insufficient,test results is not persuasive.With the continuous development of Chinese financial industry,our commercial bank is bound to accept the challenge of globalization,how to be more scientific and professional in risk management is a major problem facing the banking sector.The main content of this study is based on the macroeconomic factor caused commercial bank credit risk stress tests.Based on the study of classical Wilson model and at the same time improved model so it is more suitable for Chinese national conditions,this paper used the model as follows:use the non-performing loan ratio as explained variable,use macroeconomic variables and the lagged non-performing loan ratio as the explained variable to build pressure conduction model.The analysis method in this paper is the scenario analysis method,in constructing scenarios in order to make the scenario more scientific,when using the variable regression method,the impact of variable values first and then use the shock variable as the independent variable on other variables regression,using the regression equation of pressure situation estimated the value of other variables,finally obtain the corresponding stress scenarios.From the empirical results:quarterly GDP growth rate,CPI,the real estate boom index,the M2 has significant effect to our country commercial bank non-performing loans,the CPI and non-performing loan ratio show changes in the same direction,the rest of the variables and reverse change to the non-performing loan ratio.In pressure test empirical phase,this article uses the scene test method,set up three scenarios:GDP,M2 impact,real estate industry impact,the M2,GDP,CPI,M2 joint impact,from the results of analysis found that separate GDP or real estate industry the impact of non-performing loan ratio will produce adverse effect but the impact is limited,even under severe stress scenarios non-performing loan ratio is still no more than 3%.But in the case of multivariate joint impact non-performing loan ratio rising abruptly 7%.Analysis of the above three conditions can be seen that the CPI in the decision of the non-performing loan ratio plays an important role in the process,in the first two kinds of situations of defective rate is affected because pressure situation led to the decrease of the level of the CPI to some extent relief repayment pressure,but in the case that joint pressure macroeconomic downlink synchronization with the CPI rise,this makes the non-performing loan ratio rise sharply.We can see that the change of the CPI for predicting the non-performing loan ratio change is very important.Later in this article,on the basis of the non-performing loan ratio we predict expected loss on loans,the formula for expected loss is EL=PD*EAD*LCD.Default rate in this equation use 75%as the Chinese banking regulatory commission published,and use loan balance to approximate default risk exposure,default rate hypothesis is equal to 60%of the non-performing loan ratio.Later in this article,based on the expected loss for each situation,we can predict the loss of the loan at the end of the second quarter of 2016,found that even in the most severe stress situation loan loss preparation can make up for the expected loss.This paper also considers the provision for coverage in a variety of situations.Under the sever situation,it is difficult to achieve 150%as the regulatory requirements.Commercial bank risk resisting ability is still strong,but with the gradually increase in the commercial bank credit risk is still not safe. |
