Risk Preference Setting And Macro Stress Test Analysis Of Commercial Banks

In recent years,China's economic growth pressure increased,the rate of loan increase.One of the reasons for the phenomenon is that commercial Banks are usually only in the qualitative stage in their positioning of risk appetite,while as for-profit institutions,they do not further improve the idea of risk and income matching by quantifying the risk appetite of commercial Banks' loan business.While emphasizing the pursuit of profits,we must also consider the potential impact on Banks in extreme macroeconomic situations.Factor analysis,SOM neural network and k-means clustering results were compared through a variety of clustering methods,and the clustering group characteristics were analyzed.The risk appetite coefficients of 10 city commercial Banks in Shandong province were calculated separately and the correlation of their weighted average interest rate was analyzed.It can give opinions on the pricing of commercial Banks and reveal the correlation between risk appetite and weighted average interest rate.The second part of this paper takes the credit risk exposed by commercial Banks as the research object of the macro stress test and the default rate of China's commercial Banks as the research variable of the stress test of credit risk.The VEC model is used to construct the model of credit risk stress test and Monte Carlo stochastic simulation method is used to simulate and estimate the residual of the model.Assuming that the macro economy experienced recession and economic recovery after the initial shock,the change trend of the defect rate and the development trend of the macro economic variables with the set.The distribution map of non-performing loans of commercial Banks under different pressure shock scenarios and the results of random simulation are given.From the empirical part,it can be concluded that the size,geographical location,ownership structure and different attributes of Banks are all important attributes that affect the risk appetite of commercial Banks.From the nature of the impact,the scale is large.From the analysis of sample Banks in Shandong province,it can be concluded that the overall loan weighted execution rate of Banks with high risk preference scores and a preference for aggressive Banks is also relatively high,which is reflected in the fact that Banks will issue loans to enterprises with relatively poor credit and will be more diversified in loan products.Pressure of empirical test part,through the VEC model tests of three different conditions of pressure,painted in addition to the GDP growth other macroeconomic variables and the overall failure rate change trend,commercial Banks found variable has a certain lag on the development trend,in which the CPI,between M2 and GDP growth present move together,and the defective rate in the event of a shock after experiencing a period of time after monotonically to maintain a certain level of stability.By contrast,the distribution of the defect rate under the three pressures is horizontally compared.With the severity of the macroeconomic shock,the distribution of the simulated frequency of commercial Banks is gradually shifted to the right.Through the analysis of the new defective rate and the new provision provision,we find that the current commercial Banks have strong pressure capacity and high robustness.