Research On Credit Risk Stress-testing Of Commercial Banks In China Based On A CPV Model

As the main body of the financial system,the steady development of bank industry is the key of financial system stability and is also the key to the healthy development of the real economy in our country.The financial crisis of 2008 has exposed the imperfection of the Basel II,that the micro prudential regulation cannot guard against systemic risk.So the regulations of banks should establish a macro prudential supervision system to prevent the systemic risk and the losses from the macroeconomic fluctuations in extreme abnormal cases in bank industry.According to the comparative study of several credit risk measurement models,the CPV model is found some advantages,such as building the directly link of default rates and macroeconomic factors.And the model could combine with the stress testing to monitor the systemic risk and guard against the extreme loss.Therefore,this paper tries to establish the macro stress testing model based on CPV model to explore the credit risk of the commercial banks in China.At present,our country constantly strengthens the reform of the supply side,and reduces the production and leverage of the industries with excess capacity.With the guidance of the credit policy,the use of the credit funds is adjusted.As a result,our country commercial bank loan quality and credit structure will be affected,and in turn would affect the commercial bank credit risk levels.At the same time,our country's credit risk transfer instruments' kinds increasing and quantity improving,the use of these tools can also through some macro and micro channels that impacts on commercial bank credit risk level.In order to make the selected variables in the model real reflect the current economic and financial environment and improve the efficiency of model evaluation,this paper specially add the variables that reflect the effect of credit policies and the use of the credit risk transfer tools in our commercial banks,to explore the may impact of our country commercial bank credit risk caused by the macroeconomic fluctuations.Through the empirical analysis,the article draws a conclusions that with the augmentation of the macroeconomic impaction,the credit risk level gradually improves,and in extreme deserves more likely.It represents our country commercial bank credit risk level is closely related to the macroeconomic situation.According to this conclusion,this paper puts forward relevant policy suggestions from two aspects--bank regulation and self control.The main structure of the article as follows: In the first chapter,mainly introduces the research background and significance of this article,then makes a presentation of domestic and foreign related research about CPV model and macro stress testing,providing a reference and theoretical basis for the paper core model.On the basis of previous literature,puts forward the possible innovations in this paper.The second chapter,introduces the principle of the CPV model and macro stress testing model.Considering of the multicollinearity in the CPV model,puts forward improvement opinion.And introduces the core model of the article: the macro stress-testing model based on CPV model.The third chapter builds the credit risk macro stress-testing of commercial banks in the china based on a CPV model.Firstly,introduces the macroeconomic variables data to construct the CPV model,and estimate regression parameters.Secondly,establishs the auto-regression model for each variables and obtain the covariance matrix of the variables in the same period by the seemly-unrelated regression,to prepare for the Monte-Carlo simulation.Finally,set pressure situations and make the Monte-Carlo simulation for the different pressure,which are obtained the china's commercial banks' default rate increased gradually.And the fourth chapter,offers suggestions based on the empirical results,and puts out the deficiency and research prospect of this article.