Research On Macro Stress Test Of Loan Risks Of Commercial Banks In My Country

Since the 2008 financial crisis,the financial supervision departments and financial institutions pay more attention to the risk management of banks.As a risk management organization,banks are faced with various risks,and loan risk is undoubtedly one of the most important risks.With the "new normal" of slowdown of economic growth,the pressure of loan risks faced by commercial banks has gradually increased,and the rate of non-performing loans has risen steadily.Loan risk has become the biggest problem faced by commercial banks.Supervision departments effectively detect the loan risk faced by commercial bank,found that macroeconomic factors on the loan risk of commercial banks caused by the pressure in advance,so as to take effective control measures to reduce the loan risk of the banking system,and commercial banks effectively improve their risk management capabilities to reduce the loan risk,have become particularly important.In this paper,the research on loan risk test of commercial banks reflects its important theoretical and practical significance.This thesis focuses on the loan risk management of commercial banks in China,selects macroeconomic factors which infect non-performing loan ratio of commercial banks witn the data of our country's non-performing loan ratio and macroeconomic data in 2004-2016,then establishes macro stress testing model based on the Wilson model,sets the macroeconomic situation pressure test,which concluded that when there is severe deflation or substantial depreciation of the RMB,will exacerbate the loan risk faced by Chinese commercial banks.From the supervision departments and the commercial bank's own point of view,this thesis puts forward measures and suggestions to strengthen the loan risk supervision and management,provides a reference for the regulatory authorities and commercial banks to further improve the loan risk management and prudent management level.