| The global financial tsunami caused by the US subprime mortgage crisis in 2008 has caused heavy losses to the world economy and triggered the bankruptcies of many commercial banks,the negative impacts of frequent macroeconomic shocks and growing financial risks on financial institutions had gone far beyond expectations,based on the principles and concepts of macro-prudential management,the importance of risk management has become increasingly prominent.Stress testing,as a forward-looking risk analysis tool,has a significant impact on the stability assessment of the financial system,it is used to assess the impacts of extreme macroeconomic shocks on financial institutions and help them make a risk assessment,ultimately improve their ability to resist external macroeconomic shocks.Since the 1990 s,stress testing has been widely used in world-class banks and supervisory authorities.Since 2003,China Banking Regulatory Commission has requested domestic commercial banks to carry out sensitive stress tests,but it has not yet formed the theoretical system of stress testing,the stress testing of rural financial institutions such as rural credit cooperatives is still in early exploration.Credit risk is the most important financial risk faced by rural credit cooperatives.The new round reform of rural credit cooperatives initiated in 2003 did not completely cure the ills of credit risk.With the settlement of past credit risk,the brand-new credit risk of rural credit cooperatives is becoming more and more prominent,which affects the stability,security and profitability of rural credit cooperatives to a great extent.Therefore,how to assess and further resolve the credit risk has become the key to the steady development of rural credit cooperatives.Through the stress testing,the rural credit cooperatives can fully understand their own risk tolerance,obtain the information that the traditional risk measurement model can not capture under normal circumstances,improve the risk mitigation ability,prevent the risk accumulation and the failure of reform brought about by the blind expansion of the credit business.Therefore,based on the theory and research of scholars both at home and abroad,from the perspective of the People’s Bank to prevent systemic financial risks and maintain financial stability,this paper takes the rural credit cooperatives of A city Guangdong Province as an example to carry out credit risk stress testing.We select the non-performing loan rate of rural credit cooperatives as the dependent variable and perform logit conversion for intermediary indicators to evaluate its credit risk.And then use the virtual scene hypothesis method to evaluate the influence of the macroeconomic factors in the A city area on the credit risk of rural credit cooperatives by establishing multiple linear regression model between intermediary indicators and macroeconomic variables.In this paper,we have selected the data of the restructuring LC rural credit cooperatives and the non-restructuring A rural commercial bank.The results show that the changes of the regional GDP growth rate,the consumer price index CPI,the broad money growth M2,the one-year loan benchmark interest rate LR affect the credit risk of A C ity Rural Credit Cooperatives.We have set the extreme scenario that regional GDP growth rate and broad money growth rate dropped significantly,the consumer price index and the one-year loan interest rate rise sharply.With the increase of the Impact level,the non-performing loan rate of A rural commercial bank and LC rural credit cooperatives is also increasing,the credit risk is rising,and the degree of non-performing loan rate of LC rural credit cooperatives is higher than that of A rural commercial bank,which shows that that LC agricultural credit cooperatives are less able to resist macroeconomic shocks,the credit risk is higher and the stability of the financial institutions needs to be strengthened.Finally,according to the definition of the expected loss of the Basel Accord,we calculate the expected loss that may occur in the rural credit cooperatives(rural commercial bank)under different scenarios,and draw the conclusion as a basis for the provision for impairment of loans and the determination of economic capital. |
