The Credit Risk Stress Test Of Small And Medium-sized Commercial Banks

Commercial Banks have been playing an irreplaceable role in the entire financial system since their development.They are the core of the entire financial system,which ensures the healthy development of the entire banking industry and is an important guarantee for maintaining financial stability and economic growth.As the first risk that Banks face,credit risk management directly affects the asset quality of Banks.In recent years,China,s overall non-performing loan ratio has an obvious rising trend,coupled with factors such as slowing GDP growth and trade war,commercial Banks are increasingly exposed to risks,especially the small and medium-sized local Banks,whose risk management level and impact resistance are weaker.Therefore,this paper takes southern Jiangsu province as an example and takes the stress test as the starting point to study the factors affecting the credit risk of China's small and medium-sized commercial Banks,so as to provide reference for the credit risk management of Banks.In this paper,Wilson model was adopted to conduct linear regression of the mediating variable Y through the least square method.It is found that Jiangsu province's GDP growth rate,CPI,one-year loan interest rate,Jiangsu province's real estate boom index and other factors have a significant impact on the non-performing loan ratio.And through the method of scenario analysis and historical simulation,the two pressure scenarios of ordinary impact and severe impact are simulated,and the non-performing loan ratio under the pressure scenario is obtained.The results show that when the GDP growth slows down,the consumer price index drops,the loan interest rate rises and the real estate boom index rises,all of these will have a negative impact on the non-performing loan rate of commercial Banks.Finally,the primary method of internal rating method is adopted in this paper to measure the expected losses and capital requirements of commercial Banks under pressure.It is found that compared with the standard method,the internal rating method can greatly reduce the capital adequacy requirements of Banks and bring more profit space to Banks.