Research On Credit Risk Pressure Test Of A Trust Company

Under the influence of multiple factors such as economic growth shift,industry competition intensifying and interest rate marketization,the industry risk gradually appears while the trust industry is experiencing high speed growth.In order to strengthen the financial risk supervision,improve the trust risk regulatory prospective,initiative and effectiveness,in March 2016,the CBRC issued the "Chinese Chinese General Office of the CBRC on Further Strengthening the risk supervision of trust companies"([2016]58),whichrequires trust companies to set up the test system of pressure,to determine a reasonable scenario to conduct regular stress tests,to prevent and resolve the risks of trust business,adherence to risk the bottom line,to promote the healthy development of the trust industry,strictly abide by the bottom line of risk.In view of this,this paper analyzes the credit risk pressure test of a trust company,in order to provide reference for the trust industry and trust company’s credit risk pressure test.This paper first reviews the domestic and foreign literature on the credit risk pressure test of trust companies,and considers that the stress test of trust companies risk is very scarce.Then,this paper introduces some main credit risk quantification model methods,and stress test method can analyze the impact of extreme events,which is an important supplement to the existing model methods.Furthermore,the paper analyzes the present situation of trust industry,and analyzes the research object,the business structure and the risk situation of a trust company.Finally,using the pressure sensitivity test method for a trust company due to loss of risk and concentration risk of the pressure test,the application of situational pressure testing method of a trust company to collective trust based credit risk stress test,and put forward the corresponding risk management measures.In the case analysis of credit risk sensitive stress test,the target of choice is the ratio of maturity loss and concentration risk.The results show that:Under mild,moderate and severe pressure shocks,the net assets and current assets of a trust company can honor the corresponding maturity losses,and the company can cope with the pressure of maturity loss under extreme events;However,the company issued a larger set of trust products in these two related industries.Under severe pressure,the company is likely to face the risk of insufficient liquidity.According to the test results,and put forward the following measures: one is to strengthen the risk management research,optimize the structure of the business industry;the two is to strengthen the formulation of concentration risk management standards;three is to strengthen the same counterparty management;four is through a variety of channels to replenish capital,increase the proportion of current assets.In the case analysis of the situation pressure test of credit risk,based on the correlation between the macroeconomic variables and the bad loan rate,the pressure test method of the impact of macroeconomic volatility impact on the credit risk of the trust company is established.The results show that: the NPL ratio of the banking sector will rise to 4.679% in the extreme of 1% under severe shocks.However,under the mild,moderate and severe pressure scenarios,the company’s net capital and current assets can cover the credit risk loss of collective trust assets,and there is no risk of repayment.This paper proposes the following risk management measures: first,strengthening macroeconomic research and industry research;two is to further improve the level of internal risk management;three is to accelerate the supplementary capital to deal with the risk of rising.