本文選題：宏觀壓力測(cè)試 + 信用風(fēng)險(xiǎn)�。� 參考：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：作為對(duì)風(fēng)險(xiǎn)價(jià)值(VAR)方法的重要補(bǔ)充,壓力測(cè)試方法主要被用于衡量當(dāng)關(guān)鍵變量或者經(jīng)濟(jì)環(huán)境發(fā)生極端的大幅變動(dòng)時(shí)經(jīng)濟(jì)主體所受到的影響程度。壓力測(cè)試方法廣泛的被各個(gè)企業(yè)應(yīng)用在其風(fēng)險(xiǎn)管理工作中,上世紀(jì)90年代初,國(guó)外商業(yè)銀行也開始使用壓力測(cè)試方法。隨著壓力測(cè)試在國(guó)際銀行業(yè)受到了越來越多的運(yùn)用,壓力測(cè)試在我國(guó)銀行業(yè)也逐漸受到了重視。2004年12月,銀監(jiān)會(huì)出臺(tái)了《商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)管理指引》,該指引對(duì)商業(yè)銀行建立全面、嚴(yán)格的壓力測(cè)試程序并針對(duì)其市場(chǎng)風(fēng)險(xiǎn)進(jìn)行壓力測(cè)試提出了要求,這也是壓力測(cè)試工作首次明確被銀監(jiān)會(huì)在相關(guān)文件里面提出。2007年7月下旬,銀監(jiān)會(huì)向部分銀行機(jī)構(gòu)(包括國(guó)有銀行、股份制商業(yè)銀行及資產(chǎn)規(guī)模500億元以上的城市商業(yè)銀行等)首次提出了對(duì)房地產(chǎn)貸款業(yè)務(wù)開展壓力測(cè)試的要求。2007年12月,銀監(jiān)會(huì)正式出臺(tái)了《商業(yè)銀行壓力測(cè)試指引》,要求各商業(yè)銀行根據(jù)自身的業(yè)務(wù)發(fā)展情況和風(fēng)險(xiǎn)管理水平,制定相應(yīng)的壓力測(cè)試方案。這是銀監(jiān)會(huì)從監(jiān)管角度出發(fā),首次對(duì)商業(yè)銀行提出全面、系統(tǒng)地開展壓力測(cè)試的要求。2008年8月中旬,銀監(jiān)會(huì)向北京、上海、重慶等七省市銀監(jiān)局發(fā)出《關(guān)于開展重點(diǎn)地區(qū)房地產(chǎn)貸款壓力測(cè)試的通知》,此后,銀監(jiān)會(huì)要求商業(yè)銀行對(duì)房地產(chǎn)貸款開展壓力測(cè)試工作的頻率與力度都逐步加強(qiáng),房地產(chǎn)類貸款的壓力測(cè)試成為了我國(guó)商業(yè)銀行風(fēng)險(xiǎn)管理的常規(guī)工作。通過銀監(jiān)會(huì)的這系列的動(dòng)作,我們可以看到壓力測(cè)試在我國(guó)銀行業(yè)開始得到了逐步的發(fā)展與運(yùn)用。 根據(jù)開展壓力測(cè)試工作的出發(fā)點(diǎn)的不同,可將壓力測(cè)試分為微觀壓力測(cè)試與宏觀壓力測(cè)試。微觀壓力測(cè)試主要是基于金融個(gè)體自身的風(fēng)險(xiǎn)進(jìn)行的壓力測(cè)試評(píng)估；宏觀壓力測(cè)試則是基于對(duì)整個(gè)金融體系的風(fēng)險(xiǎn)進(jìn)行評(píng)估的壓力測(cè)試。1998年的亞洲金融危機(jī)發(fā)生后,人們對(duì)極端的經(jīng)濟(jì)情形開始加以關(guān)注,借此契機(jī),風(fēng)險(xiǎn)管理領(lǐng)域的宏觀壓力測(cè)試方法開始受到了國(guó)際社會(huì)的關(guān)注1999年5月,國(guó)際貨幣基金組織(IMF)聯(lián)合世界銀行一起制定了“金融部門評(píng)估規(guī)劃(FSAP)”,提出了將宏觀壓力測(cè)試方法應(yīng)用在對(duì)各成員國(guó)金融系統(tǒng)穩(wěn)定性的評(píng)估中。我國(guó)也于2009年8月正式加入了“金融部門評(píng)估規(guī)劃(FSAP)",宏觀壓力測(cè)試方法在我國(guó)開始受到了重視。 同時(shí)我們可以看到,我國(guó)商業(yè)銀行面臨著多樣的風(fēng)險(xiǎn),包括市場(chǎng)風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)等。不僅影響不同風(fēng)險(xiǎn)的因素有所不同,而且同一影響因素對(duì)不同風(fēng)險(xiǎn)的影響程度也有所不同,因此我們?cè)谶M(jìn)行宏觀壓力測(cè)試時(shí),針對(duì)不同的風(fēng)險(xiǎn)會(huì)采取不同的壓力測(cè)試方法。其中,信用風(fēng)險(xiǎn)是指受信方未能按契約承諾履行義務(wù),而造成授信方經(jīng)濟(jì)損失的風(fēng)險(xiǎn)。信用風(fēng)險(xiǎn)是全球銀行共同面對(duì)的主要風(fēng)險(xiǎn),在金融危機(jī)沖擊下,企業(yè)存貨增多、銷售下降、居民收入降低、抵押物品貶值等情況,更會(huì)加大銀行所面臨的信用風(fēng)險(xiǎn)。在我國(guó),銀行的資產(chǎn)業(yè)務(wù)的重要部分仍是貸款業(yè)務(wù),信用風(fēng)險(xiǎn)管理是我國(guó)銀行系統(tǒng)風(fēng)險(xiǎn)管理的重中之重,對(duì)信用風(fēng)險(xiǎn)進(jìn)行宏觀壓力測(cè)試,有助于監(jiān)管當(dāng)局深入了解我國(guó)銀行體系的信用風(fēng)險(xiǎn)水平,并采取適當(dāng)?shù)拇胧┨岣咩y行對(duì)信用風(fēng)險(xiǎn)的防御能力、提高銀行系統(tǒng)的核心競(jìng)爭(zhēng)力。因此,本文將針對(duì)信用風(fēng)險(xiǎn)的宏觀壓力測(cè)試進(jìn)行研究,通過評(píng)估極端情景發(fā)生時(shí)可能給銀行系統(tǒng)帶來的信用風(fēng)險(xiǎn),為銀行以及監(jiān)管當(dāng)局提供一定的參考。通過對(duì)信用風(fēng)險(xiǎn)的宏觀壓力測(cè)試,監(jiān)管當(dāng)局可以判斷金融系統(tǒng)的穩(wěn)定性并采取一定的手段保證金融系統(tǒng)乃至整個(gè)經(jīng)濟(jì)體系的穩(wěn)定發(fā)展；銀行可以了解自己所處的金融環(huán)境風(fēng)險(xiǎn)水平并采取一定的措施保證其在真正遭遇極端情景時(shí)可以正常運(yùn)轉(zhuǎn)。 本文的研究主要分為五個(gè)部分： 第一章,導(dǎo)論。這一部分首先介紹了宏觀壓力測(cè)試的發(fā)展與在我國(guó)的應(yīng)用情況、說明了在風(fēng)險(xiǎn)管理中對(duì)信用風(fēng)險(xiǎn)進(jìn)行宏觀壓力測(cè)試的重要性,并對(duì)國(guó)內(nèi)外學(xué)者對(duì)壓力測(cè)試的研究狀況進(jìn)行了適當(dāng)?shù)母攀?且重點(diǎn)說明信用風(fēng)險(xiǎn)宏觀壓力測(cè)試的發(fā)展情況。其次,對(duì)本文的結(jié)構(gòu)、研究思路和方法進(jìn)行一個(gè)概要的介紹,使讀者對(duì)文章的背景和主要思想內(nèi)容形成一個(gè)初步的認(rèn)識(shí)。最后,對(duì)本文的寫作思路框架進(jìn)行了簡(jiǎn)單的介紹,并對(duì)本文的創(chuàng)新之處進(jìn)行了簡(jiǎn)要說明。 第二章,信用風(fēng)險(xiǎn)宏觀壓力測(cè)試?yán)碚摼C述。這部分首先討論了信用風(fēng)險(xiǎn)宏觀壓力測(cè)試的內(nèi)涵,并認(rèn)為信用風(fēng)險(xiǎn)宏觀壓力測(cè)試是一種基于金融系統(tǒng)穩(wěn)定性、針對(duì)系統(tǒng)的信用風(fēng)險(xiǎn)防御能力進(jìn)行的壓力測(cè)試方法。其主要被監(jiān)管當(dāng)局用于評(píng)估當(dāng)宏觀經(jīng)濟(jì)變量發(fā)生大幅不利變動(dòng)帶來信用風(fēng)險(xiǎn)時(shí),對(duì)整個(gè)金融體系的穩(wěn)定性影響；也可被金融機(jī)構(gòu)使用,以更好的認(rèn)清自身所處的整個(gè)系統(tǒng)的信用風(fēng)險(xiǎn)情況并加強(qiáng)自身的信用風(fēng)險(xiǎn)防御能力。然后,具體介紹了進(jìn)行信用風(fēng)險(xiǎn)宏觀壓力測(cè)試的四個(gè)具體步驟：確定參加壓力測(cè)試的金融機(jī)構(gòu)范圍、信用風(fēng)險(xiǎn)識(shí)別、情景設(shè)定、情景分析,并重點(diǎn)介紹了在情景設(shè)定時(shí)可采用的具體方法。最后,從風(fēng)險(xiǎn)管理角度強(qiáng)調(diào)了監(jiān)管當(dāng)局進(jìn)行信用風(fēng)險(xiǎn)宏觀壓力測(cè)試的重要作用。 第三章,信用風(fēng)險(xiǎn)宏觀壓力測(cè)試的模型及選擇。主要介紹了現(xiàn)今比較主流的信用風(fēng)險(xiǎn)壓力測(cè)試模型,重點(diǎn)介紹了Merton模型、Wilson模型以及巴塞爾新資本協(xié)議中提出的信用風(fēng)險(xiǎn)測(cè)度模型。同時(shí),對(duì)應(yīng)用Merton模型與巴塞爾新資本協(xié)議中提出的信用風(fēng)險(xiǎn)測(cè)度模型的困難進(jìn)行了分析,認(rèn)為Merton模型假設(shè)條件比較嚴(yán)格,模型所設(shè)定的計(jì)算過程對(duì)數(shù)據(jù)及計(jì)算量的要求都較高；外部評(píng)級(jí)法和內(nèi)部評(píng)級(jí)法則要求公開評(píng)級(jí)機(jī)構(gòu)與內(nèi)部評(píng)級(jí)技術(shù)的水平較高。而Wilson模型具有將銀行信用風(fēng)險(xiǎn)與宏觀經(jīng)濟(jì)變量直接聯(lián)系起來、操作簡(jiǎn)單清晰明了、數(shù)據(jù)可得性較高等優(yōu)點(diǎn)。因此,本文選擇了以Wilson模型為基礎(chǔ)進(jìn)行自上而下的信用風(fēng)險(xiǎn)宏觀壓力測(cè)試。 第四章,以房地產(chǎn)類貸款為例的實(shí)證研究。這一部分將前面部分所介紹的壓力測(cè)試?yán)碚�、方法以及模型與實(shí)際應(yīng)用結(jié)合起來。首先對(duì)房地產(chǎn)類貸款進(jìn)行壓力測(cè)試的背景進(jìn)行了介紹,說明了房地產(chǎn)行業(yè)與銀行業(yè)的密切關(guān)系,并強(qiáng)調(diào)了房地產(chǎn)類貸款的風(fēng)險(xiǎn)在我國(guó)已經(jīng)受到了關(guān)注。接著,分析了我國(guó)房地產(chǎn)類貸款的信用風(fēng)險(xiǎn)的特點(diǎn)、在金融主體之間的傳導(dǎo)機(jī)制,形成對(duì)房地產(chǎn)類貸款的信用風(fēng)險(xiǎn)較為明確的認(rèn)識(shí),為建模中的壓力指標(biāo)與承壓指標(biāo)的選擇提供理論依據(jù)。然后,本文采取歷史情景與因素推動(dòng)法相結(jié)合的情景設(shè)定方法設(shè)定了三種極端情景,并以Wilson模型為基礎(chǔ)對(duì)我國(guó)房地產(chǎn)類貸款在設(shè)定的極端情景下的信用風(fēng)險(xiǎn)狀況進(jìn)行了計(jì)量分析,最終得出了在不同沖擊強(qiáng)度下銀行系統(tǒng)的不良貸款率與撥備覆蓋率變化。 第五章,結(jié)論與政策建議。就上一章對(duì)房地產(chǎn)類貸款的壓力測(cè)試實(shí)證研究結(jié)果進(jìn)行了總結(jié),得出了三條結(jié)論：房地產(chǎn)類貸款的不良貸款率與宏觀經(jīng)濟(jì)密切相關(guān)、房地產(chǎn)類貸款的不良貸款率受到上期不良貸款率的影響以及本文的壓力情景下銀行系統(tǒng)信用風(fēng)險(xiǎn)受到明顯影響。隨后,對(duì)我國(guó)銀行系統(tǒng)的信用風(fēng)險(xiǎn)宏觀壓力測(cè)試實(shí)施過程中存在的制約因素進(jìn)行了具體的分析,并認(rèn)為我國(guó)存在數(shù)據(jù)不完善、信用評(píng)級(jí)行業(yè)與銀行內(nèi)部信用評(píng)級(jí)體系發(fā)展不完善、缺乏適合我國(guó)國(guó)情的信用風(fēng)險(xiǎn)宏觀壓力測(cè)試方法等制約信用風(fēng)險(xiǎn)壓力測(cè)試有效實(shí)施的因素,并針對(duì)這些制約因素提出了諸如完善數(shù)據(jù)庫(kù)、加快信用評(píng)級(jí)行業(yè)及信用評(píng)級(jí)技術(shù)的發(fā)展、建立適合我國(guó)國(guó)情的信用風(fēng)險(xiǎn)宏觀壓力測(cè)試模型等具體的政策建議。最后,對(duì)本文寫作的不足之處進(jìn)行了總結(jié)。 本文的創(chuàng)新之處首先在于選取了宏觀的研究角度。目前,壓力測(cè)試方法在微觀上的應(yīng)用要多于宏觀上的應(yīng)用,在我國(guó)更是如此。我國(guó)銀監(jiān)會(huì)曾多次要求各商業(yè)銀行針對(duì)房地產(chǎn)貸款進(jìn)行微觀壓力測(cè)試,但是本文以房地產(chǎn)類貸款信用風(fēng)險(xiǎn)的宏觀壓力測(cè)試為切入點(diǎn)進(jìn)行了實(shí)證研究分析。這為銀行業(yè)監(jiān)管當(dāng)局對(duì)銀行體系的穩(wěn)定性進(jìn)行考量判斷提供了一定的參考。其次,本文在實(shí)證部分對(duì)房地產(chǎn)類貸款的信用風(fēng)險(xiǎn)傳導(dǎo)過程進(jìn)行了分析,使壓力指標(biāo)的選擇更具合理性；同時(shí),在估計(jì)出不同壓力情景下銀行系統(tǒng)的不良貸款率后,深入的分析了實(shí)證結(jié)果,即：對(duì)各壓力情景下的撥備覆蓋率進(jìn)行了分析,并針對(duì)目前我國(guó)在信用風(fēng)險(xiǎn)宏觀壓力測(cè)試應(yīng)用中的制約因素提出了一些政策建議。
[Abstract]:As an important supplement to the risk value (VAR) method, the stress testing method is mainly used to measure the extent of the influence of the economic subject when the key variable or the economic environment changes dramatically. The pressure testing method is widely used by various enterprises in its risk management work. In the early 90s of the last century, foreign commercial Silver As the pressure test is being used more and more in the international banking industry, stress testing is also being paid more and more attention to the banking industry in China, in December.2004. The CBRC issued the guidelines for the risk management of commercial banks, which set up a comprehensive, strict pressure testing procedure for commercial banks. The pressure test of the market risk is required. This is the first time that the pressure test was clearly put forward by the CBRC in the relevant documents in late July.2007. The CBRC proposed to some banking institutions (including state-owned banks, joint-stock commercial banks and 50 billion yuan to the city commercial banks) for the first time. In December.2007, the CBRC formally promulgated the guidelines for the pressure testing of commercial banks, which required the commercial banks to formulate corresponding pressure testing schemes according to their own business development and risk management level. This is the first time that the CBRC will start from the regulatory perspective for the first time to the commercial bank. In mid August.2008, the CBRC issued a notice to the seven provinces and cities of Beijing, Shanghai, Chongqing and other provinces and cities, the CBRC issued a notice on the pressure test of real estate loans in key areas. After that, the CBRC requested commercial banks to gradually strengthen the frequency and strength of the pressure test of real estate loans, and the real estate loan The pressure test of the money has become the routine work of the risk management of the commercial banks of our country. Through the series of actions of the CBRC, we can see that the pressure test has been progressively developed and applied in the banking industry of our country.
According to the different starting points of the pressure testing work, the pressure test can be divided into the micro pressure test and the macro pressure test. The micro pressure test is based on the pressure test evaluation based on the risk of the financial individual itself; the macro pressure test is based on the pressure test of the risk assessment of the whole financial system,.1998 After the Asian financial crisis of the year, people began to pay attention to the extreme economic situation. Taking this opportunity, the macro pressure testing method in the field of risk management began to receive the attention of the international community in May 1999. The International Monetary Fund (IMF) combined with the world bank to formulate the "financial sector assessment planning (FSAP)". The macro pressure testing method is applied to the assessment of the stability of the financial system in each member country. In August 2009, China formally joined the "financial sector assessment planning (FSAP)". The macro pressure test method has been paid attention to in our country.
At the same time, we can see that China's commercial banks face a variety of risks, including market risk, credit risk, operational risk and so on. The factors that affect not only different risks are different, but the impact of the same factors on different risks is also different. Therefore, when we carry out the macro pressure test, we are aiming at different risk meetings. The credit risk refers to the risk that the credit risk is caused by the credit side's failure to fulfill its obligations under the contract. The credit risk is the main risk that the global bank faces. Under the impact of the financial crisis, the increase in inventory, the decline in sales, the decrease of the income of the residents, the devaluation of the mortgaged goods and so on. In our country, the important part of the bank's asset business is still the loan business, and the credit risk management is the most important part of the bank system risk management in our country. The macro pressure test on the credit risk will help the regulatory authorities to understand the credit risk level of the bank system in our country and take the credit risk level. Take appropriate measures to improve the bank's ability to defend the credit risk and improve the core competitiveness of the banking system. Therefore, this paper will study the macro pressure test of credit risk, and provide some reference for banks and regulatory authorities by assessing the credit risks that may be brought to the banking system when extreme situations occur. On the macro pressure test of credit risk, the regulatory authorities can judge the stability of the financial system and take some means to ensure the stable development of the financial system and the whole economic system. The bank can understand the risk level of its financial environment and take some measures to ensure that it can be true when it is really experiencing extreme situations. It is often transported.
The research of this paper is divided into five parts:
The first chapter, introduction. This part first introduces the development of the macro pressure test and its application in China, explains the importance of the macro pressure test on credit risk in risk management, and gives a proper overview of the research status of pressure testing at home and abroad, and focuses on the macro pressure test of credit risk. Secondly, a brief introduction to the structure, research ideas and methods of this article is introduced to make a preliminary understanding of the background and main ideas of the article. Finally, a brief introduction is made to the frame of thinking of this article, and the innovation of this article is briefly explained.
The second chapter is a summary of the macro pressure test theory of credit risk. This part first discusses the connotation of the macro pressure test of credit risk, and considers that the macro pressure test of credit risk is a pressure testing method based on the stability of the financial system and is based on the system's ability to defend the risk of credit risk. The impact of the macro economic variables on the credit risk, the stability of the whole financial system, and the use of the financial institutions to better recognize the credit risk of the whole system and strengthen its own ability to defend the credit risk. Then, the macro pressure measurement of credit risk is introduced. The four specific steps of the test are to determine the scope of the financial institutions, the identification of credit risk, the setting of the situation, the situation analysis, and the specific methods that can be used when setting the situation. Finally, the important role of the supervision authorities on the macro pressure test of the credit risk is emphasized from the risk management point of view.
The third chapter, the model and selection of the credit risk macro pressure test, mainly introduces the current mainstream credit risk pressure test model, focusing on the Merton model, the Wilson model and the credit risk measurement model proposed in the new Basel capital agreement. At the same time, the corresponding Merton model and the Basel new capital agreement are put forward. The difficulty of the credit risk measurement model is analyzed. It is considered that the hypothesis of Merton model is more strict, the calculation process set by the model is higher for the data and the amount of calculation. The external rating method and the internal rating law require the higher level of the public rating agencies and the internal rating technology. And the Wilson model has the bank letter. With the direct link between the risk and the macroeconomic variables, the operation is simple and clear and the data availability is high. Therefore, this paper selects the top-down macro pressure test on the credit risk based on the Wilson model.
The fourth chapter, taking real estate loan as an example, this part combines the pressure test theory, method and model introduced in the previous part. First, it introduces the background of the pressure test of real estate loan, explains the close relationship between the real estate industry and the banking industry, and emphasizes the real estate. The risk of production loan has been paid attention in our country. Then, it analyzes the characteristics of the credit risk of real estate loan in China, the transmission mechanism between the financial subjects, a clear understanding of the credit risk of the real estate loan, and the theoretical basis for the selection of the pressure index and the pressure index in the modeling. In this paper, three extreme scenarios are set up by the scenario setting method combined with the historical situation and the factor promotion method. Based on the Wilson model, the credit risk status of the real estate loan in China is measured and analyzed. Finally, the bad loan rate and preparation of the bank system under different impact intensity are obtained. Coverage change.
The fifth chapter, the conclusion and policy recommendations. In the last chapter, the results of the empirical research on the pressure test of real estate loan are summarized, and three conclusions are drawn: the bad loan rate of real estate loan is closely related to the macro-economy, the bad loan rate of real estate loan is influenced by the bad loan rate of the previous period and the pressure of this article. The credit risk of the bank system under view has been obviously affected. Then, the restrictive factors in the implementation of the credit risk macro pressure test in China's banking system are analyzed, and the imperfect data in our country, the imperfect development of the credit rating industry and the internal credit rating system of the credit rating industry and the bank lack suitable for the national conditions of our country. The macro pressure test method of credit risk restricts the effective implementation of the credit risk pressure test, and puts forward some specific policy suggestions, such as perfecting the database, speeding up the development of credit rating industry and credit rating technology, and establishing a pressure test model of credit risk macro view, which is suitable for our country. After that, the shortcomings of this article are summarized.
The innovation of this paper is to select the macro research angle. At present, the application of the pressure testing method on the micro level is more than the macro application. In our country, the CBRC has repeatedly asked the commercial banks to test the real estate loans for the micro pressure, but the credit risk of the real estate loan is in this article. This paper provides a certain reference for the banking regulatory authorities to evaluate the stability of the banking system. Secondly, this paper analyzes the credit risk conduction process of real estate loans in the empirical part, making the selection of the pressure index more reasonable; meanwhile, After estimating the bad loan rate of the bank system under different stressful situations, the empirical results are deeply analyzed, that is, the reserve coverage rate under various stressful situations is analyzed, and some policy suggestions are put forward in view of the restrictive factors in the application of credit risk macro pressure test in China.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.3;F224

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本文編號(hào)：2027541