本文關(guān)鍵詞：我國商業(yè)銀行信用風(fēng)險宏觀壓力測試研究　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用風(fēng)險 壓力測試 不良貸款率 宏觀經(jīng)濟(jì)指標(biāo)

【摘要】：壓力測試關(guān)注資產(chǎn)組合收益的厚尾特征分布,能度量在極端情況下資產(chǎn)組合損失,彌補(bǔ)了傳統(tǒng)風(fēng)險管理工具VaR的缺點,因而成為商業(yè)銀行風(fēng)險管理的重要工具。尤其是2007年末全球金融危機(jī)以來,壓力測試特有的對危機(jī)的預(yù)警能力使其在各國金融體系中被廣泛實踐。 由于我國壓力測試的文獻(xiàn)研究起步較晚,壓力測試技術(shù)相對比較落后,大部分文獻(xiàn)都是總結(jié)國外壓力測試的研究方法,僅有少數(shù)論文運用我國商業(yè)銀行數(shù)據(jù)進(jìn)行實證研究,而且由于我國銀行體系數(shù)據(jù)可比性較差,實證研究基本都是建立在個別銀行基礎(chǔ)上的,對銀行體系的壓力測試實踐還比較少。 本文對我國宏觀壓力測試研究的不足做了改進(jìn),一是在壓力測試技術(shù)方面,在總結(jié)國內(nèi)外研究的技術(shù)方法后,在宏觀壓力測試模型建立、風(fēng)險因子選擇和壓力情景設(shè)定等方面都進(jìn)行了創(chuàng)新或改進(jìn)。二是在充分考慮銀行體系數(shù)據(jù)可比性的前提下針對我國整個銀行體系進(jìn)行了壓力測試實證研究,結(jié)果表明,gdp增長率、貸款利率、cpi、貨幣供應(yīng)量增長率和房價指數(shù)是影響商業(yè)銀行信用風(fēng)險的主要宏觀經(jīng)濟(jì)因素。壓力測試結(jié)果表明,在所設(shè)定的輕度、中度和重度壓力下,銀行信用風(fēng)險會顯著增加,但是在重度壓力情景下違約損失依然可以由貸款損失準(zhǔn)備覆蓋,說明我國銀行業(yè)整體健康,承壓能力較強(qiáng)。三是針對不同類別銀行可能在相同的壓力情景下承壓能力的不同,對五類銀行分別進(jìn)行了實證研究并對其測試結(jié)果進(jìn)行對比,結(jié)果表明國有銀行信用風(fēng)險受宏觀經(jīng)濟(jì)衰退影響最為嚴(yán)重,股份制銀行和外資銀行其次,城市商業(yè)銀行和農(nóng)村商業(yè)銀行受國家整體宏觀經(jīng)濟(jì)衰退影響相比較小,并解釋了這種結(jié)果與銀行的所有權(quán)性質(zhì)和經(jīng)營范圍的不同有關(guān)。并由此提出國有銀行應(yīng)當(dāng)是壓力測試監(jiān)管最重要的部分,宏觀壓力測試要根據(jù)其特點采用不同層級的宏觀數(shù)據(jù)。 本文通過理論分析和實證研究,為我國商業(yè)銀行體系宏觀壓力測試流程的完善和技術(shù)方法的科學(xué)性提供了重要參考。并提出將壓力測試作為銀行風(fēng)險管理的常規(guī)化工具,對壓力測試的技術(shù)方法、信息披露和監(jiān)管等方面提出了相應(yīng)的建議,對我國商業(yè)銀行風(fēng)險管理體系的完善具有重要意義。
[Abstract]:Stress testing focuses on the heavy tail characteristic distribution of portfolio returns, which can measure portfolio losses in extreme cases, and makes up for the shortcomings of traditional risk management tool VaR. Especially since the global financial crisis in end of 2007, the stress test has been widely used in various countries' financial systems because of its unique ability to warn of the crisis. Due to the late start of the literature research on stress testing in China, the stress test technology is relatively backward, most of the literature is to summarize the research methods of foreign stress testing. Only a few papers use Chinese commercial bank data for empirical research, and because of the poor comparability of the data of our banking system, the empirical research is based on the basis of individual banks. The practice of stress testing of the banking system is still relatively small. In this paper, the deficiencies of the study of macro stress testing in China have been improved. First, in the pressure test technology, after summarizing the domestic and foreign research methods, the macro pressure test model is established. The selection of risk factors and stress scenarios have been innovated or improved. Secondly, the empirical study on the stress test of the whole banking system has been carried out on the premise of considering the comparability of the data of the banking system. The results show that GDP growth rate, loan interest rate, money supply growth rate and house price index are the main macroeconomic factors affecting the credit risk of commercial banks. Under the set of mild, moderate and severe pressure, the bank credit risk will increase significantly, but the default loss can still be covered by the loan loss reserve under the heavy pressure scenario, indicating the overall health of the banking industry in China. Third, according to different types of banks may be under the same pressure scenarios, the five types of banks were studied empirically and the test results were compared. The results show that the credit risk of state-owned banks is most seriously affected by the macroeconomic recession, joint-stock banks and foreign banks are next, urban commercial banks and rural commercial banks are less affected by the overall macroeconomic recession. It also explains that this result is related to the nature of ownership and the scope of operation of the bank, and puts forward that the state-owned bank should be the most important part of the supervision of the stress test. Macro-stress test should adopt different levels of macro data according to its characteristics. This paper through theoretical analysis and empirical research. It provides an important reference for the perfection of macro-stress testing process and the scientific of technical methods in China's commercial bank system, and puts forward that the stress test should be used as the regular tool of bank risk management. This paper puts forward the corresponding suggestions on the technical methods, information disclosure and supervision of stress testing, which is of great significance to the perfection of the risk management system of commercial banks in China.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33;F224

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