ID370-中国银行业信用风险的压力测试.doc

中国银行业信用风险的压力测试 韩利娜1 （1．武汉大学经济与管理学院，湖北武汉430072） 摘要：2008年席卷全球的次级贷款危机将银行业甚至整个金融行业都暴露于非常规的风险之中，美国监管当局随后相应的对本国大型银行进行压力测试，引起了全球金融界的关注，也给我国银行风险管理带来了启发和借鉴。于是笔者将在本文里，建立Logit模型的分析框架，针对我国上市商业银行的信用风险进行了压力测试。笔者利用实证研究，量化分析银行在极端的市场环境下抵御风险的能力与可能由潜在风险导致的经济损失，并针对银行在特殊情景下表现得出结论，我国银行在风险面前表现良好，但是抵御能力还是有所不足。最后，笔者针对中国的特殊国情，为改善银行风险管理质量，提高我国银行业应对经济危机的能力，以期达到更好的控制风险和维持盈利能力的目标，提出一些意见和建议。 关键词：风险管理；压力测试；信用风险 The Analysis of the Stress Test on Credit Risk of Bank in China Han Lina1 (1. College of Economics and Management, Wuhan University, Wuhan 430072, China) Abstract: In 2008, the world-wide subprime crisis exposed the banking or even the whole financial industry to the unconventional risk and the following fact that the regulatory authorities of the US carried out stress tests on their banks draw attention of the global financial community, which also gave much reference and inspiration to the risk management of our banks. Therefore, in this paper, I carried out stress tests on the credit risk of several listed commercial banks in China under the framework of Logit model. I firstly used the empirical analysis to quantitatively analyze the capacity in resisting risk in extraordinary market conditions and the conceivable economy losses caused by the latent risk. Then, I make conclusions that those banks did well in the specific scenes but still far from perfect. And finally, I put forward some suggestions and advise in improving the quality in risk management in accordance with special state situations in China, which aim at enhance the capability of our commercial banks in resisting and controlling credit risk to keep their profit target. Keywords: Risk management; Stress test; Credit risk. 韩利娜（1987-12-27）性别-女，籍贯-天津，硕士在读。研究方向：金融工程，supernice-nana@163.com1、 引言 2008年席卷全球的次级贷款危机将银行业甚至整个金融行业都暴露于非常规的风险之中，中国作为一个发展中国家，在亚洲经济体中地位举足轻重，并且，随着改革开放的逐步实施，中国走向了国际化的发展道路，但同时也因为融入了国际金融体系而将自己本身暴露于国际风险的冲击下。压力测试作为风险预警和风险控制的重要手段再次受到了监管层和各家银行的重视。 根据IMF ( 2004 )，压力测试指一系列用来评估一些异常但又可信的宏观经济冲击对金融体系脆弱性影响的技术总称。该方法将整个金融机