压力测试及其在金融机构风险管理中的运用

本文研究和评价了目前被国际大型金融机构积极采用的风险管理工具:压力测试。作者通过将压力测试与VaR作比较等方法详细阐述了压力测试的特征、使用方法和缺陷,并且进一步分析指出压力测试在金融机构风险管理中的作用及其最新发展状况和趋势,最后着重分析了压力测试在我国运用和发展的前景并提出建议。

Stress Tests and its Application in Risk Management of Financial Institutions

This paper analyses and evaluates the creative risk management tool as stress tests which was actively adopted by large international financial institutions in recent years. Through the comparison between stress test and VaR and other methods, the author illustrates the features, usages and drawbacks of stress test. Furthermore, the author analyses the role of stress tests in risk management of financial institutions and points out the recent developments as well as the latest trends of stress tests around the world. At last, the author gives out his perspective of the domestic application of stress tests and corresponding suggestions.