商业银行市场风险压力测试研究

2007年起始的全球金融危机暴露了银行业对压力时期的市场风险预测失灵。危机后,西方国家通过压力测试来评估银行的资本充足状况。这一举措起到了恢复市场信心的作用。因为影响市场的风险因素众多,所以市场风险压力测试有别于其他风险类别的压力测试。虽然市场风险压力测试在学术领域、监管层面和实际应用中都得到了一定程度的研究与发展,然而当前压力测试方法还存在诸多不足,如不能提供压力情景可能性分析、无法涵盖模型外风险因素的测度、受限于产品定价模型的假设等。因此,在未来发展中应更加关注压力测试结果在银行的运用,及充分考虑尚未被普遍纳入压力情景的隐性风险因素。

The Analysis of Market Risk Stress Testing for Commercial Banks

The financial crisis in 2007 revealed the failure of global banking industry in predicting market risks during stress period.Western countries employed stress testing after the crisis to assess bank's capital adequacy,thus restored market confidence.Due to numerous influential factors,the market risk stress testing is different from other types of risk stress testing.Although it has been studied and developed in academics,supervision and practice,the market risk stress testing still has several significant ...