| 地方法人金融机构信用风险压力测试研究——以青海省海南藏族自治州为例 |
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| 引用本文： | 吴艳.地方法人金融机构信用风险压力测试研究——以青海省海南藏族自治州为例[J].西部金融,2012(4):65-69. |
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| 作者姓名： | 吴艳 |
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| 作者单位： | 中国人民银行海南州中心支行,青海海南,813000 |
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| 摘 要： | 目前银行业金融机构经常使用的VaR(在险价值管理)方法未将置信度之外的极端情况纳入到风险管理之列,然而,这样的极端情况也就是压力情况一旦出现,可能就会导致金融机构风险大增,影响金融稳定。鉴于此,本文以青海省海南藏族自治州地方法人金融机构的数据为例,进行宏观经济数据波动下,宏观经济数据变化对其信用风险的压力测试研究。
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| 关 键 词： | 金融机构 信用风险 压力测试 |
On the Stress Test of Credit Risk of Local Corporate Financial Instututions a case of Hainan Tibetan Autonomous Prefecture in Qinhai Province |
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| WU Yan.On the Stress Test of Credit Risk of Local Corporate Financial Instututions a case of Hainan Tibetan Autonomous Prefecture in Qinhai Province[J].West China Finance,2012(4):65-69. |
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| Authors: | WU Yan |
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| Institution: | WU Yan(Hainan Municipal Sub-branch PBC,Hainan Qinghai,813000) |
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| Abstract: | At present,banks do not include the extreme cases in their risk management when using VaR.However,that once the extreme cases like the stress occur will lead to bankruptcy and destroy financial stability.In view of this,basing on data from local corporate financial institutions in Hainan Tibetan autonomous prefecture in Qinhai province,the paper studies the stress test of macroeconomic data variation on credit risk. |
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| Keywords: | financial institution credit risk stress test |
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