| 压力测试与反向压力测试在银行风险管理中的运用 |
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| 引用本文： | 黄剑.压力测试与反向压力测试在银行风险管理中的运用[J].商业经济与管理,2012(8):84-90. |
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| 作者姓名： | 黄剑 |
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| 作者单位： | 广东金融学院华南金融研究所,广东广州,510521 |
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| 基金项目： | 2011年中央财政专项资金“金融学省级重点学科建设项目”，广东省科技计划项目“广东省地方银行风险管理系统构建及模型选择问题研究” |
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| 摘 要： | 压力测试作为一般风险计量工具的重要补充,越来越受到金融监管部门和银行业的重视。文章从压力测试和反向压力测试的原理与方法出发,比较分析压力测试与在险价值(VaR)的特征性与互补性,通过示例阐明压力情景的设置方法和压力测试的操作过程,并探讨压力测试和反向压力测试在银行风险管理中的实务问题。
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| 关 键 词： | 压力测试 反向压力测试 在险价值 情景 |
Stress Testing and Reverse Stress Testing in the Risk Management of Banks |
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| HUANG Jian.Stress Testing and Reverse Stress Testing in the Risk Management of Banks[J].Business Economics and Administration,2012(8):84-90. |
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| Authors: | HUANG Jian |
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| Institution: | HUANG Jian(China Research Center for Financial Transition and Development, Guangdong University of Finance,Guangzhou 510521,China) |
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| Abstract: | The stress testing,as an important supplement to general risk measurement tools,is adopted by more and more financial regulatory sections and banks.This paper demonstrates the principles and methods of stress testing and reverse stress testing to make a comparative analysis of the stress tests with Value at Risk(VaR),especially their characteristics and complementarities.We explain the setting method of the stress scenarios and the operation of stress testing,and then explore the practical problems of stress testing and reverse stress testing in the risk management of banks. |
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| Keywords: | stress testing reverse stress testing value at risk scenario |
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