| 我国商业银行宏观压力测试研究——基于四类银行的SUR模型 |
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| 引用本文： | 谭晓红,樊纲治. 我国商业银行宏观压力测试研究——基于四类银行的SUR模型[J]. 投资研究, 2011, 0(12): 3-16 |
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| 作者姓名： | 谭晓红 樊纲治 |
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| 作者单位： | 西南财经大学工商管理学院;西南财经大学经济与管理研究院; |
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| 摘 要： | 本文以不良贷款率作为评估银行主要风险的指标,建立SUR模型对我国国有商业银行、股份制银行,城市商业银行和农村商业银行四类银行进行了宏观压力测试。通过构建房价下跌和物价上涨的极端情景,运用蒙特卡洛模拟方法得到宏观经济因素冲击下四类银行的贷款损失分布,结果表明在设定的压力情景下,四类银行的贷款损失率都有不同程度的上升,国有商业银行的稳健性最好,而城市商业银行表现相对较差。
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| 关 键 词： | 压力测试 情景分析 商业银行 |
Macro Stress Testing on Commercial Banks:Based on SUR model for Commercial Banks in Four Categories in China |
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| Tan Xiaohong,Fan Gangzhi. Macro Stress Testing on Commercial Banks:Based on SUR model for Commercial Banks in Four Categories in China[J]. Investment Research, 2011, 0(12): 3-16 |
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| Authors: | Tan Xiaohong Fan Gangzhi |
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| Affiliation: | Tan Xiaohong,Fan Gangzhi |
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| Abstract: | This paper mainly investigates the application of macro stress testing on commercial banks in China.Adopting the non-performing loans(NPLs) ratio as our indicator of main risks for Chinese commercial banks,we construct a SUR model for stress testing banks of four categories:State-owned Commercial Banks,Joint-stock Commercial Banks,Urban Commercial Banks and Rural Commercial Banks.We design twoexceptional but plausiblescenarios-sharp decline of real estate price index and surge of CPI,and use Monte Carlo sim... |
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| Keywords: | Stress testing Scenario analysis Commercial banks |
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