基于宏观压力测试的我国商业银行信用风险评估

通过构建宏观压力测试模型，研究宏观经济波动对商业银行信用风险的影响。以不良贷款率作为评估商业银行信用风险的指标，根据Logit模型将商业不良贷款率转换为中介指标，然后将中介指标与各宏观经济变量进行多元回归分析以及对各宏观经济变量进行向量自回归分析。研究结果表明：选定的宏观经济变量对商业银行不良贷款率都有显著性的影响，同时，在设定的情景压力下，商业银行不良贷款率都有不同程度的增加。

An Aseessment on the Credit Risk for China Commercial Bank Based on Macro Stress-Testing

We research the impact of macro economic fluctuation on credit risk of commercial banks by the macro stress test model .We choose Non-performing loans in commercial bank as the measurement of credit risk .Use Logit equation transferring it into an intermediate indicator which could reflect the default probability of banking system.And then establish linear regression model with kinds of macroeconomic variables and the each vector autoregression analysis with macroeconomic variables .At last.We get the distribution of Non-performing Loans rate under macroeco-nomic stocks through scenario analysis and Monte Carlo stimulation method .The results show that these macroeconomic have significant impacts on the Non-performing Loans of commercial banks.Meanwhile the Non-performing Loans of commercial have increased with different extents under the given scenario pressure.