【作者】 黄春霞；

【导师】 何泽荣；

【作者基本信息】 西南财经大学 ， 金融学， 2010， 硕士

【摘要】 在市场经济的推动下,金融市场迅猛发展,各国金融监管当局也纷纷强化了金融风险管理的重要性,压力测试作为一种重要的风险管理工具,也被一些国家纳入了监管范围,但由于昂贵的测试成本使之收效不大。随着2007年华尔街的次贷危机演变成席卷全球的金融海啸,各国的经济增长前景均急转直下,全球股指显著下挫,大型金融机构的倒闭也屡见不鲜。在这百年一遇的全球金融危机影响下,各国金融监管当局又重新重视压力测试的运用,2009年美国和欧洲都先后启动了对银行业压力测试的实践。我国银监会为响应金融部门评估规划(Financial Sector Assessment Program, FSAP)的要求,于2003年开始在我国国有银行中推行压力测试,但由于缺乏切实有效的压力测试参照体系,压力测试的运用一直未能得到推广,2007年12月我国银监会出台了《商业银行压力测试指引》要求我国境内依法设立的商业银行,必须遵照相关规定执行压力测试。所以在我国金融监管当局大力推广压力测试运用的背景下,研究压力测试方法在我国商业银行风险管理中的运用,对我国金融业的稳定和发展具有重要作用。有鉴于此,在国内外学者对压力测试研究成果的基础上,本文较为全面的构建了压力测试理论体系,同时针对我国商业银行所面临的风险类别,分别构建了商业银行信用风险、市场风险、流动性风险和操作风险的压力测试定量评估模型。并运用本文所构建的压力测试评估模型对我国商业银行所面临的主要风险进行了实证分析,实证结果显示了我国部分商业银行所面临的风险状况,也为风险管理者提供了一定的参考价值。本文一共分为五章：第一章主要是压力测试的文献回顾以及压力测试在各国的实践情况。国外压力测试的研究始于20世纪九十年代中期,随后国外学者对压力测试做了大量的研究,且研究内容涉及了压力测试的各个方面,包括压力测试与风险价值VaR (Value at Risk)的关系、压力测试分析方法、压力测试在银行体系的实证等。我国学者在国外学者研究成果的基础上,对压力测试也做了相应的研究,但由于对压力测试的研究起步较晚,国内学者的研究大多是在国外文献的基础上进行整理、综述或进行实证分析,且至今仍没有一本专著对压力测试进行系统全面的介绍。在FSAP的推动下,一些发达国家开始将压力测试引入到金融风险管理体系当中,并在金融机构展开了压力测试实践,截至2005年,FSAP共对70多个国家或地区的金融体系稳定性进行了压力测试,我国于2007年底也开始在银行业中推广压力测试的实施。第二章是压力测试的理论基础。本章首先介绍了压力测试的基本含义,其中包括压力测试的定义、进行压力测试的目的和作用以及压力测试的使用范围。第二节则主要探讨了金融机构进行压力测试的必要性,自20世纪80年代以来,在一些国家或地区发生了比较严重的金融危机,这些金融危机的爆发对金融市场和金融系统的稳定性均产生了巨大的影响,所以巴塞尔委员会以及各国金融监管当局将压力测试纳入了监管范围,同时由于运用VaR法进行风险管理的缺陷以及压力测试对极端事件进行评估的特性,使压力测试成为金融风险管理中必不可缺的风险管理工具。第三节则针对压力测试进行了可行性分析,主要从压力测试理论基础和辅助技术的发展以及监管部门的支持都为压力测试的实施提供了条件。第四节主要介绍了压力测试的步骤和程序,从数据的收集到压力测试报告的形成都做了比较细致的说明。第五节主要研究了压力测试的分析方法,本文将压力测试方法分为了四类,即情景分析法、敏感性分析法、VaR压力测试方法、极值理论法,并对每种方法的原理均做了较为详细的阐述。第三章在压力测试理论研究的基础上,分析如何将压力测试方法运用到我国商业银行的风险管理中,并根据我国商业银行所面临的风险类别,分别建立了信用风险、市场风险、流动性风险以及操作风险压力测试模型。商业银行信用风险压力测试模型是建立在信贷组合模型Credit Portfolio View(CPV)的基础之上,运用Logistics回归模型来构建信用风险压力测试模型。商业银行市场风险的压力测试主要从利率风险、汇率风险以及股价风险三方面来探讨的,其中利率风险和汇率风险的压力测试都运用的是敏感性分析法,股价风险则建立在VaR模型的基础之上,利用蒙特卡洛模拟法对股票价格风险进行计量并在此基本上配置经济资本。商业银行流动性风险的压力测试则假定商业银行每日的资金净流量服从混合正态分布,运用VaR思想对商业银行流动性风险进行压力测试。商业银行操作风险压力测试模型运用极值理论模型来衡量操作风险的损失,并从操作风险发生的频率和损失金额来构建模型。第四章是将压力测试运用到我国商业银行风险管理中的实证分析。该章在第三章所构建的商业银行压力测试模型基础上,对我国商业银行的信用风险和市场风险的压力测试做了实证分析。我国商业银行信用风险的压力测试实证是将宏观经济因子引入到模型之中,运用计量回归思想筛选出对银行违约率产生显著影响的宏观因子,然后在此基础上通过情景分析来确定商业银行在压力情景下所面临的信用风险状况,并检验贷款减值准备余额能否覆盖压力情景下的损失。我国商业银行利率风险和汇率风险的压力测试实证发现,在所选择进行压力测试实证分析的商业银行中,中国农业银行所面临的利率风险最小,且它的净利息收入变动与利率变动负相关,中国建设银行所面临的利率风险最大,中国工商银行所面临的汇率风险最大。而股价风险的压力测试表明,在轻微压力测试情景下,我国商业银行为抵御股价风险,至少应配置22.84%的经济资本,在严重压力测试情景下,则至少要配置35.19%的经济资本。由于缺乏相关数据,本文未对我国商业银行的流动性风险和操作风险进行压力测试实证分析。第五章是本文的结论和建议。通过前几章对压力测试的理论研究和我国商业银行压力测试的建模以及对我国商业银行压力测试的相关实证分析,该章得出了本文的研究结论,并针对我国商业银行当前压力测试在理论和实践中存在的问题提出了相应的建议。本文的主要贡献有：第一,总结了压力测试在国内外的理论研究情况,以及压力测试在一些国家的实践情况。本文对国内外研究压力测试的文献进行了归纳和提炼,并介绍了压力测试在德国、英国、美国以及中国的实践情况。第二,系统的研究了压力测试理论。本文在已有的压力测试理论基础上,界定了压力测试的含义,进行了压力测试的必要性和可行性分析,并对压力测试的步骤和压力测试的分析方法进行了详细的阐述。第三,建立了商业银行压力测试的定量分析模型。本文在情景分析法、敏感性分析法、VaR压力测试法以及极值理论在基础上,分别从商业银行信用风险、市场风险、流动性风险以及操作风险几个方面,构建了适合我国商业银行进行压力测试的定量分析模型。第四,实证分析了当前我国商业银行信用风险和市场风险的压力测试情况。本文在压力测试理论基础上,建立了适合我国商业银行压力测试的计量模型,并对我国部分商业银行信用风险和市场风险的压力测试进行了实证分析,压力测试结果显示了我国部分商业银行所面临的风险状况,为压力测试在我国商业银行的实践提供了参考。更多还原

【Abstract】 The financial market is developing fast under the motivation of market economy. The financial supervisors of each nation enhance the important of the financial risk management. The stress testing as an important risk management tool is used by some nation, however, for the high cost, the effect is relatively small. After the financial crisis, the economy development of each nation is suspended, many huge financial institutions gone bankrupt. By the influence of the financial crisis, the supervisors of each government paid attention to the stress testing. Moreover, American and Europe started to put stress testing into practice on banks in 2009. The China Banking Regulatory Commission (CBRC) obeys the requirement.of Final Sector Assessment Program (FSAP), and starts the stress testing on the state-owned banks in 2003. However, the stress testing is not applied widely for the lacking of standard system. The situation is not changed until of 2007, the CBRC publishes the standard and asks all the banks in China must obey it. Hence, the stress testing is applied in our country which promotes the research of the stress testing extensively.This paper establishes the theory system of stress testing on the base of relative mature result by the foreign researchers. It establishes the credit risk, market risk, and liquidity risk and operation risk stress testing models for the commercial banks in China. This paper also analyzes the demonstration of the risk which banks will encounter based on the proposed models. The result reveals the risk situation of some banks; moreover, it can be a valuable reference for the risk mangers.There are five chapters in the paper:The Chapter 1 gives a brief review of stress testing and introduces the practice situation in some countries. The stress testing researching starts in the mid 1990s. After that, the stress testing is studied extensively which contains the relationship between stress testing and Value at Risk (VaR), the methods of stress testing analysis and the empirical work of stress testing on the bank system. The stress testing analysis is relative immature in China. Under the promotion of FSAP, several developed countries applied the stress testing in the financial risk manage system, and take into practice in the economy institution. The China starts the stress testing in the end of 2007.In Chapter 2, it derives out the basement of the stress testing theory. It introduces the definition of stress testing which includes the definition of stress testing, the purpose of stress testing, the significance of stress testing and the field of application. In section 2 of Chapter 2, it discusses the importance of stress testing. The Basel commission requires the stress testing should be under supervised. For the defects of the VaR, the stress testing becomes the necessary tool for the economy risk management. The section 3 analyzes the feasibility of stress testing. In section 4, it introduces the stress testing steps and methods. It classifies the stress testing into 4 kinds, and gives out an introduction for each kind in section 5.In Chapter 3, it analyzes the methods of the stress testing into the risk management of banks in China which is based on the stress testing theory. Moreover, according to the risk types, it builds the stress testing models which include commercial banks’credit risk, market risk, liquidity risk and operation risk. Stress testing of commercial banks credit risk is built on the base of Credit Portfolio View (CPV) which uses the Logistics model. The discussion of stress testing on commercial banks is based on three parts:interest rate risk, exchange rate risk, and stock price risk. The interest risk and the exchange risk are based on the sensibility analysis; whereas the stock price risk is build on the VaR model and Mentor Carlo method. The stress testing on the liquidity risk of commercial bank is supposed that the net capital flows obey the mix normal distribution. The stress testing on the operation risk uses the Extreme Value Theory.Chapter 4 applies the stress testing into the demonstration of the commercial banks in China. This chapter is based on the stress testing models which are built in chapter 3. The demonstration considers the macro economy factors and applies them into the model. It uses the method of the recurrence estimation and selects out the significant impact to the probability default factors; moreover, it ensures the situation which the banks are on the stress. The result shows that the Agriculture Bank of China face the smallest interest risk, whereas the China Contribution Back with the largest interest risk, and the Industrial and Commercial bank of China with the largest exchange risk. The stock price testing shows that: under the little stress testing to resist the stock price risk, it should reserved 22.84% economy capital and 35.19% under the high stress testing.The conclusion and suggestion is given out in Chapter 5. According to the previous chapters’analysis, it reaches the conclusion and offers the suggestion.The main contribution of this paper concludes following aspects:First of all, it gives a brief review of stress testing and the practice situation of some nation.Second, it gives out the definition of the stress testing and analyzes the feasibility of the stress testing. At last it reveals the step of the stress testing.Thirdly, this paper build the stress testing model according to the interest rate risk, exchange rate risk, and stock price risk based on the situation analysis and the sensibility analysis.Fourthly, the demonstration analyzes the credit risk and market risk testing situation. This paper build the model of the commercial bank in China based on the stress testing theory. It reveals the situation the risk of banks, and offers the reference for the practice of stress testing in China.更多还原