【作者】 张峰；

【导师】 蔡慧娟；

【作者基本信息】 西南财经大学 ， 金融学， 2010， 硕士

【摘要】 随着经济全球化和一体化越来越紧密,如何对金融体系面临的不同类型的风险暴露进行测量和监控的问题大大促进了金融体系风险管理方法的创新和发展。以往的风险衡量技术,如标准差、β系数、持续期和delta等方法都只能适应特定的金融工具或在特定的范围内使用,难以综合反映风险承担情况。在这种情况下,管理者尤其是高层管理者,越来越需要一种既便于掌握和理解,又能全面反映金融机构或投资组合所承担的风险及度量测试的技术方法。压力测试体系就是适应当前风险管理需求,以规范的统计技术全面衡量全面进行风险管理的一种有效方法论。压力测试是假设市场在最不利的情形(如利率突然急升或股市突然重挫)下,分析对资产组合的影响效果；IOSCO(1999)则更具体指出压力测试是将资产组合所面临的极端但可能发生的风险加以认定并量化。巴塞尔委员会的有关文件则将其定义为金融机构用以衡量由一些例外但有可能发生的事件所导致的潜在损失的方法。国际清算银行巴塞尔银行全球金融系统委员会(BIS, Committee on the Global Financial System, BCGFS)(2000)则将压力测试定义为压力测试是用来测度金融体系对于一些异常但又可信事件脆弱性的各种技术的总称。我国银监会颁布的《商业银行压力测试指引》指出,压力测试是通过测算银行在遇到假定的小概率事件等极端不利情况下可能发生的损失,分析这些损失对银行盈利能力和资本金带来的不利影响,进而对单家银行、银行集团和银行体系的脆弱性做出评估和判断,并采取必要措施。本文所述压力测试主要是用银监会的这一定义。一个完整的商业银行风险压力测试过程包括：确保数据可靠、调查资产组合与环境、建立压力情景、确定冲击大小、执行压力测试、报告和发布压力测试结果等几个步骤。确保信用风险管理中数据的准确和及时,是信用风险压力测试中最为重要的环节之一；调查资产组合与环境的目的在于识别重要风险因子；定义各种风险因子,银行常见的信用风险因子包含：交易对手风险一这部分包含违约概率(PD, Probability Default)、违约损失率(LGD, Loss Given Default)、违约暴露金额(EAD, Exposure At Default)三个主要风险因子,此外,借款人提前还款会导致再投资风险,所以到期期间也可视为风险因子；总体经济因素一经济增长率、失业率或物价指数等会对资产组合有影响的总体经济变量都可视为风险因子；其他与产业及市场、地区有关的各项政治或经济因素亦可视为风险因子；市场风险因子一银行持有债券或证券等金融商品,同时会面临市场及信用风险,一个压力事件对此类商品所产生的影响属于市场风险还是信用风险,是很难加以区分的,因此在进行压力测试时,会同时将此两类风险因子进行衡量；其他类型风险因子。建立压力情景,根据面临的问题和实际需要,通常会建立两种类型的压力测试,即单因子压力测试和多因子压力测试。确定冲击大小,在考察了各种风险因子和确定了建立何种压力测试之后,接下来的问题是决定冲击的大小,冲击的大小确定与压力测试中包含的每一个风险因子相关。执行压力测试,一旦建立起了压力情景和决定了风险因子冲击的大小,就可以执行压力测试,并判断出压力事件下信用资产组合可能造成的损失；最后是测试结果报告。压力测试最初是为了响应1996年BASEL资本协定的修正而被正式提出并开始运用。自从1997年亚洲金融危机爆发和1998年秋季俄罗斯债务危机以来,压力测试因其与相比独特的优点得到越来越广泛的关注。在银行业被普遍认可和接受的世界发达国家的监管当局均要求或鼓励所属银行遵循巴塞尔银行监管委员会的建议规范进行压力测试工作,发达国家的监管当局都要求金融机构年度财务报告中应加入压力测试分析,使股东及其他社会各界对其未来发展、前景及风险有更深层次的认识。随着我国资本市场的不断开放,我国金融业将面临金融全球化的严峻挑战,各种无法运用常规方法度量的金融风险应该如何测量和监控是我们必须研究的重大课题。因此,在我国金融机构中推广使用压力测试体系进行全面的风险管理对我国金融业的健康发展有举足轻重的作用。我国目前已经开始了压力测试在金融领域的推广应用,但受限于国内银行风险管理技术和人才的不足,压力测试的推广工作收效不大。虽然金融体系压力测试方法应用时间较短,但在实践中得到了迅速的推广,已经成为政策当局金融稳定性分析中广泛使用的工具。尽管该方法的应用还不太成熟,但因其独特的视角和优点,会被越来越多的金融机构作为风险管理的主要工具而加以优化运用。本文在理论层面,主要介绍压力测试体系的产生背景,国内外现状,基本内容,对风险实施管理的步骤等。在实务层面,利用此方法论以在一定情景下用计量经济模型对某银行的信用风险进行测试度量并作实证分析,检验此方法的可行性。本文共分四章,第一章主要是总体概述其产生背景、国际现状和发展趋势；第二章论述压力测试方法,包括定义辨析、一般理论、测试方法、步骤、应用范围等。第三章以信用风险为例,用计量经济模型Logit模型对信用风险进行测试度量,本章包括Logit模型设定、进行信用风险测试的情景设定、变量和数据选取、多元线性回归分析、信用风险损失估计。第四章对结果做出解释、提出政策建议。由于此方法在我国的运用刚刚起步,大多数金融机构对其用于风险管理的深入研究很少,尤其是银行信用风险测试,本文主要是给国内金融机构监管者一个宏观的方法论概念,将压力测试作为一个整体体系而不是将其孤立起来。即使有些风险的测试度量可能单独用VaR方法也能起到很好的度量监管作用,但对一些特殊风险(如小概率突发事件等)就很有必要二者结合使用,本文对信用风险的测试举例只是一种参考模型而已,可能由于数据收集,模型准确度不高等原因,达不到较高的监管要求,但作为一种尝试可以为以后开发出更为精准,优良的测试模型开路。更多还原

【Abstract】 With the globalization and intergration of the world economy becoming more and more close together.How to measure and supervise different types of risks faced by finance systerm making many methods for risk management have been found and developed. The old technology of risk management like as standard spread、βcoefficient、continued period and delta method just can fit to special finance tools and scope, they are not so good at reflect true risks. In this condition, managers, especially higher mandgers need a technological method which can reflect risks of finance and investment compose all-roundly. Stress testing systerm can suit the request at the moment.Stress testing assume that market in the badest condition (eg:interest rate rise or stock price down suddenly),analyse the effection to asset combination. iosco(1999)defined that Stress testing is a tool to measure and found the risks faced by asset combination.BASEL defined that it is a method of measuring potential losses which exceptional but probably to happen in future faced by financial institutions.BIS defined that it is a generic name of technology to measure vulnerability faced by financial institutions which is unusual but credible.The CBRC promulgated by the Commercial Bank of our country pressure testing guideline says:Stress testing is a tool to calculate some possible losses which assumed that banks facing probability events in extreme adverse circumstances, to analyse the loss of the adverse impact on banks profitability and capital,then made a assessment and judgement to vulnerability of Single bank, Bank Group and the banking system and to take the necessary measures. This article described this definition of the pressure test is mainly for the cbrc.A complete risk of commercial banks stress testing process included of:to ensure reliable data, investigation of portfolio and the environment, the establishment of pressure and determine the impact size and perform stress testing, report and release the pressure test results and so on of several steps.To ensure accurate and timely credit risk management of data, is one of the most important link in the credit risks of stress testing. Investigation of portfolio and environment with the aim of identifying an important risk factor. Define various risk factors, bank credit risk factors of commonly including of counterparty risk-this section contains probability default,loss given default and exposure at default. In addition, the borrower early repayment will lead to further investment risks, so the maturity period may be regarded as a risk factor; The overall economic factors like as economic growth, unemployment rate or price impact on portfolio macro-economic variables can be regarded as a risk factor; Other industries and markets, about the various political or economic factors will also be considered a risk factor; Market risk factor -- banks holding bonds or securities and other financial products, while facing market and credit risks. It is difficult to distinguish market risk or credit risks which a effect of pressure on such goods, So when we begin to test pressure, it is necessary to assess two types of risk factors; Other types of risk factor and so on. Establishment of pressure, according to the facing problems and practical needs, usually two types of establishment of pressure test, that is, single-factor stress testing and multi-factor stress testing. To determine the impact size, after investigation of the risk factors and determination of making which pressure type, the next question is to decide the size of the impact, there is a interaction between determination of the size for shock and each risk factor included in the stress testing. Perform stress testing, once built up the pressure and determines the size of the risk factors impact, you can perform stress testing, and judge the possible loss of credit portfolio under the pressure; Final test results report.The stress testing is first to respond been formally proposed amendments to the 1996 BASEL Capital Accord and began to use it. Since the outbreak of the Asian financial crisis in 1997 and the fall of russia’s debt crisis in 1998, because of its unique advantages compared are increasingly broad attention. In the banking sector is widely recognized and accepted under the regulatory authorities of the developed countries in the world require or encourage banks to follow the Basle Committee on Banking supervision’s proposal for pressure testing work, developed countries authorities have called for financial institutions should have stress testing analysis in the annual financial reports,to make shareholders and other various sectors of the community have a deeper understanding of risks and development prospects in the future.With the continuous opening of china’s capital market. our financial industry will face severe challenge of financial globalization, how to measure and control financial risk which can not be measured by conventional methods is a major issue we must consider. therefore, to promote the use of stress testing system for comprehensive risk management in our financial institutions, has a decisive role to the development of our financial industry healthily.China has begun application of stress testing in the financial field, but restricted banking risk management techniques and talent shortage in the country, there is no effective result. Although the application of pressure testing method just beginning, but get rapid promotion in practice, has been widely used as a tool to analyse stability by policy administration Although the method of application is not yet mature enough, due to its unique perspective and benefits,it will more and more be applied as the main tool in risk management byfinancial institutions and to optimize the use. On a theoretical level, the article mainly introduces the background of the stress testing system, domestic and international situation, the basic contents and the steps for risk management.At the practical level, using this methodology under certain scenario,using the econometric model test measure of a bank’s credit risk and empirical analysis and test the feasibility of this method.This article is divided into four chapter. First major including general overview of their background, the international situation and development trend. Second, the methods of stress testing, the definition of discrimination, general theory, procedures, and scope of application. Third,takeing credit risks for example, using the econometric model of Logit to measure credit risk,this chapter includes Logit model about, credit risk measurement setting, selection of variables and data, multiple linear regression analysis, explanation to the results and put forward policy recommendations.Because this method used in China has just started, there is no deep research on the risk management for many financial institutions, in particular, credit risk of banks, this article is mainly to show a macro concept to domestic managers of financial institutions, taking stress testing system as a whole not be isolated. Even if some risks testing measures like as VaR method can also play a very good role of supervision, but for some special risks (Small probability incident)it is necessary to use a combination of the two, this test for example, is only a reference model for credit risk.Since the data collected and the model accuracy are not so perfect,it is hard to achieve higher regulatory requirements, as an attempt,may be a pioneer for the future accurate model.更多还原