The Credit Risk Macro Stress Testing of the Chinese banking system
In order to test the overall credit risk of loans of Chinas banking system, a macroeconomic credit risk model is designed, including a multiple linear regression model describing default probability, and a set of regression models describing macroeconomic environment. Studies show that bank loan default rates and key macroeconomic factors are related. Then stress tests are implemented one by one according to different shocks. The results showed that most banks continue to profit even at 90% confidence level when estimated risk of loss, reflecting a moderate credit risk in the banking system. However, if confidence level rises to 99% when estimated risk of loss, the banking system will face significant losses. The results show that it is necessary to prevent the credit risk of real estate loans and government debt.
macro stress-testing credit risk SUR Monte Carlo method
Yuan Fang-ying
国际会议
2011 China Control and Decision Conference(2011中国控制与决策会议 CCDC)
四川绵阳
英文
1198-1203
2011-05-23(万方平台首次上网日期,不代表论文的发表时间)