Empirical Study for Stress Testing Commercial Banks Credit Risk in China
Stress testing, as a new risk management measure in the financial domain, has achieved rapid development internationally in recent years. Comparing with traditional risk management tools, it is superior in assessing the vulnerability and risk exposures of finical institutions and portfolios under extreme adverse situation and also significant to assess the stability of financial institutions and financial system. This paper develops a framework for stress testing commercial banks credit risk in China. It designs stress situations of falling housing prices and increasing interest rate, and sets probability of default as the risk attribute to measure and evaluate the credit risk of commercial bank system under stress situations. On the basis, it innovates in simulating the distribution of possible credit loss of commercial banks under the stress situations and evaluates and analyzes the commercial bank systems stability and vulnerability. Finally, it will provide some suggestions and measures on managing the credit risk of commercial bank system in China based on the research results.
Hengxuan Gao
Wuhan University of Technology, Wuhan, 430070, China
国际会议
北京
英文
1-5
2011-07-01（万方平台首次上网日期，不代表论文的发表时间）