Liquidity Risk Macro Stress-testing of the Banking System

摘要：

　　In order to analyze the impact of financial asset price shocks on the banking system, this paper develops a macro stress-testing framework to assess liquidity risk, credit risk and market risk.Firstly, using the Monte Carlo method to simulate market risk path generated by the financial asset price shocks; secondly, using Morton model to analyze the linkage between market and default risks of banks, while the linkage between default risk and deposit outflows is estimated econometrically; Contagion risk is also incorporated through banks linkage in the interbank and capital markets.Finally, the framework is applied to a group of banks in China, based on publicly available data as at the end of 2008.Its test results show that: the liquidity risk of the bank system is very low, the probability of no bank default is 99.15 %, and the entire bank system is stable.

关键词： stress testing market risk liquidity risk credit risk asset price shocks

作者: Yuan Fangying

作者单位: Department of Finance, Shanghai Lixin University of Commerce

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 233-241

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）