【摘要】 本文针对商业银行评估宏观压力测试对其资产状况产生的影响建立模型,在借鉴国际经验的基础上,结合中国国情开发了基于向量误差修正模型(VECM)的宏观压力测试情景设置模型,对我国商业银行开展宏观压力测试工作具有重要的现实意义。更多还原

【Abstract】 According to the effect of commercial bank to assess the macro stress test on assets condition,the author has developed a situational setup model of macro stress test based on VECM with using international experience for reference and combining with Chinese situation,which has important realistic meaning on developing macro stress test for commercial banks in China.更多还原