压力测试在我国商业银行风险管理中的应用

【作者】 高显岳；

【导师】 聂富强；

【作者基本信息】 西南财经大学 ， 统计学， 2006， 硕士

【摘要】 压力测试作为风险价值(VAR)法的必要补充已发展成为金融机构风险管理中不可或缺的方法之一。在此背景下,我国部分商业银行于2003年在银监会的牵头下进行了压力测试的尝试。许多学者也开始了对其的研究,并发表了一些有关压力测试的文章。遗憾的是,迄今为止,在国内仍没有一本专著或是论文对其进行系统的介绍,也没有根据我国商业银行的实际情况构建出一套既切实有效、又可操作性强的压力测试体系。鉴于此,本文在归纳总结国内外有关研究成果的基础上,结合我国商业银行实际情况,力图构建出一个全面系统的压力测试理论框架与实证模型。除此之外,本文的实证分析对了解国有商业银行及股份制商业银行的风险状况也具有较高的参考价值。本文共分为五章:第一章是基础理论篇。首先从理论上界定压力测试的内涵和外延。其次,系统性介绍压力测试的程序。第三,综述和评价了压力测试的方法。最后,对国内外文献进行了详细的回顾。第二章是实证模型篇。该篇从市场风险、信用风险以及流动性风险等三个角度针对我国商业银行具体情况构建了压力测试的模型。第三章是模型约束篇。根据我国的实际情况与模型的要求,从三个角度阐述了模型的约束。第一是方法上的约束。该模型的方法主要有敏感性分析和情景分析。敏感性分析只考虑单因素的影响,但实际上宏观经济要素的变化往往相互关联,相互作用,单一因素分析的结果对监管和银行风险管理的实践意义有一定局限性。另一种方法情景分析由于其需要利用宏观经济计量模型而收到约束。因为在我国虽然宏观经济计量模型的构建历史已接近二十年,但至今没有一个宏观经济计量模型既能涵盖宏观经济各个领域,又能准确有效地预测各经济变量的变化。第二是利率、汇率未完全市场化造成的约束。由于本文的利率风险以及汇率风险压力测试模型运用的方法都是敏感性分析,因此,利率、汇率未完全市场化就会影响其有效性及可操作性。第三是数据约束。这一方面表现在数据缺失及未得到长期积累造成的约束,另一方面表现在数据的不易获得或不可获得造成的约束。更多还原

【Abstract】 For an essential supplement, stress test has became one of indispensable methods in risk management of commercial banks. And therefore some of my country’s commercial banks are demanded to try stress test . At the same time, many scholars has began to research it and delivered some articles . Unfortunately, there is no one article for systemic introduction to it and a effective system about stress test in terms of the practical condition of our country’s commercial banks. So on the basis of the domestic and foreign research results , the article try to make a comprehensive、systemic theory framework and model of stress test combined the practical condition of our country’s commercial banks. Besides ,the demonstration analysis of the article has quite meaningful for understanding of the state and joint-stock commercial banks.The dissertation is composed of five chapters.The first chapter is basic theory. In the first ,make the definition of stress test in theory. Secondly, introduce the stress test procedures systematically. Thirdly, summarize and appraise the methods of stress test. Finally, review the domestic and foreign literature.The second chapter is demonstration model. The article has constructed the stress test model in view of the special condition of our country’s commercial banks from the three angles of market risk, the credit risk as well as the liquidity risk .The third chapter is model restraints. According to our country actual situation and the model request, elaborate the model restraints from three angles. Firstly ,it is the method restraint. This model method mainly has sensitivity analysis and scenario analysis. Because sensitivity analysis only consider single factor and there are close relation between macro economic variables, its results is limited to the risk management of banks. Without good macroeconometric models the use of scenario analysis has been restricted. Secondly ,it is the restraint about interest rate and exchange rate. Because interest rate and exchange rate are controlled by更多还原