我国商业银行宏观压力测试研究——基于四类银行的SUR模型

摘要

This paper mainly investigates non-performing loans （NPLs） ratio as our stress testing banks of four categories the application of macro stress testing on commercial banks in China. Adopting the indicator of main risks for Chinese commercial banks, we construct a SUR model for State-owned Commercial Banks, Joint-stock Commercial Banks, Urban Commercial Banks and Rural Commercial Banks. We design two ＂exceptional but plausible＂ scenarios-sharp decline of real estate price in- dex and surge of CPI, and use Monte Carlo simulation to get the credit loss distribution. The results indicate that commercial banks of four categories react to the macroeconomic shocks significantly with rising credit loss ratios. Among the four catego- ries, State-owned Commercial Banks enjoy better soundness, while Urban Commercial Banks have comparatively poor performance under the stressed scenarios.%本文以不良贷款率作为评估银行主要风险的指标，建立SUR模型对我国国有商业银行、股份制银行，城市商业银行和农村商业银行四类银行进行了宏观压力测试。通过构建房价下跌和物价上涨的极端情景，运用蒙特卡洛模拟方法得到宏观经济因素冲击下四类银行的贷款损失分布，结果表明在设定的压力情景下，四类银行的贷款损失率都有不同程度的上升，国有商业银行的稳健性最好，而城市商业银行表现相对较差。