宏观经济因素、信用风险与压力测试

摘要

Fluctuation of macroeconomic factors is one of the main reasons causing the credit risk of bank.Since the financial crisis of USA,the main problem in China＇s economy is the sharply fallen of export and import.What credit risk will China＇s commercial bank face in such fluctuation of macroeconomic？ The article evaluates past macro risk testing methods,and certifies that macro risk testing methods based on input-output model can analyzes the effect on sharply fallen of export and import.Further more,it can also give reference for analyzing the bad loan ration of banks and control the credit risk.%通过文献综述发现宏观经济因素波动是导致银行产生信用风险的重要原因之一。美国金融危机以来,我国经济面临的最主要问题是进出口大幅下降,我国商业银行在这样的宏观经济发生重大变动的情况下面临怎样的信用风险？本文在评介现有的宏观压力测试方法的基础上,提出并用实证证明利用投入产出模型建立宏观压力测试方法可以对出口大幅下降展开有效的行业内生影响分析并分解到每一个企业身上,从而为银行分析贷款不良率,管控信用风险提供直接的参考依据。