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论文编号：	146
作者编号：	2120051919
上传时间：	2007/6/28 8:33:59
中文题目：	压力测试在中国商业银行风险管理
英文题目：	The Application of Stress Test
指导老师：	李莉
中文关键字：	压力测试;商业银行;风险管理
英文关键字：	Stress Test;Commercial Banks;R
中文摘要：	商业银行作为金融机构，自其产生，就必须承担风险，风险管理不仅影响银行的经营业绩，而且还可以决定银行的生存能力。银行所发生的问题都是由于风险控制不当所致。随着金融改革的日益深化，商业银行风险管理也显得越来越重要。面对各国金融市场的日趋开放，国际市场间的连动性日益增加，传统的风险值方法已经无法完全反映重大金融事件对商业银行造成的损失。在此背景下，压力测试作为风险值方法的补充，得到广泛地应用，并逐渐成为国际上许多大型商业银行风险管理体系中不可缺少的一部分。该方法通过设定压力情景，估计极端事件发生时的最大可能损失，有效弥补了风险值法的不足。 目前，中国正处于金融改革的关键时期，金融业务对外开放、利率市场化、汇率管理体制改革、衍生性金融市场的建立等都是必然的趋势。面对金融全球化的严峻挑战，我国的商业银行需要具有更高的风险预测和风险管理能力。为此，引入压力测试方法，完善自身的风险管理体系，已经成为国内各大商业银行亟待解决的问题。尽管我国部分商业银行已于2003年在银监会的牵头下进行了压力测试的尝试，许多学者也开始对压力测试进行研究，并发表了一些有关压力测试的文章。但迄今为止，在国内对压力测试进行系统介绍的专著或是论文相对较少，而切合我国商业银行实际情况的压力测试体系也尚未建立健全。 本文在归纳总结当前有关压力测试的国内外研究成果的基础上，汇总了过去国内外学者所使用过的压力测试模型，阐述了压力测试的特点及压力测试在我国运用和发展的必要性、可行性及局限性，并进一步详细介绍了压力测试的程序和方法，比较了不同分布假设下的压力模型的特点。利用这些模型，对中国、香港和台湾股市的压力测试值进行估计，然后通过准确性与覆盖率来评估不同分布假设条件下模型的优劣，以期使中国商业银行能够根据自身特点选择合适的压力测试模型，从而完善银行的风险管理体系。最后，本文通过实证分析得出结论，从准确性方面来讲，极值分布模型在风险管理体系中的应用效果最佳，而正态分布模型的应用效果最差。而从覆盖率方面来看，则以混合正态分布模型的效果最佳，正态分布模型的效果最差。
英文摘要：	As financial organizations, commercial banks have to undertake risks and logically, the risk management of every commercial bank not only influences the bank’s operation, but also decides its ability of survival. Most problems of commercial banks can be attributed to improper risk control. However, VaR method cannot perfectly reflect the losses caused by serious financial events. As the complement of VaR, stress test begins to be widely applied and quickly become an indispensable part of the risk management system of many international commercial banks. Now China is at the key point of financial reform. Facing the challenge of financial globalization, Chinese commercial banks call for more efficient risk forecast and management ability. Improving their risk management system by importing the stress test has become their most important task. Some of them had done some attempts in 2003 with the guide of Bank Supervision Committee and some scholars had also done some relevant research, but until now they have not done systematic introduction on stress test and also not found efficient and applicable stress test model based on Chinese situation. Based on the summarization of the research achievements on stress test in China and abroad, this research introduces the conception of stress test, describes its characteristics and the necessity, the feasibility and the limitation of stress test. And then, this research particularly introduces the process and method of stress test by comparing models with different distribution hypothesis. In sum, Scholars have used three models in the past, which were normal distribution model, mixed normal distribution model and extreme distribution model. With these models and the stock market data materials of China, Hongkong and Taiwan, this research evaluates these models based on the estimation results. Empirical analysis suggests that extreme distribution is best from the aspect of accuracy and mixed normal distribution best from the aspect of coverage. Normal distribution is the worst from both aspects.
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