压力测试在我国商业银行应用研究
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摘要
压力测试作为一种前瞻性风险管理工具,常用于模拟极端但客观存在的宏观经济冲击对金融机构稳定性的影响,能够帮助中央银行识别金融体系的薄弱环节,提高中央银行和金融机构的风险评估能力,同时有助于各方理解宏观经济与金融机构之间的联系。因此,受到各国监管当局的重视,逐渐成为检验金融体系脆弱性,维护金融稳定的首选工具。在金融全球化的大趋势下,随着我国金融业和国际金融市场的逐步融合,评估商业银行稳定性,预防和化解系统性金融风险,构建一个富有竞争力的银行体系,对于中国而言显得迫切且意义深远。
压力测试是近几年才被引入我国金融风险管理领域的,与国外先进银行相比,我国商业银行在压力测试的应用实践、理论研究和模型构造等方面均处于初级阶段。对我国商业银行压力测试开展情况的研究分析也相对较少。本文主要采用了实证分析的研究方法,在对压力测试应用现状及理论方法分析研究的基础上,通过研究某具有代表意义的国有商业银行压力测试工作的整体实施情况,以及个人住房抵押贷款压力测试、房地产开发贷款压力测试两个房地产零售、对公压力测试具体实施方案,分析我国商业银行压力测试目前存在的问题及差距,并结合宏观经济运行情况及商业银行风险管理特点,尝试提出提升我国商业银行压力测试应用实施的方法与建议。
实际上,由于各商业银行业务复杂且差距较大,风险特性可能存在本质性差别,并没有压力测试的理想框架或唯一最优方法。鉴于国外压力测试起步较早,我国商业银行可借鉴国际先进的压力测试经验,结合我国经济金融环境,因地制宜开展压力测试的应用实施工作。
Stress test as a prospective risk management tools, used to simulate extreme but objective existence of macroeconomic impact on the stability of financial institutions, to help central bank identify the weak link of financial system, improve the risk assessment of central Banks and financial institutions, and help them to understand ability parties of macroeconomic and financial institutions. Therefore, stress test take the regulatory authorities'attention, and gradually become important tools for testing the vulnerability of the financial system. In financial trend of globalization, it is urgent and significant for China to evaluate the stability of commercial bank, thereby further strengthening their risk-prevention capacity.
The dissertation is divided into five parts. It bases on the study of stress test's theory and method, particularly take a Chinese commercial bank as typical example to empirical analysis. Combining the macroeconomic and financial developments, economic and financial data statistics of our country, the dissertation further give some proposal on promote the work about stress test of China's commercial banks.
压力测试是近几年才被引入我国金融风险管理领域的,与国外先进银行相比,我国商业银行在压力测试的应用实践、理论研究和模型构造等方面均处于初级阶段。对我国商业银行压力测试开展情况的研究分析也相对较少。本文主要采用了实证分析的研究方法,在对压力测试应用现状及理论方法分析研究的基础上,通过研究某具有代表意义的国有商业银行压力测试工作的整体实施情况,以及个人住房抵押贷款压力测试、房地产开发贷款压力测试两个房地产零售、对公压力测试具体实施方案,分析我国商业银行压力测试目前存在的问题及差距,并结合宏观经济运行情况及商业银行风险管理特点,尝试提出提升我国商业银行压力测试应用实施的方法与建议。
实际上,由于各商业银行业务复杂且差距较大,风险特性可能存在本质性差别,并没有压力测试的理想框架或唯一最优方法。鉴于国外压力测试起步较早,我国商业银行可借鉴国际先进的压力测试经验,结合我国经济金融环境,因地制宜开展压力测试的应用实施工作。
Stress test as a prospective risk management tools, used to simulate extreme but objective existence of macroeconomic impact on the stability of financial institutions, to help central bank identify the weak link of financial system, improve the risk assessment of central Banks and financial institutions, and help them to understand ability parties of macroeconomic and financial institutions. Therefore, stress test take the regulatory authorities'attention, and gradually become important tools for testing the vulnerability of the financial system. In financial trend of globalization, it is urgent and significant for China to evaluate the stability of commercial bank, thereby further strengthening their risk-prevention capacity.
The dissertation is divided into five parts. It bases on the study of stress test's theory and method, particularly take a Chinese commercial bank as typical example to empirical analysis. Combining the macroeconomic and financial developments, economic and financial data statistics of our country, the dissertation further give some proposal on promote the work about stress test of China's commercial banks.
引文
[1]巴塞尔银行监管委员会.利率风险管理[M].北京：中国金融出版社,2004.
[2]陈华、伍志文银行体系脆弱性：理论及基于中国的实证分析[J].数量经济技术研究,2004,(09)：34—51.
[3]陈华,伍志文.银行体系脆弱性：理论及基于中国的实证分析[J].数量经济技术经济研究.2004(9).34-51.
[4]董天新,杜亚斌.压力测试及其在金融机构风险管理中的运用[J].海南金融.2005,(8).36-40.
[5]菲利普.乔瑞.张海鱼译.风险价值：金融风险管理新标准.(1-1).中信出版社.[2001-10-01].3-12.
[6]高桥.商业银行利率风险管理模型及实证分析[J].商业研究,2006,(18).
[7]高同裕,陈元富.宏观压力测试及其在我国应用面临的问题[J].南方金融,2006(2).8-10.
[8]高秀娟.我国银行体系稳定性研究[J].河北经贸大学学报,2002,(05)：47-53.
[9]郭春松.商业银行压力测试研究[J].福建金融.2005.(10).17-19.
[10]刘绍育.银行外汇业务的风险与风险管理.北京：外汇管理.1999(5).332-333.
[11]李慧敏,丁新伟.巴塞尔新资本协议的风险计量对我国的影响.北京：金融理论与实践.2003(11).128-129.
[12]李娜,李敏.压力测试在风险管理中的应用[J].技术经济与管理研究.2006.(4).66-67.
[13]孙连友.金融体系压力测试：概念与方法[J].济南金融.2006.(2)：13-14.
[14]王春峰.金融市场风险管理[M].天津：天津大学出版社,2001.
[15]翁涛,中国银行业监督管理委员会《压力测试讲座》,普华永道金融风险管理咨询部,2007.
[16]杨军,朱怡.监管当局压力测试规范的国际比较[J].金融纵横.2004,(3).13-16.
[17]杨鹏.压力测试及其在金融监管中的应用[J].上海金融,2005,(1)：27-30.
[18]中国银行业监督管理委员会.商业银行压力测试指引[EB/OL].2007-12-27]. [2010-02-08].
[19]中国银行业监督管理委员会.巴塞尔新资本协议：统一资本计量和资本标准的国际协议：修订框架[M].北京：中国金融出版社,2004.35-50.
[20]中国人民银行金融稳定分析小组.中国金融稳定报告(2005)[EB/OL]. http://www. pbc. gov. cn/detail.asp? col=100&ID=2257&keyword.
[21]Andrew Haldane, Simon Hall, Silvia Pezzini.A new approach to assessing risks to financial stability[R].Bank of England Financial Stability Paper, No.2,2007.
[22]Basel Committee on Banking Supervision-Principles for sound stress testing practices and supervision. [EB/OL]. (Jan.2009). [2010-02-08].http://www.bis.org/publ/bcbs147.htm.
[23]Bank of England.Financial Stability Report[R]. July,2000.
[24]Berkowitz J.A coherent framework for Stress Testing [J]. Working Paper of Federal Reserve Board:FEDS.1999. (29):1-48.
[25]Bank for International Settlements. Stress Testing at Major Financial Institutions:Survey
Results and Practices[R]. Basel, Switzerland:Bank for international settlements,2005.
[26]BLASCHKE W. Stress testing of financial systems:an overview of issues, methodologies, and FSAP experiences [J]. Journal of Real Estate Finance and Economics,2001,26(3). 379-410.
[27]Bank for International Settlements. Stress Testing at Major Financial Institutions:Survey Results and Practices[R]. Basel, Switzerland:Bank for international settlements.2005.
[28]Bernhardsen T. The relationship between interest rate differentials and macroeconomics variables:a panel data study for European countries [J]. Journal of International Money and Finance.2000.18, (2).289-308.
[29]Bernhardsen T. Real-time data for Norway:Challenges for monetary policy [J]. The North American Journal of Economics and Finance.2005,19 (3).333-349.
[30]Bernhardsen T. The relationship between interest rate differentials and macroeconomic variables:a panel data study for European countries[J]. Journal of International Money and Finance,2000,18 (2).289-308.
[31]Bunn P, Cunningham A, DrehmannM. Stress testing as a tool for assessing systemic risk[J]. Financial Stability Review:Bank of England.2005 (6).116-260.
[32]BossM. A Macroeconomic credit risk model for Stress Testing the Austrian credit portfolio [J]. Financial Stability Report.2002 (4).64-82.
[33]Drehmann M, Hoggarth G, Logan A, et al. Macrostress testing UK banks [R]. Paper p resented at the Workshop on Financial Stability in Frankfurt:Bank of England,2004 (6).16-17.
[34]DeventerD V, Kenji I. Credit risk models and the Basel Accords [M]. Beijing:RENM IN University of China Press.2005:14-56.
[35]Enoch Ch'ng, Technical Paper on Credit Stress-Testing[R].MAS.2003.
[36]Espen Freyland,Kai Larsen.How vulnerable are financial institutions to macroeconomic changes?An analysis based on stress testing.2002.515-619.
[37]Froyland E, Larsen K. How vulnerable are financial institutions to macroeconomic changes? An analysis based on Stress Testing[J]. Economic Bulletin,2002,3(11).127-169.
[38]Goodhart C.A. Traverse from the Micro to the Macro stress testing[R].Conference Report on stress-testing and financial crisis simulation exercises, July,2007.
[39]Hoggarth G, Whitley J. Assessing the strength of UK banks through macroeconomic Stress Tests [J]. Financial Stability Review:Bank of England,2003 (7).91-103.
[40]International Organization of Securities Commissions.The Implications for Securities Regulators of the Increased Use of Value at Risk Models by Securities Firms[R]. July 1995.159.
[41]IMF. Financial Sector Assessment Program—Review, Lessons, and Issues. [EB/OL].[2010-02-08]. http://www.imf.org/External/np/fsap/2005/022205.htm,2005.
[42]JonesM T, Hilbers P, Slack G Stress testing financial systems:what to do when the governor calls [J]. IMF Working paper:no.46,2004.191-211.
[43]JonesM T, Saunders A. Have US financial institutions real estate investments exhibited trend chasing behaviour? [J]. The Review of Economics and Statistics,2004 (11).248-
258.
[44]Kalirai H, ScheicherM. Macroeconomic stress testing:preliminary evidence forAustria[R]. Financial Stability Report:Austrian National Bank,2002 (3).77-98.
[45]Kupiec, Paul, Stress testing in a value at risk framework [J]. Journal of Derivatives. 1998.1-25.
[46]Kostas Tsatsaronis. Accounting for risk transfer in macro-stress testing exercises: challenges some thoughts[R]. Conference report on stress-testing and financial crisis simulation exercises, July,2007.
[47]Michael K. Ong. Internal Credit Risk Models:Capital Allocation and Performance Measurement [M]. N.Y. Risk Books.2000.
[48]McKinnon R. Financial growth andmacroeconomic dtability in China.1978-1992:imp lications for Russia and other transitional economies [J]. Journal of Comparative Economics,1994,17 (2).438-469.
[49]Merton R. On the p ricing of corporate debt:the risk structure of interest rates [J]. Inance, 1974,29 (7).449-470.
[50]Nier Erlend, Yang Jing, Yorulmazer Tanju, Alentorn Amadeo. Network models and financial stability [J].Journal of Economic Dynamics and Control,2006(6):2033-60.
[51]Pesola J. The role of macroeconomic shocks in banking crises[J].Bank of Finland Discussion paper.2000,2.457-504.
[52]ROBERTO G Q, MICHAEL A S. Residential mortgage default:a review of the literature [J]. Journal of Housing Research,2003,3(2).286-290.
[53]Shaw, J., Beyond VaR and Stress-testing,KPMG/Risk Publications[R].1997.
[54]Stress testing of financial systems:an overview of issues, methodologies, and FSAP experiences[R]. IMF, working paper,2001.
[55]Stress testing the German banking system [R]. Deutsche Bank,2003.
[56]SorgeM, Virolainen K. A comparative analysis ofmacro stress-testingmethodologieswith app lication to Finland [J]. Journal of Financial Stability,2006,17 (2).113-151.
[57]TIM H, IAN H. A structured approach to stress testing residential mortgage portfolios[J]. Journal of Money, Credit and Banking,1994,8(4).585-590.
[58]Virolainen K. Macro stress-testing with a macroeconomic credit risk model for Finland [J]. Bank of Finland, mimeo,2004,19 (1).1-66.
[59]Wilson T C. Portfolio credit risk Ⅰ[J]. Risk.1997.9(10). 111-170.
[60]Wilson T C. Portfolio credit risk Ⅱ[J]. Risk.1997.10(10).56-61.
[61]WorrellD. Quantitative assessment of the financial sector:an integrated app roach [J]. IMF Working papenon.144,2004.1-57.
[62]WorrellD, Cherebin D, Polius-Mounsey T. Financial system soundness in the Caribbean: an initial assessment [J]. IMFWorking Paper:on.123,2001 (9).1-57.
[2]陈华、伍志文银行体系脆弱性：理论及基于中国的实证分析[J].数量经济技术研究,2004,(09)：34—51.
[3]陈华,伍志文.银行体系脆弱性：理论及基于中国的实证分析[J].数量经济技术经济研究.2004(9).34-51.
[4]董天新,杜亚斌.压力测试及其在金融机构风险管理中的运用[J].海南金融.2005,(8).36-40.
[5]菲利普.乔瑞.张海鱼译.风险价值：金融风险管理新标准.(1-1).中信出版社.[2001-10-01].3-12.
[6]高桥.商业银行利率风险管理模型及实证分析[J].商业研究,2006,(18).
[7]高同裕,陈元富.宏观压力测试及其在我国应用面临的问题[J].南方金融,2006(2).8-10.
[8]高秀娟.我国银行体系稳定性研究[J].河北经贸大学学报,2002,(05)：47-53.
[9]郭春松.商业银行压力测试研究[J].福建金融.2005.(10).17-19.
[10]刘绍育.银行外汇业务的风险与风险管理.北京：外汇管理.1999(5).332-333.
[11]李慧敏,丁新伟.巴塞尔新资本协议的风险计量对我国的影响.北京：金融理论与实践.2003(11).128-129.
[12]李娜,李敏.压力测试在风险管理中的应用[J].技术经济与管理研究.2006.(4).66-67.
[13]孙连友.金融体系压力测试：概念与方法[J].济南金融.2006.(2)：13-14.
[14]王春峰.金融市场风险管理[M].天津：天津大学出版社,2001.
[15]翁涛,中国银行业监督管理委员会《压力测试讲座》,普华永道金融风险管理咨询部,2007.
[16]杨军,朱怡.监管当局压力测试规范的国际比较[J].金融纵横.2004,(3).13-16.
[17]杨鹏.压力测试及其在金融监管中的应用[J].上海金融,2005,(1)：27-30.
[18]中国银行业监督管理委员会.商业银行压力测试指引[EB/OL].2007-12-27]. [2010-02-08].
[19]中国银行业监督管理委员会.巴塞尔新资本协议：统一资本计量和资本标准的国际协议：修订框架[M].北京：中国金融出版社,2004.35-50.
[20]中国人民银行金融稳定分析小组.中国金融稳定报告(2005)[EB/OL]. http://www. pbc. gov. cn/detail.asp? col=100&ID=2257&keyword.
[21]Andrew Haldane, Simon Hall, Silvia Pezzini.A new approach to assessing risks to financial stability[R].Bank of England Financial Stability Paper, No.2,2007.
[22]Basel Committee on Banking Supervision-Principles for sound stress testing practices and supervision. [EB/OL]. (Jan.2009). [2010-02-08].http://www.bis.org/publ/bcbs147.htm.
[23]Bank of England.Financial Stability Report[R]. July,2000.
[24]Berkowitz J.A coherent framework for Stress Testing [J]. Working Paper of Federal Reserve Board:FEDS.1999. (29):1-48.
[25]Bank for International Settlements. Stress Testing at Major Financial Institutions:Survey
Results and Practices[R]. Basel, Switzerland:Bank for international settlements,2005.
[26]BLASCHKE W. Stress testing of financial systems:an overview of issues, methodologies, and FSAP experiences [J]. Journal of Real Estate Finance and Economics,2001,26(3). 379-410.
[27]Bank for International Settlements. Stress Testing at Major Financial Institutions:Survey Results and Practices[R]. Basel, Switzerland:Bank for international settlements.2005.
[28]Bernhardsen T. The relationship between interest rate differentials and macroeconomics variables:a panel data study for European countries [J]. Journal of International Money and Finance.2000.18, (2).289-308.
[29]Bernhardsen T. Real-time data for Norway:Challenges for monetary policy [J]. The North American Journal of Economics and Finance.2005,19 (3).333-349.
[30]Bernhardsen T. The relationship between interest rate differentials and macroeconomic variables:a panel data study for European countries[J]. Journal of International Money and Finance,2000,18 (2).289-308.
[31]Bunn P, Cunningham A, DrehmannM. Stress testing as a tool for assessing systemic risk[J]. Financial Stability Review:Bank of England.2005 (6).116-260.
[32]BossM. A Macroeconomic credit risk model for Stress Testing the Austrian credit portfolio [J]. Financial Stability Report.2002 (4).64-82.
[33]Drehmann M, Hoggarth G, Logan A, et al. Macrostress testing UK banks [R]. Paper p resented at the Workshop on Financial Stability in Frankfurt:Bank of England,2004 (6).16-17.
[34]DeventerD V, Kenji I. Credit risk models and the Basel Accords [M]. Beijing:RENM IN University of China Press.2005:14-56.
[35]Enoch Ch'ng, Technical Paper on Credit Stress-Testing[R].MAS.2003.
[36]Espen Freyland,Kai Larsen.How vulnerable are financial institutions to macroeconomic changes?An analysis based on stress testing.2002.515-619.
[37]Froyland E, Larsen K. How vulnerable are financial institutions to macroeconomic changes? An analysis based on Stress Testing[J]. Economic Bulletin,2002,3(11).127-169.
[38]Goodhart C.A. Traverse from the Micro to the Macro stress testing[R].Conference Report on stress-testing and financial crisis simulation exercises, July,2007.
[39]Hoggarth G, Whitley J. Assessing the strength of UK banks through macroeconomic Stress Tests [J]. Financial Stability Review:Bank of England,2003 (7).91-103.
[40]International Organization of Securities Commissions.The Implications for Securities Regulators of the Increased Use of Value at Risk Models by Securities Firms[R]. July 1995.159.
[41]IMF. Financial Sector Assessment Program—Review, Lessons, and Issues. [EB/OL].[2010-02-08]. http://www.imf.org/External/np/fsap/2005/022205.htm,2005.
[42]JonesM T, Hilbers P, Slack G Stress testing financial systems:what to do when the governor calls [J]. IMF Working paper:no.46,2004.191-211.
[43]JonesM T, Saunders A. Have US financial institutions real estate investments exhibited trend chasing behaviour? [J]. The Review of Economics and Statistics,2004 (11).248-
258.
[44]Kalirai H, ScheicherM. Macroeconomic stress testing:preliminary evidence forAustria[R]. Financial Stability Report:Austrian National Bank,2002 (3).77-98.
[45]Kupiec, Paul, Stress testing in a value at risk framework [J]. Journal of Derivatives. 1998.1-25.
[46]Kostas Tsatsaronis. Accounting for risk transfer in macro-stress testing exercises: challenges some thoughts[R]. Conference report on stress-testing and financial crisis simulation exercises, July,2007.
[47]Michael K. Ong. Internal Credit Risk Models:Capital Allocation and Performance Measurement [M]. N.Y. Risk Books.2000.
[48]McKinnon R. Financial growth andmacroeconomic dtability in China.1978-1992:imp lications for Russia and other transitional economies [J]. Journal of Comparative Economics,1994,17 (2).438-469.
[49]Merton R. On the p ricing of corporate debt:the risk structure of interest rates [J]. Inance, 1974,29 (7).449-470.
[50]Nier Erlend, Yang Jing, Yorulmazer Tanju, Alentorn Amadeo. Network models and financial stability [J].Journal of Economic Dynamics and Control,2006(6):2033-60.
[51]Pesola J. The role of macroeconomic shocks in banking crises[J].Bank of Finland Discussion paper.2000,2.457-504.
[52]ROBERTO G Q, MICHAEL A S. Residential mortgage default:a review of the literature [J]. Journal of Housing Research,2003,3(2).286-290.
[53]Shaw, J., Beyond VaR and Stress-testing,KPMG/Risk Publications[R].1997.
[54]Stress testing of financial systems:an overview of issues, methodologies, and FSAP experiences[R]. IMF, working paper,2001.
[55]Stress testing the German banking system [R]. Deutsche Bank,2003.
[56]SorgeM, Virolainen K. A comparative analysis ofmacro stress-testingmethodologieswith app lication to Finland [J]. Journal of Financial Stability,2006,17 (2).113-151.
[57]TIM H, IAN H. A structured approach to stress testing residential mortgage portfolios[J]. Journal of Money, Credit and Banking,1994,8(4).585-590.
[58]Virolainen K. Macro stress-testing with a macroeconomic credit risk model for Finland [J]. Bank of Finland, mimeo,2004,19 (1).1-66.
[59]Wilson T C. Portfolio credit risk Ⅰ[J]. Risk.1997.9(10). 111-170.
[60]Wilson T C. Portfolio credit risk Ⅱ[J]. Risk.1997.10(10).56-61.
[61]WorrellD. Quantitative assessment of the financial sector:an integrated app roach [J]. IMF Working papenon.144,2004.1-57.
[62]WorrellD, Cherebin D, Polius-Mounsey T. Financial system soundness in the Caribbean: an initial assessment [J]. IMFWorking Paper:on.123,2001 (9).1-57.