摘要
我国银行业贷款违约率历史数据匮乏,难以进行基于统计模型的宏观压力测试。针对这一问题,本文在单因子模型的基础上构建了宏观压力测试方法,能利用少量可用公开数据对模型的参数进行校正,使参数能体现不同商业银行贷款违约率顺周期性大小。参照1989-1991年我国经济增速低谷状态,使用概率映射方法设计3年期经济大衰退压力情景。压力测试结果表明,贷款所需缓冲资本取决于违约率顺周期性大小及贷款年限,《巴塞尔协议Ⅲ》新增的的缓冲资本缺乏对贷款年限的考虑,我国银行业贷款违约率顺周期性较弱,当前国有四大银行资本都能抵御大衰退情景下的信贷损失。
The historical data of default rate in China＇s banking industry are scarce, so it difficult to carry through macro stress testing based on statistical model. In order to solve this problem, this paper builds a macro stress testing methods on the basis of single factor model, it need small amount of publicly available data to calibrate model parameters, the parameters can reflect different procyclicality of loan default rates in commercial banks. With reference to our country economic growth from 1989 to 1991 low status, three-year recession stress scenario is designed by probability mapping. Macro stress test results show that loan capital buffer depends on the procyclicality of loan default rate and the maturity, the basel III capital buffer lacks considering of loan maturity, the procyclicality of loans default rate in our country is low, the big four state-owned Banks＇ capital can resist credit losses caused by great recession scenario.
出处
《上海经济研究》
CSSCI
北大核心
2014年第4期23-31,共9页
Shanghai Journal of Economics
