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The rapid development of China’s commercial banks at the same time assets, liabilities scale is constantly expanding, its profitability is getting stronger, but in the process of progressive commercial bank’s credit risk is also becoming increasingly serious. At present, although the regulators and the banks themselves have attached great importance to the management of all types of risk, but the risk of existing domestic regulatory theory for the " extreme but plausible events " risk management there are still a lot of room for growth.According to the related theory of credit risk stress testing, pressure testing method of commercial banks are compared, and select the SVAR model (structural vector auto regression model to empirical analysis). The empirical analysis process, first select the GDP growth rate, one to three year period, the benchmark interest rate loans, money supply (M2), exchange rate, the real estate boom index, the real estate price index, the enterprise prosperity index, CPI, benchmark deposit rate and other indicators as explanatory variables, the non-performing loan rate as the explanatory variable at the same time, by using the linear regression method to select significant interpretation of China’s non-performing loan rate index. The regression results found that the GDP growth rate, the benchmark interest rate, to a period of three years loans real estate boom index, exchange rate of non-performing loan ratio has obvious effects on interpretation, respectively, the growth rate of GDP in the opposite direction of movement and the rate of bad loans, the benchmark interest rate, to a period of three years loans real estate boom index, and bad lending rate rate in the same direction movement, this is consistent with the actual situation. Secondly, using SVAR model to analyze the dynamic relationship between the economic variables. The linkage between variables as the basis, establish the correlation matrix, and calculating the index value of the dynamic change, into the model to calculate, it helps to remedy the deficiency of traditional models ignore the correlation in a certain extent. by imposing stress tests According to the historical scenarios, scenario by scenario, and the growth rate of GDP and one to three year lending rate applied impact is appropriate, based on this study and to predict the trend of China’s commercial banks non-performing loan rate. The results show that, when the GDP growth rate of our country and has been a period of three years loans interest rates were subjected to mild, moderate and severe impact, overall loan loss reserves of commercial banks can not cover the non-performing loan loss. Finally, based on the conclusions of empirical analysis, put forward relevant suggestions and research
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