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Stress Testing Applied to the Commercial Banking Market Risk Management

Author: JiangLinHai
Tutor: GeZhengLiang
School: East China Normal University
Course: Business Administration
Keywords: commercial bank stress testing risk management empirical research
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 418
Quote: 5
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Abstract


Finance is the core of modern economy, while the commercial banking system is the core of China’s financial system. Study of stress testing the application of the banking system in China, not only for business in risk management has an important value that can enhance the commercial banks to central bank policy responses and decision-making. In view of data availability and practical circumstances, major research paper in the market risk management, how to use stress tests to assess the commercial bank market risk.This paper is divided into five chapters. ChapterⅠdeals with research background papers, research methods and literature review, and research the problems and innovations. The main part of this article is divided into four chapters. ChapterⅡfocuses on the theoretical basis for stress testing and specific testing methods. ChapterⅢ, the main combination with China’s actual conditions, development of China’s banking system, suitable for the pressure testing methods. The fourth chapter, in ChapterⅢon the basis of the model for further refinement; taking into account data availability, this paper will select the 14 listed commercial banks to conduct stress testing empirical analysis of data, and empirical results of a detailed analysis and description. Finally, in Chapter V of this article, this article will combine theoretical and empirical analysis, propose appropriate policy recommendations.In this paper, empirical methods for listed commercial banks interest rate risk, to conduct stress tests. Those who have been selected scenes will be optional statements of commercial banks have a serious impact. The annual data of the stress test results comparisons, the basic emerged after the first high-end trend. Shanghai Pudong Development Bank’s stress tests each year, the results of a closer comparison. Reaction of the Shanghai Pudong Development Bank in the interest rate risk control policy is relatively stable. Bank of Beijing, Industrial and Commercial Bank, Huaxia Bank, China Construction Bank, Bank of Communications, Nanjing Bank, Bank of Ningbo, Shenzhen Development Industrial Bank, Bank of China, CITIC Bank and other banks increasing the interest rate sensitivity gap year by year, changes are basically the same trend.In the foreign exchange risk stress tests, individual listed banks absolute change of the foreign exchange exposure were different. However, relative to the baseline scenario of changes in rate were the same. Scenarios is the most affected by the Bank of China this and China’s foreign exchange business of banks to operate more relevant. Second, the greatest impact is the receipt of Nanjing Bank, Industrial and Commercial Bank, Bank of Communications, China Construction Bank. From 2006 to 2008 Industrial and Commercial Bank of Nanjing Bank changes heavily. Other commercial banks in foreign exchange exposure risk were less big than it. Exchange rate risk on China’s commercial banks less affected.Commercial banks should strengthen their risk-measurement to deepen the breadth and precision. Commercial banks to comply with the "risk and return balance," the basic principles, through the adjustment of dynamic management of internal funds transfer pricing and operational guidance, interest rates, lead bank deposits, loans and re-pricing structure, maturity structure of the optimal adjustment.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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