Dissertation > Excellent graduate degree dissertation topics show

Value at Risk , Macro-stress Test and Credit Risk Assessment in Commercial Banks of China

Author: ShenYang
Tutor: YangXing
School: Jinan University
Course: Finance
Keywords: Credit Risk Assessment Value at Risk Macro stress testing
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 215
Quote: 1
Read: Download Dissertation

Abstract


Macroeconomic volatility to national banks' risk management have brought a great challenge , risk value method only in the confidence level under normal market environment, effective risk estimates can not fully meet the current demand for bank credit risk assessment ; the macro stress testing banks because it can measure in extreme market circumstances risk tolerance , good value method to make up for the lack of risk , risk management has become an integral part of the system . In this paper, the theory of value on the risk analysis, in-depth study of macro stress testing in our Credit Risk Assessment . Firstly, drawing on foreign mature model , based on the selection of non-performing loan rate as the commercial bank credit risk evaluation indicators , from both domestic and foreign , bank three aspects of their business to explain the choice of variables , the use of relevant models for analysis , the results showed that : nominal GDP growth , CPI, business climate index BCI, one to three-year lending rate R, real estate sales price index of RE on bank's credit risk was significant. Secondly, based on the model results in the theoretical case of policy responses and policy authorities to take the case of the bank's credit risk macro stress tests obtained : In the theoretical case , considering the significant increase in CPI and GDP dropped two scenarios and found that compared to nominal GDP growth , CPI for the commercial banking system credit risk greater impact ; policy response in terms of policy authorities to take the case , because fluctuations in the economic policy of the authorities , it will take some discretionary measures, making economic fluctuations on bank credit impact of risk maintained at a relatively low level above . Finally, according to the above conclusion , with the current implementation of macro stress testing and commercial bank credit risk of the actual situation , put forward the corresponding policy recommendations.

Related Dissertations

  1. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  2. Annual Contract Energy Decomposition for Hydropower Plants and Risk Control Study,F224;F426.91
  3. Based on machine learning certain research credit risk assessment techniques,TP181
  4. Analysis and design of the corporate clients of commercial bank credit risk assessment system,F224
  5. The Application Research of CVaR on Commercial Bank’s Exchange Rate Risk Evaluation,F830.7
  6. The Research of the Method of Application of Extreme Value Theory in Non-life Insurance,F840.6
  7. Research on Applications of Data Mining Technology in the Banking Credit Management,TP311.13
  8. The Research on the Uncertainty of Fair Value Accounting,F233
  9. Research on Measure of Commercial Bank’s Consumer Credit in China,F224
  10. Study on the Impact of Fair Value and It’s Fluctuation on Financial Risk,F224
  11. Research on the Measurement of Interest Rate Risk of Commercial Banks Based on GARCH-VaR Method,F832.33
  12. Measuring Operational Risk in Commercial Banks in China and Constructing the Business Continuity Management System,F832.2
  13. Regulatory Issues Research on the Stored -value Cards Pay of Specific Non-Financial Institutions in Hebei Province,F832.2
  14. VaR Model in Semiparametric and Parameter Methods,F832.51
  15. Global value chain governance strategy to upgrade the Chinese OEM manufacturers of,F279.2
  16. Stock market risk measurement and correction,F832.51
  17. Transmission system cascading failure risk assessment,TM711
  18. A Smoothing Method for Solving Model under WCVarR,O224
  19. Semi-Parametric Analysis and Risk Measure Based on Financial Time Series,F832.51
  20. Research on Standard & Poor’s 500 Index Futures Early Warning Based on Conditional Value at Risk,F832.5;F831.5

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile