Constructing a bank pressure test system suitable for national conditions

In recent days, the United States will release the results of 19 major banks ' stress tests, which the government will decide to inject into the banks based on the results of the stress tests.　　The measures to save the financial industry in the United States provide the experience and lessons for China's banking industry, and the establishment of a scientific and comprehensive pressure test system should arouse people's attention.　　The bank stress test and its efficacy stress test is the process of analyzing and evaluating the impact of the financial system or financial institution's portfolio in the extreme macroeconomic and market fluctuations, and taking the response measures according to the test results. In general, stress testing has several major steps: Identify the test subjects, that is, the asset/liability portfolio of the institution conducting the stress test, such as a bank's real estate development loan, identifying the major risk factors affecting the portfolio, such as house prices, design pressure scenarios, such as the extent of falling house prices, and possible changes in the calculation of related indicators under pressure　　, according to the test results, targeted to formulate appropriate policies, such as the possibility of a certain type of risk, to formulate contingency plans. Stress tests have important effects. First, stress testing is an important tool for financial stability assessment. On the basis of summarizing the experiences and lessons of the 1998 Asian financial crisis, the IMF and the World Bank jointly launched the "Financial Sector Assessment plan" in May 1999 to conduct a comprehensive assessment and monitoring of the financial systems of economies through the assessment of three analytical tools through stress testing, financial soundness indicators, standards and guidelines,　　One of the core tools is stress testing. Second, the stress tests have an important application in the regulatory body's assessment of regulatory capital. The new Basel Capital Accord, issued in 2004, makes relevant provisions for the pressure test of commercial banks. The first pillar of the new capital accord requires the commercial banks to carry out pressure tests on the relevant risk parameters, and the second pillar requires the commercial banks to conduct the internal capital Adequacy assessment procedure to carry out prospective stress tests to identify the amount of capital to be increased when possible adverse events arise, and according to the test results,　　Banks are required to hold a certain amount of excess capital.　　Again, stress testing is an important tool for banks to manage their own risk.　　Stress test improves crisis management ability the US is about to unveil a stress test on 19 large US banks, before the results are released, and U.S. President Barack Obama said that, whatever the outcome, the government will keep the big banks from going bust by providing loans. Through the Fed's report, it is possible to get an initial picture of how government officials determine whether large banks need additional funds. In the past two months, the government has carried out stress tests on banks with a total assets of more than $100 billion trillion, which include two-thirds of the U.S. banking system and more than half of the loans, according to the February 25 issue of the Regulatory Capital evaluation program. In addition, the stress tests require the banking sector to forecast credit losses and revenues for 2009 and 2010, as well as the requirement for 2011 years of expected losses by the end of 2010. The Fed stressed that America's bigMost bank organizations now hold far more money than they need to be supplied, even if the results of some bank stress tests are not satisfactory and the U.S. government cannot let them fail. The Fed also expects the 19 banks to deal with about $900 billion trillion in the balance sheet accident by 2010.　　In short, this stress test will greatly improve the U.S. government bank crisis management efficiency. To establish China's bank pressure test system at present, China's commercial banks in the application of stress testing is still in the initial stage. Although December 27, 2007, the CBRC issued the "Commercial Bank pressure test guidelines", but to improve the efficiency of China's commercial bank pressure testing, the relevant departments need to do the following: to build a suitable pressure test model for China's national conditions. China's commercial banks should face the challenges of financial globalization, absorb the profound lessons of the 2008 American financial crisis, strengthen the construction of the pressure test model under the guidance of the supervision authorities, study the advanced experiences abroad, and research the market risk factors and their mutual relation models suitable for our national conditions.　　The framework of risk factors for each bank's own risk characteristics is constructed, and the periodic test results are constantly modified and perfected. Scientifically set up hypothetical scenarios that suit national circumstances. Commercial banks should focus on the use of hypothetical situational stress tests and sensitivity stress tests to adapt to changing market conditions, risk factors, and rapidly evolving macroeconomic backgrounds.　　The current stress test can be set as follows: domestic factors such as interest rate or exchange rate adjustment or market reform, real estate market crisis, economic recession, international factors such as the violent oscillation of international oil prices, the outbreak of the international financial crisis. Development loan Credit Risk test technology. In our country, the credit risk associated with the loan combination is the biggest risk that the commercial bank faces. However, China's market system is not perfect, such as the lack of corporate bond market, loan level two market, which makes the credit risk measurement more difficult; the subject of the loan transaction usually lacks the market rating, and the credit premium level is difficult to evaluate accurately. These reasons seriously hinder the development of credit risk pressure test technology of loan account.　　Thus, the continuous development of financial markets is the basic support for the further development of risk management ability of finance institutions. Regulators should be held accountable for their responsibilities. On the one hand, we should supervise commercial banks to establish effective mechanism of managing liquidity risk, do well the pressure test of scientific liquidity risk, through reasonable control of credit asset growth, actively expand debt business, rationally allocate the proportion of credit assets and non credit assets, enhance the stability of bank sources of funds, etc.　　, accelerate the spread and application of the pressure test idea, combine the pressure test with the existing supervision system, and effectively guarantee the stable operation of the financial system. (the author is a professor of the People's Bank of China Zhengzhou Training Institute)