论文部分内容阅读
本文设计了一个考虑贷款行业差异的宏观压力测试方法,对监管资本充足性进行评估。研究表明,贷款行业不同,根据压力测试结果设置的缓冲资本及缓冲资本比例是不同的。各行业违约概率的顺周期性及波动性存在差异;宏观冲击下单位信贷资产所需缓冲资本数量决定于违约概率顺周期性大小与违约概率的波动性大小;违约概率顺周期性低的行业,所需缓冲资本比例仍然可能较高;商业银行信贷资产过于集中在单个行业,所需缓冲资本比例往往高于分散化的信贷组合,而保持合理的行业信贷组合可有效降低所需缓冲资本比例。
This article has designed a macro stress test that takes into account differences in the lending industry to assess the adequacy of regulatory capital. Research shows that the loan industry is different, according to the stress test results set buffer capital and the proportion of capital buffer is different. The periodicity and volatility of the default probability of each industry are different. The quantity of buffer capital required for the unit credit asset under the macro shock depends on the size of the default probability and the probability of default. The industry with low default probability and low periodicity, The proportion of required capital to be buffered may still be high; the credit assets of commercial banks are too concentrated in a single industry, the proportion of buffered capital needed is often higher than that of decentralized credit portfolios, while maintaining a reasonable credit portfolio of industry can effectively reduce the required buffer capital ratio.