Commercial Bank Stress Tests Based on Credit Risk

被引：1
|
作者：
Wang, Weiqing [1 ]
Zhang, Xue [1 ]
Liu, Xiangdong [1 ]
机构：
[1] Univ Sci & Technol Beijing, Dongling Sch Econ & Management, Beijing 100083, Peoples R China
来源：
PROCEEDINGS OF 2013 INTERNATIONAL CONFERENCE ON INFORMATION SCIENCE AND CLOUD COMPUTING COMPANION (ISCC-C) | 2014年
基金：
中国博士后科学基金;
关键词：
stressing test; credit exposure; History-Based Stressed PD model; IRM model;
D O I：
10.1109/ISCC-C.2013.59
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Based on the History-Based Stressed PD model which is derived from Merton theory and IRB model which is derived from Basel New Capital Accord, this paper selects six commercial banks to conduct the empirical research of credit risk stress testing. The result indicates that the value-at-risk calculated by IRM model is much higher than History-Based Stressed PD model, because the former is completely based on the theoretical model while the latter takes into consideration of the historical and realistic significance. In practice, this paper suggests to comprehensively consider the measuring results of two models to formulate risk control measures.
引用
收藏
页码：508 / 514
页数：7
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