| 摘要: |
| 鉴于目前信托公司在压力测试方法应用上的缺乏，本文基于宏观经济变量与不良
贷款率的相关性，建立了宏观经济波动冲击对信托公司信用风险影响的压力测试方法，并以某
信托公司为例进行案例分析。该压力测试方法较为有效地测试出了某信托公司面临极端压力情
景时的风险承受能力。为提高压力测试的精确度，可结合业务的行业结构进行多个压力测试，
并按业务比例进行加权汇总。 |
| 关键词: 信托公司；信用风险；压力测试；计量模型 |
| DOI： |
| 分类号:F832.49 |
| 基金项目: |
|
| Case Study on Credit Risk Stress-testing of Trust Company Based onExternal Information |
|
Zhang Xuetao，Yi Yijun
|
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School of Finance and Statistics, Hunan University
|
| Abstract: |
| In view of the trust company currently lacking in the application of stress-testing method, a stress-
testing method of the impact of macro-economic fluctuation shocks on the credit risk of trust company is established,
based on the correlation between macroeconomic variables and non-performing loan rate, and a trust company is taken
as an example to analyze in this paper. The stress test method effectively tests the risk tolerance of a trust company
when facing extreme pressure scenarios. In order to improve the accuracy of stress testing, multiple stress tests can be
carried out in conjunction with the industry structure of the business and weighted by business proportion. |
| Key words: Trust Company； Credit Risk； Stress-testing； Econometric model |
