The Application of Stress Testing and Applied Technology in Credit Risk Management

Neng Fu Zhang; Xiang Kang

doi:10.4028/www.scientific.net/AMR.977.435

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HomeAdvanced Materials ResearchAdvanced Materials Research Vol. 977The Application of Stress Testing and Applied...

The Application of Stress Testing and Applied Technology in Credit Risk Management

Abstract:

We take advantage of the non-performing loan ratio as the main indicators of credit risk of the commercial bank, make use of the experience of domestic and foreign research, use LOGIT methodology to construct the stress testing model for the macro-economic factors’ impact of China on credit risk of commercial bank, and apply the hypothetical scenario to the test of macro stress in order to make an assessment in quantity for the impact of the macro-economic changes on the credit risk of the commercial bank system. The results show that the stress tests and applied technology can make a contribution to useful reference of credit risk management of the commercial bank of China.

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Periodical:

Advanced Materials Research (Volume 977)

Pages:

435-441

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.977.435

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Online since:

June 2014

Authors:

Neng Fu Zhang, Xiang Kang*

Keywords:

Applied Technology, Credit Risk Management, Logit Model, Stress Testing

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* - Corresponding Author

References

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