宏观压力测试方法的分析比较及应用

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1、JournalofFinancialStability2(2006)113151Acomparativeanalysisofmacrostress-testingmethodologieswithapplicationtoFinlandMarcoSorgea,∗,1,KimmoVirolainenbaTheWorldBank,1818HStreetNW,Washington,DC20433,USAbBankofFinland,POBox160,00101Helsinki,FinlandReceived5January2005;receivedinrevisedfo

2、rm19July2005;accepted27July2005Availableonline10November2005AbstractThispaperreviewsthestate-of-the-artofmacrostress-testingmethodologies.Weassesstheprogressmadebothintheeconometricanalysisofbalancesheetindicatorsandinthesimulationofvalue-at-riskmeasurestoassesssystem-widevulnerabilit

3、ies.Toillustratethemainanalyticalapproachesintheliterature,weestimatetwodifferentmodelsforstress-testingpurposesusingdataforFinlandoverthetimeperiodfrom1986to2003.TheFinnishexperienceintheearly1990sappearsparticularlysuitedformacrostress-testingasitincludesasevererecessionwithsignifica

4、ntlyhigher-than-averagedefaultratesandbanksloanlosses.Wehighlightanumberofmethodologicalchallengesthatstillremainconcerninginparticularthecorrelationofmarketandcreditrisksovertimeandacrossinstitutions,thelimitedtimehorizongenerallyusedformacrostress-testingandthepotentialinstabilityof

5、reduced-formparameterestimatesbecauseoffeedbackeffects.©2005ElsevierB.V.Allrightsreserved.JELclassification:G21;G10;E37Keywords:Macrostress-testing;Financialsoundnessindicators;Valueatrisk;Feedbackeffects1.IntroductionStress-testsatthelevelofindividualinstitutionshavebeenwidelyappliedb

6、yinternationallyactivebankssincetheearly1990s.2Theyaregenerallyusedtocomplementfinancialinstitutionsinternalmodels,asrecommendedalsobytheBaselIIcapitaladequacyframework.∗Correspondingauthor.E-mailaddress:msorge@worldbank.org(M.Sorge).1MarcoSorgewasattheBankforInternationalSettlementswh

7、ilewritingthispaper.2SeeCommitteeontheGlobalFinancialSystem(2001)forasurveyofcurrentpractice.1572-3089/$seefrontmatter©2005ElsevierB.V.Allrightsreserved.doi:10.1016/j.jfs.2005.07.002114M.Sorge,K.Virolainen/JournalofFinancialStability2(2006)113–151Fig.1.Overviewofmacrostress-testing.In

8、addit