香港金管局监管指引——Stress-testing.pdf

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1、SupervisoryPolicyManualIC-5Stress-testingV.1–28.02.03ThismoduleshouldbereadinconjunctionwiththeIntroductionandwiththeGlossary,whichcontainsanexplanationofabbreviationsandothertermsusedinthisManual.Ifreadingon-line,clickonblueunderlinedheadingstoactivatehyperlinkstotherelevantmo

2、dule.—————————PurposeToprovideguidancetoAIsontheuseofstresstestsforriskmanagementpurposesClassificationAnon-statutoryguidelineissuedbytheMAasaguidancenotePreviousguidelinessupersededThisisanewguideline.ApplicationToallAIsStructure1.Introduction1.1Background1.2Mainfunctionsofstr

3、ess-testing1.3TheHKMA’sapproachtostress-testing2.Stress-testingprogramme2.1Process2.2Keyelements2.3Techniques2.4Riskfactors2.5Interpretationofstress-testingresults3.Stressscenarios1SupervisoryPolicyManualIC-5Stress-testingV.1–28.02.033.1General3.2Typesofstressscenarios3.3Anillu

4、strationAnnexA:ExamplesofstressscenariosWorksheetA:Illustrationofstress-testingforcreditriskWorksheetB:Illustrationofstress-testingforHongKongdollarinterestraterisk—————————1.Introduction1.1Background1.1.1Stress-testinginvolvestheuseofvarioustechniquestoassessafinancialinstitut

5、ion’spotentialvulnerabilityto“stressed”businessconditions.Typically,thisrelates,amongotherthings,totheimpactontheinstitution’sprofitabilityandcapitaladequacy.Stress-testinghasplayedanincreasinglyimportantroleintheriskmanagementofbanksinrecentyears.1.1.2Examplesofextrememarketmo

6、vementsorcrisesinthepastshowthatitisinadequatetomanagerisksonlyonthebasisof“normal”businessconditions.Whenabankisaffectedbyaseveremarketshock,itmayincursubstantiallossesasaresultofthefollowing:•assumptionsofhowmarketsbehaveduringnormalconditionsnolongerholdtrue;•newconcentratio

7、nsofriskemergethroughunexpectedlinkagesofdifferentmarkets;•rapidpricemovementsandsqueezeinliquidityacrossmultiplemarkets;•suddendeteriorationintheeconomicconditionsofaffectedcountriesorregions;and2SupervisoryPolicyManualIC-5Stress-testingV.1–28.02.03•difficultiesinunwindingorhe

8、dgingpositionsduringacrisis.1.1.3Theaboveillustratesth