Research on Credit Risk Stress Testing of China's Commercial Banks

By taking non-performing loan ratio as the main indicator for measuring credit risks of commercial banks,drawing on the researches at home and abroad,and using LOGIT methodology,the paper builds the stress testing models regarding the impact of China's macroeconomic factors on bank credit risks,conducts tests on macro stress through the simulation method,and makes a quantitative assessment of the shocks from macroeconomic changes upon credit risks of commercial banks. The results show that the stress testing can provide useful suggestions for credit risk management of commercial banks.