基于CPV模型改进的银行业信用风险宏观压力测试研究

he paper has adjusted residual correlation assumption of the CPV model, then stress scenarios generation model and risk conduction model can be separately handled, thus we can use partial least square method to estimate parameters of credit risk conduction model , avoiding the macroeconomic factors could not be contained in the stress testing system for multicollinearity .The parameters of stress scenarios generation model are estimated through seemly unrelated regression, monte carlo simulation method is used for stress scenarios generation when there exists lagged terms of macroeconomic factor in credit risk conduction model . Case analysis results show that the proposed stress testing method can be effectively applied to banking reverse cycle management.