信用风险压力测试

主要介绍了现今比较主流的信用风险压力测试模型，重点介绍了Merton模型、Wilson模型以及巴塞尔新资本协议中提出的信用风险测度模型。

This part introduces some mainstream stress-testing models in credit risk and highlights the Merton model , Wilson model and the proposed credit risk estimation models in New Basel Capital Accord .

对此巴塞尔委员会在2004年《新巴塞尔协议》中提出了必须对信用风险执行压力测试即对小概率事件发生时的评估。

So in 2004 , the Basel Committee proposes that stress tests must be used in management of credit risk in the " New Basel Capital Accord " .

我国银监会曾多次要求各商业银行针对房地产贷款进行微观压力测试，但是本文以房地产类贷款信用风险的宏观压力测试为切入点进行了实证研究分析。

The CBRC has repeatedly asked commercial banks for micro stress-testing on real estate loans , but the empirical research and analysis of this paper is focused on the macro stress-testing .