CN102968741A - Pressure testing system and method based on macroscopic factor - Google Patents
Pressure testing system and method based on macroscopic factor Download PDFInfo
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Abstract
The invention provides a pressure testing system and method based on a macroscopic factor and is applied to a communication network comprising a server and a client. The method comprises the following steps of: presetting a database for storing macroscopic factors, financial market indexes, risk factors and historical data; determining a target combination according to input, and extracting the required risk factors and historical data from the database; selecting the required macroscopic factors and financial market indexes, calculating a correlation matrix between the macroscopic factors and the financial market indexes according to the acquired historical data, setting a pressure value of the macroscopic factors, and calculating a pressure value of at least one financial market index through the correlation matrix; calculating a correlation matrix between the financial market indexes and the risk factors which influences the target combination, so as to obtain a pressure value of the risk factors which influence the target combination; and substituting the pressure value of the risk factors into the target combination, and calculating a value of the target combination under a pressure scene, so that the pressure scene of the risk factors which directly influence an asset portfolio value is obtained.
Description
Technical field
The present invention relates to be applied to the microcomputer data processing of financial field, particularly relate to a kind of pressure testing system and method based on macroscopical factor that is applied to the financial field.
Background technology
China's commercial banks still is being in the starting stage aspect the utilization of pressure test.After the financial crisis, the potential threat that banks of China industry is also progressively paid close attention to fertile tail event and implied.The Banking Supervision Commission requires each state-run commercial bank, joint-stock commercial bank and the asset size municipal commercial bank more than 50,000,000,000 yuan to launch " risk is checked oneself " in late July, 2007.On Dec 25th, 2007, the Banking Supervision Commission formulates the notice that has issued " commercial bank's pressure test is guided " again, supervises each bank actively to carry out the risk investigation, improves the capital position of self.In June, 2009, the Banking Supervision Commission just requires each commercial bank, according to multiple macroeconomy sights such as GDP growth rate, growth of fixed-asset investment rate, social consumer goods retail rate of growth, CPI amplification, calculate respectively the situation of change of customer default rate, expected loss and the non-performing loan rate of one's own profession under multiple sight.
According to the definition of International Monetary Fund, pressure test (stress testing) but refer to utilize serial of methods assess financial system bear rare still may (extreme but plausible) macroeconomic shocks or the process of major event.The definition that this definition and Basel Committee on Banking Supervision of Bank for International Settlements (BCBS), Global finance systems committee (BCGFS, 2000) provide also is consistent." commercial bank's pressure test is guided " of China Banking Regulatory Commission's issue points out, pressure test is a kind of take quantitative test as main risk analysis method, by the contingent loss under the extreme rough sledding such as the small probability event that runs into supposition of measuring and calculating bank, analyze the negative effect that these losses bring bank's profitability and capital, and then the fragility of single bank, bank group and banking system made assessment and judge, and take the necessary measures.In recent years, no matter be that financial institution or finance are managed to organize all to attach great importance to implement pressure test in risk management processes.
In the prior art, the method for pressure test has scenario analysis and two kinds of main method of systemat ic stress testing.Wherein, scenario analysis is the most frequently used method for testing pressure, changes to suddenly the process of some extreme sight influence degree to the asset portfolio value variation mainly for assessment of one or several risks and assumptions from the Vehicles Collected from Market sight.Scenario analysis mainly comprises typical scene structured approach, historical imitated context of situation, VaR sight structured approach, Monte Carlo imitated context of situation and special event presumptive method etc.In general, scenario analysis comprise definite tested object, identification affect the principal risk factor, the pressure sight structure of this combination, calculate and assess index of correlation under the pressure sight may change, formulate according to test result several steps such as corresponding policy.Wherein risks and assumptions identification, sight structure and sight assessment are three committed steps during scenario analysis is implemented.As the measure of the extreme change of tolerance to the asset portfolio value influence, scenario analysis is that the useful of the Financial Risk Measure method of normal fluctuation range replenished.This method can make the top supervising management of financial institution and the impact that risk management department could assess and hold extreme event comparatively exactly, thereby will greatly improve the validity and reliability of risk management policy.In addition, on may affecting that asset portfolio is worth, this also was that classical model is difficult to accomplish when VaR sight structured approach can be used for assessing risks and assumptions stability bandwidth and related coefficient generation extreme variation.
The ultimate principle of systemat ic stress testing is to adopt the method for mathematics or statistics to generate a large amount of market sights on the risks and assumptions that affects asset portfolio value under certain condition, then assess these sights to the impact of asset portfolio value variation, therefrom search the worst sight of asset portfolio, namely cause the pressure sight of asset portfolio Value Loss maximum.The method is for a series of different pressure sights, in the extreme change in history of the feature of risk of considering asset portfolio inside, risks and assumptions, consider again following potential all possible pressure sight, therefore, systemat ic stress testing is compared more thorough and more systematization with scenario analysis.
But, two kinds of above-mentioned method for testing pressure, very high to the historical data requirement, still can not indirectly finish the pressure test to the practical risk factor, and need to highly depend on the historical data of the risks and assumptions of concrete impact combination value.
Summary of the invention
The shortcoming of prior art in view of the above, the object of the present invention is to provide a kind of pressure testing system based on macroscopical factor and method, in order to by setting up the relationship map between macroscopical factor and the leading indicator factor, thereby directly affected the pressure sight of the risks and assumptions that asset portfolio is worth.
Reach for achieving the above object other relevant purposes, the invention provides a kind of pressure testing system based on macroscopical factor, be applied to include in the communication network of service end and client, described pressure testing system comprises: data bank, be positioned at described service end, store the historical data of macroscopical factor, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions; Detecting module is positioned at described client, and at least two kinds of financial products that detect input are defined as objective cross, extracts corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank; Chosen module, be positioned at described client and be connected with described detecting module, according to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtain described macroscopical factor and described at least one financial market index and historical data thereof; Computing module, be positioned at described client and be connected with described chosen module, the historical data that the described chosen module of foundation obtains is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and go out the force value of described at least one financial market index by described correlation matrix calculation; And calculate described at least one financial market index and affect correlation matrix between the risks and assumptions of this objective cross, drawing affects the risks and assumptions of this objective cross force value, will calculate the value of this objective cross under the pressure sight in the described objective cross of described risks and assumptions force value substitution.
This pressure testing system based on macroscopical factor also comprises a warning module, is positioned at described client and is connected with described computing module, be used for judging this objective cross under the described pressure sight overbalance predetermined threshold value the time export early warning information.
The present invention also provides a kind of method for testing pressure based on macroscopical factor, be applied to include in the communication network of service end and client, described method for testing pressure comprises: preset a data bank, the historical data of macroscopical factor that prestores, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions; At least two kinds of financial products that detect input are defined as objective cross, extract corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank; According to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtain described macroscopical factor and described at least one financial market index and historical data thereof; The historical data that foundation obtains is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and goes out the force value of described at least one financial market index by described correlation matrix calculation; Calculate described at least one financial market index and affect correlation matrix between the risks and assumptions of this objective cross, drawing affects the risks and assumptions of this objective cross force value; The value of this objective cross under the pressure sight will be calculated in the described objective cross of described risks and assumptions force value substitution.
Method for testing pressure based on macroscopical factor of the present invention also comprise be used to judge this objective cross under the described pressure sight overbalance predetermined threshold value the time output early warning information step.
As mentioned above, the systemat ic stress testing method of the macroscopical factor of combination of the present invention, by setting up the relationship map between macroscopical factor and the leading indicator factor, thereby directly affected the pressure sight of the risks and assumptions of asset portfolio value, it is a completely new concept that pressure test is introduced in the variation of macroscopical factor.Pressure testing system of the present invention and method can not be under the very high prerequisite in that historical data is required, indirectly finish the pressure test to the practical risk factor, and unlike additive method, highly depend on the historical data of the risks and assumptions of concrete impact combination value.
Description of drawings
Fig. 1 is shown as the pressure testing system block diagram that the present invention is based on macroscopical factor.
Fig. 2 is shown as the method for testing pressure process flow diagram that the present invention is based on macroscopical factor.
Fig. 3 is shown as GDP and the unemployment rate data plot over the years as an example of Hongkong example.
Embodiment
Below by specific instantiation explanation embodiments of the present invention, those skilled in the art can understand other advantages of the present invention and effect easily by the disclosed content of this instructions.The present invention can also be implemented or be used by other different embodiment, and the every details in this instructions also can be based on different viewpoints and application, carries out various modifications or change under the spirit of the present invention not deviating from.
Need to prove, the diagram that provides in the present embodiment only illustrates basic conception of the present invention in a schematic way, satisfy only show in graphic with the present invention in relevant assembly but not component count, shape and size drafting when implementing according to reality, kenel, quantity and the ratio of each assembly can be a kind of random change during its actual enforcement, and its assembly layout kenel also may be more complicated.
The invention provides a kind of pressure testing system based on macroscopical factor, be applied to include in the communication network of service end 11 and client 12, in the present invention, the corporate server that the cloud computing platform that described service end 11 for example provides for service provider or the user of financial company are set up, described client 12 is such as the electronic installation that has network service and data processing function for desktop computer, notebook computer or intelligent hand-held terminal etc.See also Fig. 1, be shown as the pressure testing system block diagram that the present invention is based on macroscopical factor, as shown in the figure, described pressure testing system comprises: data bank 111, detecting module 121, chosen module 122, computing module 123, and warning module 124.
Described data bank 111 is positioned at described service end, stores the historical data of macroscopical factor, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions; In present embodiment, the macroscopical factor that prestores in the described data bank 111 comprises national GDP growth rate, growth of fixed-asset investment rate (Increasing Rate of Fixed Assets), social consumer goods retail rate of growth, CPI(Consumer Price Index, the consumer price index) a kind of in amplification or the unemployment rate, the index in described financial market is upper card (Shanghai Stock Exchange) A-share index or Hu-Shen 300 index, and described financial product comprises a kind of in stock, commodity, futures, fund or the bond.In described data bank 111, each financial product has corresponding risks and assumptions (namely can affect the factor of financial product price), is the prices of self such as stock, commodity, and bond is yield curve etc.
Described detecting module 121 is positioned at described client 12, at least two kinds of financial products that detect input are defined as objective cross, extract corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank 111; In other words, be after above-mentioned client 12 detects at least two kinds of financial products of user's input, described at least two kinds of financial products are defined as an objective cross, and the described objective cross of foundation extracts corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross from described data bank 111, in the present embodiment, described objective cross is such as being the financial products such as some stocks, commodity, fund, bond.
Described chosen module 122 is positioned at described client 12 and is connected with described detecting module 121, according to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtain described macroscopical factor and described at least one financial market index and historical data thereof; In the present embodiment, for example this is combined as the stock portfolio of a continent A-share, and so selected macroscopical factor just might be the domestic GDP of China's Mainland, CPI, perhaps PMI etc., the financial market index of choosing just might be upper card A-share index or Hu-Shen 300 index.
Described computing module 123 is positioned at described client 12 and is connected with described chosen module 122, the historical data that the described chosen module 122 of foundation obtains is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and go out the force value of described at least one financial market index by described correlation matrix calculation; And calculate described at least one financial market index and affect correlation matrix between the risks and assumptions of this objective cross, drawing affects the risks and assumptions of this objective cross force value, will calculate the value of this objective cross under the pressure sight in the described objective cross of described risks and assumptions force value substitution.
In the present embodiment, the correlation matrix that calculates between described macroscopical factor and the described at least one financial market index of the historical data that obtains according to described chosen module 122 of described computing module 123 is specially:
Wherein, ∑
N, lBe macroscopical factor and financial market exponential factor covariance matrix, ∑
L, lBe macroscopical factor auto-covariance matrix,
Be ∑
L, lContrary; L is the number that macroscopical simulated scenario arranges lower macroscopical factor; S
kBe macroscopical factor variations rate (i.e. change value), wherein, k=1 ... l; N is the number of financial market exponential factor; S '
jBe the rate of change (i.e. change value) of financial market exponential factor, wherein, j=1 ... n.
Then:
And
After obtaining the factor change of financial market exponential factor, the change of the risks and assumptions of objective cross and relevance are that the computing method of sensibility analysis sight of true time are consistent.With the factor of financial market exponential factor change substitution sensibility analysis sight and to establish relevance be true, will obtain the risks and assumptions change of objective cross.In the present embodiment, described computing module 123 calculates described at least one financial market indexes and the correlation matrix that affects between the risks and assumptions of this objective cross is specially:
Wherein, ∑
M, nBe risks and assumptions and the financial market exponential factor covariance matrix of objective cross, ∑
N, nBe financial market exponential factor auto-covariance matrix,
Be ∑
N, nContrary; M is the number of the risks and assumptions of objective cross;
Be the rate of change (i.e. change value) of the risks and assumptions of objective cross, wherein, i=1 ... m; S '
jBe the rate of change (i.e. change value) of financial market exponential factor, wherein, j=1 ... n.
Then:
And
Wherein, Cov (a, b) is the covariance of a and b.
Described warning module 124 is positioned at described client 12 and is connected with described computing module 123, be used for judging this objective cross under the described pressure sight overbalance predetermined threshold value the time output early warning information.Particularly, described early warning information is that the way of output is such as carrying out highlighted demonstration etc. for the prompting of page pop-up window or with the key word in the page.
The present invention also provides a kind of method for testing pressure based on macroscopical factor, be applied to include in the communication network of service end and client, in the present invention, the corporate server that the cloud computing platform that described service end for example provides for service provider or the user of financial company are set up, described client is such as the electronic installation that has network service and data processing function for desktop computer, notebook computer or intelligent hand-held terminal etc.See also Fig. 2, be shown as the method for testing pressure process flow diagram that the present invention is based on macroscopical factor, as shown in the figure, described method for testing pressure comprises:
Step S1 presets a data bank, the historical data of macroscopical factor that prestores, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions; In present embodiment, the macroscopical factor that prestores in the described data bank comprises national GDP growth rate, growth of fixed-asset investment rate (Increasing Rate of FixedAssets), social consumer goods retail rate of growth, CPI(Consumer Price Index, the consumer price index) a kind of in amplification or the unemployment rate, the index in described financial market is upper card (Shanghai Stock Exchange) A-share index or Hu-Shen 300 index, and described financial product comprises a kind of in stock, commodity, futures, fund or the bond.In described data bank, each financial product has corresponding risks and assumptions (namely can affect the factor of financial product price), is the prices of self such as stock, commodity, and bond is yield curve etc.
Step S2 is defined as objective cross with at least two kinds of financial products that detect input, extracts corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank; In other words, be after above-mentioned client detects at least two kinds of financial products of user's input, described at least two kinds of financial products are defined as an objective cross, and the described objective cross of foundation extracts corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross from described data bank, in the present embodiment, described objective cross is such as being the financial products such as some stocks, commodity, fund, bond.
Step S3 according to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtains described macroscopical factor and described at least one financial market index and historical data thereof; In the present embodiment, for example this is combined as the stock portfolio of a continent A-share, and so selected macroscopical factor just might be the domestic GDP of China's Mainland, CPI, perhaps PMI etc., the financial market index of choosing just might be upper card A-share index or Hu-Shen 300 index.
Step S4, the described historical data that obtains of foundation is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and go out the force value of described at least one financial market index by described correlation matrix calculation; In the present embodiment, the correlation matrix that calculates between described macroscopical factor and the described at least one financial market index of the historical data that obtains of described foundation is specially:
Wherein, ∑
N, lBe macroscopical factor and financial market exponential factor covariance matrix, ∑
L, lBe macroscopical factor auto-covariance matrix,
Be ∑
L, lContrary; L is the number that macroscopical simulated scenario arranges lower macroscopical factor; S
kBe macroscopical factor variations rate (i.e. change value), wherein, k=1 ... l; N is the number of financial market exponential factor; S '
jBe the rate of change (i.e. change value) of financial market exponential factor, wherein, j=1 ... n.
Then:
And
Step S5 calculates described at least one financial market index and affects correlation matrix between the risks and assumptions of this objective cross, and drawing affects the risks and assumptions of this objective cross force value; In other words, after the factor change that obtains the financial market exponential factor, the change of the risks and assumptions of objective cross and relevance are that the computing method of sensibility analysis sight of true time are consistent.With the factor of financial market exponential factor change substitution sensibility analysis sight and to establish relevance be true, will obtain the risks and assumptions change of objective cross.In the present embodiment, described calculating described at least one financial market index and the correlation matrix that affects between the risks and assumptions of this objective cross are specially:
Wherein, ∑
M, nBe risks and assumptions and the financial market exponential factor covariance matrix of objective cross, ∑
N, nBe financial market exponential factor auto-covariance matrix,
Be ∑
N, nContrary; M is the number of the risks and assumptions of objective cross;
Be the rate of change (i.e. change value) of the risks and assumptions of objective cross, wherein, i=1 ... m; S '
jBe the rate of change (i.e. change value) of financial market exponential factor, wherein, j=1 ... n.
Then:
And
Wherein, Cov (a, b) is the covariance of a and b.
Step S6, last, will calculate the value of this objective cross under the pressure sight in the described objective cross of described risks and assumptions force value substitution.
Method for testing pressure based on macroscopical factor of the present invention also comprise be used to judge this objective cross under the described pressure sight overbalance predetermined threshold value the time output early warning information step S7.Particularly, described early warning information is that the way of output is such as carrying out highlighted demonstration etc. for the prompting of page pop-up window or with the key word in the page.
For further highlighting principle of the present invention and effect, see also Fig. 3, be shown as GDP and unemployment rate data plot over the years as an example of Hongkong example, wherein, the longitudinal axis is expressed as GDP growth rate and the unemployment rate that Hongkong is example, and transverse axis is expressed as a year month.The present invention mainly considers to go to judge the value of the constitution's risk factor under pressure state by the force value of macroscopical factor.This method is based on the change procedure of macroscopical factor, and macroscopical factor here can be the macroeconomic factors of multiple impact such as GDP growth rate, growth of fixed-asset investment rate, social consumer goods retail rate of growth, CPI amplification, unemployment rate.Temporarily take the GDP growth rate in Hong Kong and unemployment rate as example, its historical data as shown in Figure 3 in this example.After the data of macroscopical factor history are finished collection, calculate the relation between these macroscopical factors and the main index, these main indexes can comprise the index in some main financial markets, for example the Shanghai and Shenzhen 300, Hang Seng Indexes etc. further, are calculated these main indexes and are directly affected the correlativity that makes up the practical risk factor that is worth, draw these practical risk factors and follow the rate of change of macroscopical factor, to calculate the situation of change of these practical risk factors under pressure condition.
After finishing above computation process, the historical data of macroscopical factor is analyzed and sorted, obtain the macroscopical factor variations situation under the different pressures sight, these data are updated in the correlation matrix of macroscopical factor of having calculated and main index, just can dope the value of main index under the pressure sight, calculate the value that is combined under the pressure sight by the relation between main index and the constitution's risk factor again.
In sum, the systemat ic stress testing method of the macroscopical factor of combination of the present invention, by setting up the relationship map between macroscopical factor and the leading indicator factor, thereby directly affected the pressure sight of the risks and assumptions of asset portfolio value, it is a completely new concept that pressure test is introduced in the variation of macroscopical factor.Pressure testing system of the present invention and method can not be under the very high prerequisite in that historical data is required, indirectly finish the pressure test to the practical risk factor, and unlike additive method, highly depend on the historical data of the risks and assumptions of concrete impact combination value.So the present invention has effectively overcome various shortcoming of the prior art and the tool high industrial utilization.
Above-described embodiment is illustrative principle of the present invention and effect thereof only, but not is used for restriction the present invention.Any person skilled in the art scholar all can be under spirit of the present invention and category, and above-described embodiment is modified or changed.Therefore, have in the technical field under such as and know that usually the knowledgeable modifies or changes not breaking away from all equivalences of finishing under disclosed spirit and the technological thought, must be contained by claim of the present invention.
Claims (10)
1. the pressure testing system based on macroscopical factor is applied to include in the communication network of service end and client, it is characterized in that described pressure testing system comprises:
Data bank is positioned at described service end, stores the historical data of macroscopical factor, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions;
Detecting module is positioned at described client, and at least two kinds of financial products that detect input are defined as objective cross, extracts corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank;
Chosen module, be positioned at described client and be connected with described detecting module, according to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtain described macroscopical factor and described at least one financial market index and historical data thereof;
Computing module, be positioned at described client and be connected with described chosen module, the historical data that the described chosen module of foundation obtains is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and go out the force value of described at least one financial market index by described correlation matrix calculation; And calculate described at least one financial market index and affect correlation matrix between the risks and assumptions of this objective cross, drawing affects the risks and assumptions of this objective cross force value, will calculate the value of this objective cross under the pressure sight in the described objective cross of described risks and assumptions force value substitution.
2. the pressure testing system based on macroscopical factor according to claim 1, it is characterized in that: also comprise a warning module, be positioned at described client and be connected with described computing module, be used for judging this objective cross under the described pressure sight overbalance predetermined threshold value the time output early warning information.
3. the pressure testing system based on macroscopical factor according to claim 1 is characterized in that: the correlation matrix that described computing module calculates between described macroscopical factor and the described at least one financial market index according to the historical data that described chosen module obtains is specially:
Wherein, ∑
N, lBe macroscopical factor and financial market exponential factor covariance matrix, ∑
L, lBe macroscopical factor auto-covariance matrix,
Be ∑
L, lContrary; L is the number that macroscopical simulated scenario arranges lower macroscopical factor; S
kBe macroscopical factor variations rate, wherein, k=1 ... l; N is the number of financial market exponential factor; S '
jBe the rate of change of financial market exponential factor, wherein, j=1 ... n.
4. the pressure testing system based on macroscopical factor according to claim 1 is characterized in that: described computing module calculates described at least one financial market index and the correlation matrix that affects between the risks and assumptions of this objective cross is specially:
Wherein, ∑
M, nBe risks and assumptions and the financial market exponential factor covariance matrix of objective cross, ∑
N, nBe financial market exponential factor auto-covariance matrix,
Be ∑
N, nContrary; M is the number of the risks and assumptions of objective cross;
Be order
The rate of change of the risks and assumptions of mark combination, wherein, i=1 ... m; S '
jBe the rate of change of financial market exponential factor, wherein, j=1 ... n.
5. the pressure testing system based on macroscopical factor according to claim 1, it is characterized in that: the macroscopical factor that prestores in the described data bank comprises a kind of in national GDP growth rate, growth of fixed-asset investment rate, social consumer goods retail rate of growth, CPI amplification or the unemployment rate, the index in described financial market is upper card A-share index or Hu-Shen 300 index, and described financial product comprises a kind of in stock, commodity, futures, fund or the bond.
6. the method for testing pressure based on macroscopical factor is applied to include in the communication network of service end and client, it is characterized in that described method for testing pressure comprises:
Preset a data bank, the historical data of macroscopical factor that prestores, the index in a plurality of financial markets and historical data thereof, the risks and assumptions that multiple financial product is corresponding, and the corresponding respectively historical data of this risks and assumptions;
At least two kinds of financial products that detect input are defined as objective cross, extract corresponding all risks and assumptions and the historical data thereof of each financial product this objective cross according to described objective cross from described data bank;
According to described objective cross selected the pressure test needed macroscopical factor and at least one financial market index relevant with this combination, obtain described macroscopical factor and described at least one financial market index and historical data thereof;
The historical data that foundation obtains is calculated the correlation matrix between described macroscopical factor and the described at least one financial market index, and the force value of macroscopical factor is set, and goes out the force value of described at least one financial market index by described correlation matrix calculation;
Calculate described at least one financial market index and affect correlation matrix between the risks and assumptions of this objective cross, drawing affects the risks and assumptions of this objective cross force value;
Calculate the value of this objective cross under the pressure sight in the described objective cross of described risks and assumptions force value substitution.
7. the method for testing pressure based on macroscopical factor according to claim 6 is characterized in that: also comprise be used to judge this objective cross under the described pressure sight overbalance predetermined threshold value the time output early warning information step.
8. the method for testing pressure based on macroscopical factor according to claim 6, it is characterized in that: the correlation matrix that the historical data that described foundation obtains is calculated between described macroscopical factor and the described at least one financial market index is specially:
Wherein, ∑
N, lBe macroscopical factor and financial market exponential factor covariance matrix, ∑
L, lBe macroscopical factor auto-covariance matrix,
Be ∑
L, lContrary; L is the number that macroscopical simulated scenario arranges lower macroscopical factor; S
kBe macroscopical factor variations rate,
Wherein, k=1 ... l; N is the number of financial market exponential factor; S '
jBe the rate of change of financial market exponential factor, wherein, j=1 ... n.
9. the method for testing pressure based on macroscopical factor according to claim 6 is characterized in that: described calculating described at least one financial market index and the correlation matrix that affects between the risks and assumptions of this objective cross are specially:
Wherein, ∑
M, nBe risks and assumptions and the financial market exponential factor covariance matrix of objective cross, ∑
N, nBe financial market exponential factor auto-covariance matrix,
Be ∑
N, nContrary; M is the number of the risks and assumptions of objective cross;
Be the rate of change of the risks and assumptions of objective cross, wherein, i=1 ... m; S '
jBe the rate of change of financial market exponential factor, wherein, j=1 ... n.
10. the method for testing pressure based on macroscopical factor according to claim 6, it is characterized in that: the macroscopical factor that prestores in the described data bank comprises a kind of in national GDP growth rate, growth of fixed-asset investment rate, social consumer goods retail rate of growth, CPI amplification or the unemployment rate, the index in described financial market is upper card A-share index or Hu-Shen 300 index, and described financial product comprises a kind of in stock, commodity, futures, fund or the bond.
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| CN105321113A (en) * | 2014-08-04 | 2016-02-10 | 同济大学 | Macroscopic factor based pressure test client |
| CN109978697A (en) * | 2017-12-28 | 2019-07-05 | 广州潽蓝信息科技有限公司 | A kind of method and apparatus of virtual sifting destination financial product |
| CN111047128A (en) * | 2018-10-12 | 2020-04-21 | 台北富邦商业银行股份有限公司 | Enterprise financial risk exposure management system |
| CN111210110A (en) * | 2019-12-20 | 2020-05-29 | 上海淇玥信息技术有限公司 | Method and device for generating prevention strategy based on stress test and electronic equipment |
| CN113495845A (en) * | 2021-07-27 | 2021-10-12 | 拉扎斯网络科技（上海）有限公司 | Data testing method and device, electronic equipment and storage medium |
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Cited By (6)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN105321113A (en) * | 2014-08-04 | 2016-02-10 | 同济大学 | Macroscopic factor based pressure test client |
| CN109978697A (en) * | 2017-12-28 | 2019-07-05 | 广州潽蓝信息科技有限公司 | A kind of method and apparatus of virtual sifting destination financial product |
| CN111047128A (en) * | 2018-10-12 | 2020-04-21 | 台北富邦商业银行股份有限公司 | Enterprise financial risk exposure management system |
| CN111210110A (en) * | 2019-12-20 | 2020-05-29 | 上海淇玥信息技术有限公司 | Method and device for generating prevention strategy based on stress test and electronic equipment |
| CN113495845A (en) * | 2021-07-27 | 2021-10-12 | 拉扎斯网络科技（上海）有限公司 | Data testing method and device, electronic equipment and storage medium |
| CN113495845B (en) * | 2021-07-27 | 2022-09-13 | 拉扎斯网络科技（上海）有限公司 | Data testing method and device, electronic equipment and storage medium |
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