CN112613981A - Pressure testing method and device for bank asset combination risk income and electronic equipment - Google Patents
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Abstract
The embodiment of the invention discloses a pressure test method, a device and electronic equipment for bank asset combination risk income, wherein the pressure test method comprises the following steps: acquiring service parameters, parameters of a default coefficient matrix and calculation index information; inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result; and outputting the pressure test result. The invention can make the bank fully know the relationship between the potential risk factor and the bank financial condition; the system can prevent the impact possibly brought to the bank by extreme events and improve the risk resistance; and the asset combination is optimized, and the risk and income are improved.
Description
Technical Field
The embodiment of the invention relates to the field of combined asset management, in particular to a method and a device for testing the risk and income of a bank asset combination and electronic equipment.
Background
Portfolio management is an important means of risk management for modern commercial banks. In order to deal with multiple challenges of economic downgoing, financial demeanor, interest rate marketization, high risk development and the like, more and more domestic and foreign commercial banks introduce an active asset combination management concept, and various combinations of credit assets are managed through multiple combination dimensions of industries, regions, products, customers and the like, so that the centralized risk of the banks is dispersed and reduced, and the overall income level of the credit assets of the banks is improved. The credit asset combination management is put to the real place through a quantification means, the problem of Risk association degree between industries is effectively reduced by reasonably setting industry concentration degree Risk limits is solved, and the optimization of Risk Capital Return rate (RAROC) is realized through asset combination management.
Before a stress test is not carried out, the common risk quantification method for the bank does not consider extreme market environment conditions, and does not know the influence of some potential risks on the whole income of the bank, so that the credit asset risk of the bank in some industries, regions and products is increased, the income is reduced and the whole income level of the credit asset of the bank is reduced under the condition of the extreme risks.
Disclosure of Invention
The embodiment of the invention aims to provide a method and a device for testing the risk and income pressure of a bank portfolio and electronic equipment, which are used for solving the problem that the risk of the existing bank portfolio management is difficult to quantify.
In order to achieve the above object, the embodiments of the present invention mainly provide the following technical solutions:
in a first aspect, an embodiment of the present invention provides a method for testing the risk and income of a bank portfolio under pressure, including:
acquiring service parameters, parameters of a default coefficient matrix and calculation index information;
inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result;
and outputting the pressure test result.
According to one embodiment of the invention, the obtaining of the parameters of the default coefficient matrix comprises:
providing the default coefficient matrix;
if a unified adjusting instruction is received, extracting first adjusting parameters from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameters, and performing limit value adjustment on a multiplication result to obtain parameters of the default coefficient matrix;
and if an individual adjusting instruction is received, extracting a second adjusting parameter from the individual adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
According to one embodiment of the present invention, acquiring calculation index information includes:
providing a basic calculation index;
if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to the basic calculation index and the first configuration dimension;
and if a set index change rate instruction is received, extracting a second configuration dimension from the set index change rate instruction, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
According to one embodiment of the invention, the stress test includes an economic capital calculation, a concentration capital calculation, and a risk revenue calculation.
In a second aspect, an embodiment of the present invention further provides a device for testing the risk and income of a bank portfolio, including:
the acquisition module is used for acquiring the service parameters, the parameters of the default coefficient matrix and the calculation index information;
the control processing module is used for inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result;
and the output module is used for outputting the pressure test result.
According to an embodiment of the present invention, the obtaining module is configured to:
providing the default coefficient matrix;
if a unified adjusting instruction is received, extracting first adjusting parameters from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameters, and performing limit value adjustment on a multiplication result to obtain parameters of the default coefficient matrix;
and if an individual adjusting instruction is received, extracting a second adjusting parameter from the individual adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
According to an embodiment of the present invention, the obtaining module is configured to:
providing a basic calculation index;
if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to the basic calculation index and the first configuration dimension;
and if a set index change rate instruction is received, extracting a second configuration dimension from the set index change rate instruction, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
According to one embodiment of the invention, the stress test includes an economic capital calculation, a concentration capital calculation, and a risk revenue calculation.
In a third aspect, an embodiment of the present invention further provides an electronic device, including: at least one processor and at least one memory; the memory is to store one or more program instructions; the processor is configured to execute one or more program instructions to perform the method for stress testing of bank portfolio risk and income as described in the first aspect.
In a fourth aspect, embodiments of the present invention further provide a computer-readable storage medium containing one or more program instructions for executing the method for stress testing of bank portfolio risk income according to the first aspect.
The technical scheme provided by the embodiment of the invention at least has the following advantages:
the method, the device and the electronic equipment for testing the pressure of the bank asset combination risk income can enable a bank to fully know the relationship between the potential risk factors and the financial condition of the bank; the system can prevent the impact possibly brought to the bank by extreme events and improve the risk resistance; and the asset combination is optimized, and the risk and income are improved.
Drawings
FIG. 1 is a flow chart of the pressure testing method for bank portfolio risk and income of the present invention.
FIG. 2 is a block diagram of the pressure testing device for risk and income of bank portfolios.
Detailed Description
The following description of the embodiments of the present invention is provided for illustrative purposes, and other advantages and effects of the present invention will become apparent to those skilled in the art from the present disclosure.
In the following description, for purposes of explanation and not limitation, specific details are set forth such as particular system structures, interfaces, techniques, etc. in order to provide a thorough understanding of the present invention. It will be apparent, however, to one skilled in the art that the present invention may be practiced in other embodiments that depart from these specific details. In other instances, detailed descriptions of well-known systems, circuits, and methods are omitted so as not to obscure the description of the present invention with unnecessary detail.
In the description of the present invention, it is to be understood that the terms "first" and "second" are used for descriptive purposes only and are not to be construed as indicating or implying relative importance.
FIG. 1 is a flow chart of the pressure testing method for bank portfolio risk and income of the present invention. As shown in fig. 1, the method for testing the bank portfolio risk and income pressure of the embodiment of the present invention includes:
s1: and acquiring the service parameters, the parameters of the default coefficient matrix and the calculation index information.
Specifically, business information and financial information given by a user are acquired. The business information comprises risk fields such as the Probability of Default of the asset business (PD), the Loss rate of Default (LGD), the Exposure to Default risk (EAD) and the like, and business attribute fields such as the branch, the industry and the product type of the client. And combining the financial information with the result of the monthly and stroke-by-stroke business output by the risk and income metering module. The specific contents of the business information and the financial information may be as shown in table 1.
TABLE 1
Wherein the PD, LGD and dial-up occupation amount is the numerical value under the caliber of IFRS9 measurement, the Weighted Risk Assets (RWA) are the numerical values under the caliber of the inner evaluation method, the remaining period is less than 1 year or the missing service is adjusted to be 1 year, and the rest period is more than 5 years. Cif (customer Information File system) denotes a customer Information system, ftp (funds Transfer printing) pricing for internal funds transfers.
If the default; if the user selects adjustment, the default correlation coefficient matrix of the corresponding line (public, retail and credit cards) can be selected to carry out uniform coefficient adjustment.
In one embodiment of the present invention, obtaining parameters of the default coefficient matrix includes:
a default coefficient matrix is provided.
If the unified adjusting instruction is received, extracting a first adjusting parameter from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameter, and carrying out limit value adjustment on a multiplication result to obtain a parameter of the default coefficient matrix.
And if the single adjusting instruction is received, extracting a second adjusting parameter from the single adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
Specifically, the selected correlation coefficient matrix can be adjusted in two ways:
unified adjustment: multiplying each default correlation coefficient in the default correlation coefficient matrix by a first adjustment parameter input by a user; if the calculated default correlation coefficient is larger than 1, adjusting to 1; and if the calculated default correlation coefficient is less than 0, adjusting to 0.
Individual adjustment: each default correlation coefficient in the default correlation coefficient matrix can be modified according to a second adjustment parameter input by a user, and the value range of the default correlation coefficient is [0,1 ].
In one embodiment of the present invention, obtaining calculation index information includes:
and providing a basic calculation index.
And if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to the basic calculation index and the first configuration dimension.
And if the instruction for setting the index change rate is received, extracting a second configuration dimension from the instruction for setting the index change rate, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
Specifically, when calculating the configured index, the index shown in table 2 is calculated:
TABLE 2
The index configuration mode comprises the following steps: three types of parameters are not configured, the average value is set and the index change rate is set.
When the index is not configured, it is shown in table 3.
TABLE 3
And when the index configuration mode is the set average value, setting the average value of each group of the configuration dimension according to the selected configuration dimension. The index value of the traffic within each packet is equal to the original value x (average value set by the user ÷ reference period average value) calculated directly from the input data. For example, when the average FTP value of each service is set in the "service profile" dimension, it is shown in table 4.
TABLE 4
And when the index configuration mode is the set index change rate, setting the index change rate of each group of the configuration dimension according to the selected configuration dimension. The adjusted service FTP interest rate (original service FTP interest rate) (1+ index change rate). For example, when the variation rate of the FTP rate of each service type is set according to the dimension of "service details", it is shown in table 5.
TABLE 5
The configuration mode of calculating the index 'business balance' can only be to not configure or set the index change rate, and when the configuration mode of calculating the index 'business balance' is to set the index change rate, 4 indexes such as EAD, business balance in a table, business balance outside the table, and monthly allocated amount of money are adjusted according to the change rate of the 'business balance' index under each situation.
After the configurable calculation index is calculated, the following index is finally calculated, as shown in table 6.
TABLE 6
S2: and inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result.
Specifically, the stress test includes economic capital calculation, concentration capital calculation, and risk revenue calculation. The pressure test model is trained in advance according to the sample data, for example, by deep neural network training.
Economic capital and collective capital calculations: after the index is calculated and processed, according to parameters such as default probability PD, default loss rate LGD, default risk exposure EAD, weighted risk asset RWA average period of a bank and the like of the aperture selected by the user under each pressure test scenario, a combined risk management system combined risk metering module is respectively called to calculate the economic capital and the concentration capital of the supervision aperture of each month under each scenario.
And (3) risk and benefit calculation: and calculating the risk income EVA under each scene according to the financial prediction index, the expected loss and the economic capital under each scene.
And (4) summarizing the results: and calculating risk income reports under dimensions of different scenes and the like, if shown in the table 7.
TABLE 7
S3: and outputting a pressure test result.
The pressure testing method for the bank asset combination risk income provided by the embodiment of the invention can enable a bank to fully know the relationship between the potential risk factors and the bank financial condition; the system can prevent the impact possibly brought to the bank by extreme events and improve the risk resistance; and the asset combination is optimized, and the risk and income are improved.
FIG. 2 is a block diagram of the pressure testing device for risk and income of bank portfolios. As shown in fig. 2, the pressure testing apparatus for risk and income of bank portfolios according to the embodiment of the present invention includes: an acquisition module 100, a control processing module 200 and an output module 300.
The obtaining module 100 is configured to obtain a service parameter, a parameter of a default coefficient matrix, and calculation index information. The control processing module 200 is configured to input the service parameters, the parameters of the default coefficient matrix, and the calculation index information into a pressure test model for pressure test, so as to obtain a pressure test result. The output module 300 is used for outputting the pressure test result.
In an embodiment of the present invention, the obtaining module 100 is configured to: providing a default coefficient matrix; if a unified adjusting instruction is received, extracting a first adjusting parameter from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameter, and carrying out limit value adjustment on a multiplication result to obtain a parameter of the default coefficient matrix; and if the single adjusting instruction is received, extracting a second adjusting parameter from the single adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
In an embodiment of the present invention, the obtaining module 100 is configured to: providing a basic calculation index; if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to a basic calculation index and the first configuration dimension; and if the instruction for setting the index change rate is received, extracting a second configuration dimension from the instruction for setting the index change rate, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
In one embodiment of the invention, the stress test includes economic capital calculations, concentration capital calculations and risk-income calculations.
It should be noted that, a specific implementation of the pressure testing apparatus for bank asset portfolio risk and income in the embodiment of the present invention is similar to a specific implementation of the pressure testing method for bank asset portfolio risk and income in the embodiment of the present invention, and specific reference is made to the description of the pressure testing method for bank asset portfolio risk and income, and details are not repeated for reducing redundancy.
In addition, other structures and functions of the pressure testing device for risk and income of bank portfolios according to the embodiment of the present invention are known to those skilled in the art, and are not described in detail for reducing redundancy.
An embodiment of the present invention further provides an electronic device, including: at least one processor and at least one memory; the memory is to store one or more program instructions; the processor is configured to execute one or more program instructions to perform the method for stress testing of bank portfolio risk and income as described in the first aspect.
The disclosed embodiments of the present invention provide a computer-readable storage medium having stored therein computer program instructions, which, when run on a computer, cause the computer to perform the above-mentioned method for stress testing of bank portfolios risk and income.
In an embodiment of the invention, the processor may be an integrated circuit chip having signal processing capability. The Processor may be a general purpose Processor, a Digital Signal Processor (DSP), an Application Specific Integrated Circuit (ASIC), a Field Programmable Gate Array (FPGA) or other Programmable logic device, discrete Gate or transistor logic device, discrete hardware component.
The various methods, steps and logic blocks disclosed in the embodiments of the present invention may be implemented or performed. A general purpose processor may be a microprocessor or the processor may be any conventional processor or the like. The steps of the method disclosed in connection with the embodiments of the present invention may be directly implemented by a hardware decoding processor, or implemented by a combination of hardware and software modules in the decoding processor. The software module may be located in ram, flash memory, rom, prom, or eprom, registers, etc. storage media as is well known in the art. The processor reads the information in the storage medium and completes the steps of the method in combination with the hardware.
The storage medium may be a memory, for example, which may be volatile memory or nonvolatile memory, or which may include both volatile and nonvolatile memory.
The nonvolatile Memory may be a Read-Only Memory (ROM), a Programmable ROM (PROM), an Erasable PROM (EPROM), an Electrically Erasable PROM (EEPROM), or a flash Memory.
The volatile Memory may be a Random Access Memory (RAM) which serves as an external cache. By way of example and not limitation, many forms of RAM are available, such as Static random access memory (Static RAM, SRAM), Dynamic RAM (DRAM), Synchronous DRAM (SDRAM), Double Data Rate SDRAM (ddr Data Rate SDRAM), Enhanced SDRAM (ESDRAM), synchlink DRAM (SLDRAM), and Direct Rambus RAM (DRRAM).
The storage media described in connection with the embodiments of the invention are intended to comprise, without being limited to, these and any other suitable types of memory.
Those skilled in the art will appreciate that the functionality described in the present invention may be implemented in a combination of hardware and software in one or more of the examples described above. When software is applied, the corresponding functionality may be stored on or transmitted over as one or more instructions or code on a computer-readable medium. Computer-readable media includes both computer storage media and communication media including any medium that facilitates transfer of a computer program from one place to another. A storage media may be any available media that can be accessed by a general purpose or special purpose computer.
The above-mentioned embodiments, objects, technical solutions and advantages of the present invention are further described in detail, it should be understood that the above-mentioned embodiments are only exemplary embodiments of the present invention, and are not intended to limit the scope of the present invention, and any modifications, equivalent substitutions, improvements and the like made on the basis of the technical solutions of the present invention should be included in the scope of the present invention.
Claims (10)
1. A pressure test method for bank portfolio risk income is characterized by comprising the following steps:
acquiring service parameters, parameters of a default coefficient matrix and calculation index information;
inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result;
and outputting the pressure test result.
2. The method for pressure testing of bank portfolio risk and return of claim 1, wherein obtaining parameters of the default coefficient matrix comprises:
providing the default coefficient matrix;
if a unified adjusting instruction is received, extracting first adjusting parameters from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameters, and performing limit value adjustment on a multiplication result to obtain parameters of the default coefficient matrix;
and if an individual adjusting instruction is received, extracting a second adjusting parameter from the individual adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
3. The method for stress testing of risk and income of bank portfolios according to claim 1, wherein the obtaining of calculation index information comprises:
providing a basic calculation index;
if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to the basic calculation index and the first configuration dimension;
and if a set index change rate instruction is received, extracting a second configuration dimension from the set index change rate instruction, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
4. The method for pressure testing of risk profits for a bank portfolio of assets of claim 1, wherein the pressure testing comprises economic capital calculation, concentration capital calculation, and risk profits calculation.
5. A pressure testing device for bank portfolio risk and income is characterized by comprising:
the acquisition module is used for acquiring the service parameters, the parameters of the default coefficient matrix and the calculation index information;
the control processing module is used for inputting the service parameters, the parameters of the default coefficient matrix and the calculation index information into a pressure test model for pressure test to obtain a pressure test result;
and the output module is used for outputting the pressure test result.
6. The apparatus for pressure testing of bank portfolio risk return of claim 5, wherein the obtaining module is configured to:
providing the default coefficient matrix;
if a unified adjusting instruction is received, extracting first adjusting parameters from the unified adjusting instruction, multiplying each default coefficient in the default coefficient matrix by the first adjusting parameters, and performing limit value adjustment on a multiplication result to obtain parameters of the default coefficient matrix;
and if an individual adjusting instruction is received, extracting a second adjusting parameter from the individual adjusting instruction, and carrying out parameter adjustment on the default coefficient matrix according to the second adjusting parameter to obtain the parameter of the default coefficient matrix.
7. The apparatus for pressure testing of bank portfolio risk return of claim 5, wherein the obtaining module is configured to:
providing a basic calculation index;
if a tie value setting instruction is received, extracting a first configuration dimension from the tie value setting instruction, and obtaining an average value of each group according to the basic calculation index and the first configuration dimension;
and if a set index change rate instruction is received, extracting a second configuration dimension from the set index change rate instruction, and obtaining the index change rate of each group according to the basic calculation index and the second configuration dimension.
8. The apparatus for pressure testing of risk profits for a bank portfolio of claim 5, wherein the pressure testing comprises economic capital calculation, concentration capital calculation, and risk profits calculation.
9. An electronic device, characterized in that the electronic device comprises: at least one processor and at least one memory;
the memory is to store one or more program instructions;
the processor, configured to execute one or more program instructions to perform the method for stress testing of bank portfolios risk profits according to any one of claims 1-4.
10. A computer readable storage medium having embodied therein one or more program instructions for executing the method for stress testing of bank portfolios risk revenue of any one of claims 1-4.
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