CN114638503A - Asset risk pressure testing method, device, equipment and storage medium - Google Patents

Asset risk pressure testing method, device, equipment and storage medium Download PDF

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CN114638503A
CN114638503A CN202210270180.XA CN202210270180A CN114638503A CN 114638503 A CN114638503 A CN 114638503A CN 202210270180 A CN202210270180 A CN 202210270180A CN 114638503 A CN114638503 A CN 114638503A
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asset
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risk
risk factor
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钟荣清
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China Construction Bank Corp
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China Construction Bank Corp
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    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
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Abstract

The embodiment of the application discloses a method, a device, equipment and a storage medium for testing asset risk pressure. The method can determine a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and a pre-constructed risk factor tree, and further perform pressure test on the asset to be tested according to the target risk factor and the target pressure situation to obtain a test result. Because the incidence relation between the risk factors and the test assets is established in advance, when the assets to be tested are determined, the risk factors related to the assets to be tested can be determined directly and effectively on the basis of the risk factor tree, and the determination by business personnel in combination with market data is not needed, so that the time is saved, and the test efficiency of the pressure test is improved.

Description

Asset risk pressure testing method, device, equipment and storage medium
Technical Field
The present application relates to the field of computer technologies, and in particular, to a method, an apparatus, a device, and a storage medium for asset risk pressure testing.
Background
The asset risk pressure test is a risk analysis method mainly based on quantitative analysis, and by measuring and calculating losses possibly occurring under extreme adverse conditions such as assumed small-probability events encountered by a financial institution, negative influences of the losses on the profitability and principal of the financial institution are analyzed, so that the vulnerability of the financial institution is evaluated and judged, the financial institution is urged to take effective measures, and possible extreme market changes are responded.
At present, when risk pressure testing is carried out on investment assets, the testing efficiency is low.
Content of application
The embodiment of the application provides a method, a device, equipment and a storage medium for testing the asset risk pressure, and the testing efficiency of the asset risk pressure test can be improved.
In a first aspect, an embodiment of the present application provides an asset risk pressure testing method, including:
acquiring assets to be tested;
determining a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and a pre-constructed risk factor tree, wherein the risk factor tree is used for displaying an incidence relation between the risk factor and the test asset;
and carrying out pressure test on the assets to be tested according to the target risk factors and the target pressure situation to obtain a test result.
In a second aspect, an embodiment of the present application provides an asset risk pressure testing apparatus, including:
the acquisition module is used for acquiring assets to be tested;
the system comprises a determining module, a risk factor tree and a risk factor analyzing module, wherein the determining module is used for determining a target risk factor corresponding to an asset to be tested and a target pressure scene corresponding to the target risk factor according to the asset to be tested and a pre-constructed risk factor tree, and the risk factor tree is used for displaying an incidence relation between the risk factor and the asset to be tested;
and the test module is used for carrying out pressure test on the assets to be tested according to the target risk factors and the target pressure situation to obtain a test result.
In a third aspect, an embodiment of the present application provides an electronic device, including:
a processor;
a memory for storing computer program instructions;
the computer program instructions, when executed by a processor, implement the method as described in the first aspect.
In a fourth aspect, embodiments of the present application provide a computer-readable storage medium having stored thereon computer program instructions, which when executed by a processor, implement the method according to the first aspect.
In a fifth aspect, the present application provides a computer program product, and when executed by a processor of an electronic device, the instructions of the computer program product cause the electronic device to perform the method according to the first aspect.
According to the asset risk pressure testing method, device, equipment and storage medium provided by the embodiment of the application, the target risk factor corresponding to the asset to be tested and the target pressure situation corresponding to the target risk factor can be determined according to the asset to be tested and the pre-constructed risk factor tree, and then the asset to be tested is subjected to pressure testing according to the target risk factor and the target pressure situation to obtain the testing result. Because the incidence relation between the risk factors and the test assets is established in advance, when the assets to be tested are determined, the risk factors related to the assets to be tested can be determined directly and effectively on the basis of the risk factor tree, and the determination by business personnel in combination with market data is not needed, so that the time is saved, and the test efficiency of the pressure test is improved.
Drawings
In order to more clearly illustrate the technical solutions of the embodiments of the present application, the drawings needed to be used in the embodiments of the present application will be briefly described below, and for those skilled in the art, other drawings can be obtained according to the drawings without creative efforts.
FIG. 1 is a flow chart of a method for testing asset risk pressure according to an embodiment of the present disclosure;
fig. 2 is a schematic diagram of a risk factor tree according to an embodiment of the present disclosure;
fig. 3 is a schematic process diagram of data processing according to an embodiment of the present application;
FIG. 4 is a flow chart of another asset risk pressure testing method provided by an embodiment of the present application;
FIG. 5 is a block diagram of an asset risk pressure testing device according to an embodiment of the present disclosure;
fig. 6 is a structural diagram of an electronic device according to an embodiment of the present application.
Detailed Description
Features and exemplary embodiments of various aspects of the present application will be described in detail below, and in order to make objects, technical solutions and advantages of the present application more apparent, the present application will be further described in detail below with reference to the accompanying drawings and the embodiments. It should be understood that the specific embodiments described herein are merely illustrative of the present application and are not intended to limit the present application. It will be apparent to one skilled in the art that the present application may be practiced without some of these specific details. The following description of the embodiments is merely intended to provide a better understanding of the present application by illustrating examples thereof.
It is noted that, herein, relational terms such as first and second, and the like may be used solely to distinguish one entity or action from another entity or action without necessarily requiring or implying any actual such relationship or order between such entities or actions. Also, the terms "comprises," "comprising," or any other variation thereof, are intended to cover a non-exclusive inclusion, such that a process, method, article, or apparatus that comprises a list of elements does not include only those elements but may include other elements not expressly listed or inherent to such process, method, article, or apparatus. Without further limitation, an element defined by the phrase "comprising … …" does not exclude the presence of additional identical elements in the process, method, article, or apparatus that comprises the element. It should be noted that all the embodiments of the present application conform to the relevant regulations of national laws and regulations in terms of data acquisition, storage, use, processing, and the like.
Some terms to be used in the embodiments of the present application will be explained below.
Risk factors: risk factors that trigger or cause risk events to occur, resulting in loss of investment assets.
Pressure scenario: the pressure factor may be a description of a variable state, which is assumed to bring fluctuation to a pressure bearing object, and can be generally divided into a history scenario and an expert scenario.
And (3) pressure testing: and calculating the risk condition of the investment product under the extremely adverse market condition through a related metering model, and realizing the risk analysis of the investment transaction under the simulation impact of historical scenes, expert scenes and the like.
Flowable: and the open-source workflow engine supports the development and configuration of the business process and is used for workflow management.
Nowadays, with the development of economy, the types of assets for users to invest are more and more, and the risks are also more and more. As described above, asset risk stress testing of financial institutions such as financial companies can assess and judge their vulnerability, urging them to take effective and effective measures to cope with possible extreme market changes.
At present, assets acted by risk factors are excessively designed on a code level, when external market data or external business data change, developers need to modify bottom codes according to the change of the external market data or the external business data, the process is complicated, and the implementation of pressure tests is not facilitated.
Therefore, the embodiment of the application provides an asset risk pressure testing method, which can improve the testing efficiency of the asset risk pressure testing.
The asset risk pressure testing method provided in the embodiment of the present application is described below with reference to specific embodiments, and fig. 1 is a flowchart of the asset risk pressure testing method provided in the embodiment of the present application. The method can be used for carrying out risk pressure test on investment assets of a certain financial institution. The method can be applied to electronic devices, which can include but are not limited to mobile phones, tablet computers, notebook computers, palmtop computers, and the like.
As shown in fig. 1, the asset risk pressure testing method may include the steps of:
and S110, acquiring assets to be tested.
S120, determining a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and the pre-constructed risk factor tree.
And the risk factor tree is used for displaying the incidence relation between the risk factors and the test assets.
And S130, performing pressure test on the assets to be tested according to the target risk factors and the target pressure situation to obtain test results.
In the embodiment of the application, a target risk factor corresponding to the asset to be tested and a target pressure scenario corresponding to the target risk factor can be determined according to the asset to be tested and a pre-constructed risk factor tree, and then the asset to be tested is subjected to pressure testing according to the target risk factor and the target pressure scenario to obtain a testing result. Because the incidence relation between the risk factors and the test assets is established in advance, when the assets to be tested are determined, the risk factors related to the assets to be tested can be determined directly and effectively on the basis of the risk factor tree, and the determination by business personnel in combination with market data is not needed, so that the time is saved, and the test efficiency of the pressure test is improved.
The above steps are described in detail below, specifically as follows:
in S110, the embodiment of the present application does not limit the type and number of assets to be tested, for example, the assets to be tested may be one asset or a combination of multiple assets, where the multiple assets may be assets under the same type of investment product, so that the risk pressure test on the type of investment product may be implemented.
In order to quickly determine the assets to be tested from the mass investment products, in some embodiments, the testing requirements can be preset, and the assets to be tested can be quickly determined based on the testing requirements. Accordingly, the above S110 may include the steps of:
acquiring a test requirement, wherein the test requirement at least comprises an asset type;
and according to the asset type, acquiring the assets to be tested corresponding to the asset type from the product database.
The testing requirement can comprise the asset type, parameters such as a recruitment mode, a recruitment object and an operation mode, for example, for the asset type of stock fund, the recruitment mode is public fund, the operation mode is open, the recruitment object is a non-institution investor, the asset to be tested can be quickly determined to be the public open stock fund, the asset to be tested does not need to be manually selected from mass investment products, and therefore the acquisition efficiency of the asset to be tested is improved.
In some embodiments, a corresponding portfolio can be configured in advance for a certain type of investment product, and the portfolio can contain a plurality of investment assets, so that a risk pressure test for a certain type of investment product can be realized quickly.
Illustratively, when configuring the combined package, information such as a name, parameters, and the like of the combined package may be configured. The parameters may include, but are not limited to, connectors, product attributes, comparators, attribute values, etc., and some parameters may be modified, added, or deleted as needed in actual applications. For example, for a portfolio, the product attributes may include recruitment style, operational style, first class classification of the galaxy fund, etc., and the corresponding attribute values may be the public, open, stock fund. Therefore, assets to be tested can be quickly determined from mass investment products, manpower is saved, and efficiency is improved.
The embodiment of the application not only supports the risk pressure test of a single investment asset, but also supports the risk pressure test of all investment assets in the combined package, and can also support the risk pressure test of the union of the combined package and the single investment asset, so that the flexibility of the risk pressure test of the asset is ensured, and different business requirements are met.
In S120, the risk factor tree is a tree structure constructed according to the association relationship between the test assets and the risk factors, and the risk factor tree can quickly determine the risk factor associated with a certain asset to be tested, so as to provide a basis for subsequent risk pressure tests. The risk factors in the risk factor tree can be flexibly adjusted according to business requirements, such as increasing, modifying or deleting, and auditing management can be performed through Flowable so as to meet the risk management requirements, so that the continuously changing market can be flexibly met.
For example, referring to fig. 2, fig. 2 is a schematic diagram of a risk factor tree provided in an embodiment of the present application, and fig. 2 exemplarily lists market risk factors, credit risk factors, floating risk factors, custom factors, and other factors, so that it is possible to avoid that the accuracy of the risk pressure test result is affected by a single risk factor. Each type of risk factor can be further refined according to business requirements, for example, the market risk factor can be further refined into interest rate type factors, interest type factors, exchange rate type factors and the like, the credit risk factor can be further refined into default rate factors and the like, and the liquidity risk factor can be further refined into asset scale change, asset scale capacity and the like. The refinement degree of each type of risk factor can be adaptively adjusted according to the business requirements.
The incidence relation between the risk factors and the test assets can be one-to-many or many-to-many, that is, one risk factor can correspond to a plurality of test assets, and a plurality of risk factors can correspond to a plurality of test assets. For example, a bond may be matched to a single conditional association of a certain rate of return curve, and a AAA level general corporate bond may be matched to a multiple conditional association of a certain rate of return curve. The incidence relation between the risk factors and the test assets can be flexibly changed according to business requirements. For example, if a regulatory company classifies assets into other categories, the risk factors associated with the assets may be adjusted accordingly.
According to the embodiment of the application, the risk factor trees are constructed in advance, the matching relation between the test assets and the risk factors is flexibly established, better pressure risk service can be provided for relevant mechanisms, meanwhile, when the risk pressure test is required to be carried out on a certain asset to be tested, the risk factors relevant to the asset to be tested can be quickly associated based on the risk factor trees, and the test efficiency of the risk pressure test is improved. For example, when the types of the debts of the market enterprises are increased and the profitability curve is changed, the corresponding risk factors can be quickly positioned according to the matching time so as to adapt to the market demands which are changed quickly.
In some embodiments, the risk factor tree may be generated by:
obtaining market data;
carrying out data processing on market data to obtain a risk factor set;
for each risk factor in the set of risk factors, determining a test asset associated with the risk factor;
and generating a risk factor tree according to the incidence relation between the risk factors and the test assets.
The market data may include native data of external markets such as wan, money, road penetration, etc., and may be other external market data. For example, referring to fig. 3, the obtained unstructured native data may be normalized by an open source scheduling tool such as airflow based on a big data platform, that is, the unstructured native data is converted into structured data, so as to obtain a data SetoriginConsidering that there may be some useless data in the native data, to avoid its effect on the test result, Set may be applied to the data SetoriginPerforming data cleaning and integration to remove useless redundant data to obtain an integrated data SetintegrationThe data Set can then be integrated by means of the corresponding model pairintegrationProcessing to obtain a risk factor SetriskfactorFor example, market risk interest risk factors such as a medium-debt national bond profitability curve, a medium-debt fixed interest asset support certificate profitability curve (a +), a middle-short term bill profitability curve (AAA) between banks, and the like can be generated by a method such as cubic spline interpolation, lagrange interpolation, and the like.
According to the embodiment of the application, the accessed external market data can be rapidly processed through the big data platform, data integration is carried out on different market data, unified management of the native data and the derived data is effectively achieved, and the comprehensiveness of the risk factors is guaranteed.
For each risk factor, exemplarily, the test asset associated with each risk factor may be determined based on historical data, business requirements and other manners, so as to obtain the association relationship between the test asset and each risk factor, and based on the association relationship between each risk factor and each test asset, the association relationship between each risk factor and each test asset may be obtainedTo generate a risk factor Tree as shown in fig. 2riskfactor-AssetAnd a foundation is provided for subsequent risk pressure tests.
The target pressure scenario is a pressure scenario corresponding to the target risk factor, that is, a scenario for performing a risk pressure test. Illustratively, a history or expert scenario required for the risk stress test, i.e. a target stress scenario, may be constructed based on the target risk factor.
For example, a stress test scenario of a financial crisis cash product in 2008 is simulated, and, illustratively, intervals of the stress scenario such as 2008-12-01 to 2008-12-30 may be configured; setting the source of the beta value of the stock, for example, the beta value can be obtained by calculating the Shanghai depth 300 index, and can also be directly based on the beta value provided by the market; and then configuring a scenario factor based on the predetermined target risk factor market risk factor and the predetermined liquidity risk factor, and performing flow auditing management through the Flowable, so as to meet the risk management requirement and obtain a target pressure scenario. In practical application, the scene factors can be flexibly adjusted according to business requirements.
In S130, after the target risk factor and the target pressure scenario are determined, a risk pressure test may be performed on the asset to be tested to determine a scenario price of the asset under the target pressure scenario as a test result.
Exemplarily, referring to fig. 4, the asset risk pressure testing method provided by the embodiment of the present application may further include the following steps.
And S410, acquiring the assets to be tested.
S420, determining a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and the pre-constructed risk factor tree.
And S430, acquiring a target metering model corresponding to the target risk factor.
S440, determining the scenario price of the asset to be tested under the target pressure scenario according to the target metering model.
The processes of S410 and S420 may refer to S110 and S120 in the above embodiments, and are not described herein again for brevity. S430 and S440 are described in detail below, and are specifically shown below.
In S430, the metering model is used to calculate a scenario price of the asset to be tested, i.e., a price under the relevant pressure scenario. Different risk factors can correspond to different metering models, and the metering models corresponding to the risk factors can be preset, so that after assets to be tested are determined, the scenario price can be determined based on the metering models corresponding to the related risk factors, and the bottom codes do not need to be modified by developers, so that the work of the developers is simplified, and the efficiency is improved.
For example, a debt earning rate curve X of a medium-debt enterprise and ratings corresponding to the medium debt, such as BBB, are adopted by a certain organization, a bond earning rate curve Y is reconstructed later, a self-built credit rating system is established, and rating symbols are adjusted to be 3B. If a certain asset to be tested is influenced by a plurality of risk factors, the situation price of the asset can be comprehensively determined directly according to a plurality of metering models corresponding to the risk factors, so that the influence of different risk factors and the correlation of the asset to be tested is fully considered, and the accuracy of the test result is improved.
In S440, the scenario price of the asset to be tested under the target pressure situation can be determined according to the target metering model without the need of a bottom code of a developer, so that the operation of the developer is simplified, and the pressure testing efficiency is improved.
For example, all or individual test assets can be flexibly selected from the portfolio, and based on the preconfigured pressure scenario, a manual pressure test or a periodic timing pressure test can be performed to obtain a test report. Wherein a future zone or end date may be selected when the stress test is performed.
The embodiment of the application not only supports the establishment of the association matching relationship according to multiple conditions such as asset classes, asset grades and the like, but also supports the establishment of the single condition association relationship according to the asset classes, and realizes the flexible matching between the tested assets and the risk factors; meanwhile, various types of risk factors are supported to carry out risk pressure test, and the comprehensiveness of test results is improved.
Based on the same inventive concept, the embodiment of the present application further provides an asset risk pressure testing apparatus, and the following describes in detail the asset risk pressure testing apparatus provided by the embodiment of the present application with reference to fig. 5.
Fig. 5 is a structural diagram of an asset risk pressure testing device according to an embodiment of the present application.
As shown in fig. 5, the asset risk pressure testing apparatus may include:
an obtaining module 51, configured to obtain an asset to be tested;
a determining module 52, configured to determine, according to the assets to be tested and the pre-constructed risk factor tree, a target risk factor corresponding to the assets to be tested and a target pressure scenario corresponding to the target risk factor, where the risk factor tree is used to display an association relationship between the risk factor and the assets to be tested;
and the test module 53 is configured to perform a pressure test on the asset to be tested according to the target risk factor and the target pressure situation, so as to obtain a test result.
In the embodiment of the application, a target risk factor corresponding to the asset to be tested and a target pressure scenario corresponding to the target risk factor can be determined according to the asset to be tested and a pre-constructed risk factor tree, and then the asset to be tested is subjected to pressure testing according to the target risk factor and the target pressure scenario to obtain a testing result. Because the incidence relation between the risk factors and the test assets is established in advance, when the assets to be tested are determined, the risk factors related to the assets to be tested can be determined directly and effectively on the basis of the risk factor tree, and the determination by business personnel in combination with market data is not needed, so that the time is saved, and the test efficiency of the pressure test is improved.
In some embodiments, the obtaining module 51 is further configured to obtain market data before obtaining the assets to be tested;
the apparatus may further include:
the processing module is used for carrying out data processing on the market data to obtain a risk factor set;
and the generating module is used for generating a risk factor tree according to the incidence relation between the risk factor and the test asset.
In some embodiments, the test module 53 is specifically configured to:
acquiring a target metering model corresponding to the target risk factor;
and determining the scene price of the asset to be tested under the target pressure scene according to the target metering model.
In some embodiments, the obtaining module 51 is specifically configured to:
acquiring a test requirement, wherein the test requirement at least comprises an asset type;
and according to the asset type, acquiring the assets to be tested corresponding to the asset type from the product database.
In some embodiments, the risk factor comprises at least one of: market risk factors, credit risk factors, liquidity risk factors, and custom risk factors.
Each module in the apparatus shown in fig. 5 has a function of implementing each step in fig. 1 and fig. 4 and can achieve a corresponding technical effect, and for brevity, details are not repeated here.
Based on the same inventive concept, the embodiment of the present application further provides an electronic device, which may be, for example, a mobile phone, a tablet computer, a notebook computer, a palm computer, and the like. The electronic device provided by the embodiment of the present application is described in detail below with reference to fig. 6.
As shown in fig. 6, the electronic device may include a processor 61 and a memory 62 for storing computer program instructions.
The processor 61 may include a Central Processing Unit (CPU), or an Application Specific Integrated Circuit (ASIC), or may be configured as one or more Integrated circuits implementing embodiments of the present Application.
Memory 62 may include mass storage for data or instructions. By way of example, and not limitation, memory 62 may include a Hard Disk Drive (HDD), a floppy Disk Drive, flash memory, an optical Disk, a magneto-optical Disk, tape, or a Universal Serial Bus (USB) Drive or a combination of two or more of these. In one example, memory 62 may include removable or non-removable (or fixed) media, or memory 62 is non-volatile solid-state memory. In one example, the Memory 62 may be a Read Only Memory (ROM). In one example, the ROM may be mask programmed ROM, programmable ROM (prom), erasable prom (eprom), electrically erasable prom (eeprom), electrically rewritable ROM (earom), or flash memory, or a combination of two or more of these.
The processor 61 reads and executes the computer program instructions stored in the memory 62 to implement the method in the embodiment shown in fig. 1 and 4, and achieve the corresponding technical effect achieved by the embodiment shown in fig. 1 and 4 executing the method, which is not described herein again for brevity.
In one example, the electronic device may also include a communication interface 63 and a bus 64. As shown in fig. 6, the processor 61, the memory 62, and the communication interface 63 are connected via a bus 64 to complete communication therebetween.
The communication interface 63 is mainly used for implementing communication between modules, apparatuses, and/or devices in the embodiment of the present application.
The bus 64 comprises hardware, software, or both to couple the various components of the electronic device to one another. By way of example, and not limitation, Bus 64 may include an Accelerated Graphics Port (AGP) or other Graphics Bus, an Enhanced Industry Standard Architecture (EISA) Bus, a Front-Side Bus (Front Side Bus, FSB), a HyperTransport (HT) interconnect, an Industry Standard Architecture (ISA) Bus, an InfiniBand interconnect, a Low Pin Count (LPC) Bus, a memory Bus, a Micro Channel Architecture (MCA) Bus, a Peripheral Component Interconnect (PCI) Bus, a PCI-Express (PCI-X) Bus, a Serial Advanced Technology Attachment (SATA) Bus, a video electronics standards Association local (VLB) Bus, or other suitable Bus or a combination of two or more of these. Bus 64 may include one or more buses, where appropriate. Although specific buses are described and shown in the embodiments of the application, any suitable buses or interconnects are contemplated by the application.
After acquiring the assets to be tested, the electronic device may execute the asset risk pressure testing method in the embodiment of the present application, so as to implement the asset risk pressure testing method described with reference to fig. 1 and the asset risk pressure testing apparatus described with reference to fig. 5.
In addition, in combination with the asset risk pressure testing method in the foregoing embodiment, the embodiment of the present application may be implemented by providing a computer storage medium. The computer storage medium having computer program instructions stored thereon; the computer program instructions, when executed by a processor, implement any of the asset risk stress testing methods of the embodiments described above.
It is to be understood that the present application is not limited to the particular arrangements and instrumentalities described above and shown in the attached drawings. A detailed description of known methods is omitted herein for the sake of brevity. In the above embodiments, several specific steps are described and shown as examples. However, the method processes of the present application are not limited to the specific steps described and illustrated, and those skilled in the art can make various changes, modifications, and additions or change the order between the steps after comprehending the spirit of the present application.
The functional blocks shown in the above-described structural block diagrams may be implemented as hardware, software, firmware, or a combination thereof. When implemented in hardware, it may be, for example, an electronic Circuit, an Application Specific Integrated Circuit (ASIC), suitable firmware, plug-in, function card, or the like. When implemented in software, the elements of the present application are the programs or code segments used to perform the required tasks. The program or code segments can be stored in a machine-readable medium or transmitted by a data signal carried in a carrier wave over a transmission medium or a communication link. A "machine-readable medium" may include any medium that can store or transfer information. Examples of a machine-readable medium include electronic circuits, semiconductor memory devices, ROM, flash memory, Erasable ROM (EROM), floppy disks, CD-ROMs, optical disks, hard disks, fiber optic media, Radio Frequency (RF) links, and so forth. The code segments may be downloaded via computer networks such as the internet, intranet, etc.
It should also be noted that the exemplary embodiments mentioned in this application describe some methods or systems based on a series of steps or devices. However, the present application is not limited to the order of the above-described steps, that is, the steps may be performed in the order mentioned in the embodiments, may be performed in an order different from the order in the embodiments, or may be performed simultaneously.
Aspects of embodiments of the present application are described above with reference to flowchart illustrations and/or block diagrams of methods, apparatus (systems) and computer program products according to embodiments of the application. It will be understood that each block of the flowchart illustrations and/or block diagrams, and combinations of blocks in the flowchart illustrations and/or block diagrams, can be implemented by computer program instructions. These computer program instructions may be provided to a processor of a general purpose computer, special purpose computer, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, enable the implementation of the functions/acts specified in the flowchart and/or block diagram block or blocks. Such a processor may be, but is not limited to, a general purpose processor, a special purpose processor, an application specific processor, or a field programmable logic circuit. It will also be understood that each block of the block diagrams and/or flowchart illustration, and combinations of blocks in the block diagrams and/or flowchart illustration, can be implemented by special purpose hardware for performing the specified functions or acts, or combinations of special purpose hardware and computer instructions.
As described above, only the specific embodiments of the present application are provided, and it can be clearly understood by those skilled in the art that, for convenience and brevity of description, the specific working processes of the system, the module and the unit described above may refer to the corresponding processes in the foregoing method embodiments, and are not described herein again. It should be understood that the scope of the present application is not limited thereto, and any person skilled in the art can easily conceive various equivalent modifications or substitutions within the technical scope of the present application, and these modifications or substitutions should be covered within the scope of the present application.

Claims (10)

1. An asset risk stress testing method, comprising:
acquiring assets to be tested;
determining a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and a pre-constructed risk factor tree, wherein the risk factor tree is used for displaying an incidence relation between a risk factor and a test asset;
and carrying out pressure test on the assets to be tested according to the target risk factors and the target pressure situation to obtain a test result.
2. The method of claim 1, wherein prior to obtaining the asset to be tested, the method further comprises:
obtaining market data;
carrying out data processing on the market data to obtain a risk factor set;
for each risk factor in the set of risk factors, determining a test asset associated with the risk factor;
and generating a risk factor tree according to the incidence relation between the risk factors and the test assets.
3. The method of claim 1, wherein the stress testing the assets to be tested according to the target risk factors and the target stress situations to obtain the test results comprises:
acquiring a target metering model corresponding to the target risk factor;
and determining the scene price of the assets to be tested under the target pressure scene according to the target metering model.
4. The method of claim 1, wherein said obtaining assets to be tested comprises:
acquiring test requirements, wherein the test requirements at least comprise asset types;
and acquiring the assets to be tested corresponding to the asset types from a product database according to the asset types.
5. The method of claim 1, wherein the risk factors include at least one of: market risk factors, credit risk factors, liquidity risk factors, and custom risk factors.
6. An asset risk pressure testing device, comprising:
the acquisition module is used for acquiring assets to be tested;
the determining module is used for determining a target risk factor corresponding to the asset to be tested and a target pressure situation corresponding to the target risk factor according to the asset to be tested and a pre-constructed risk factor tree, and the risk factor tree is used for displaying an incidence relation between the risk factor and the asset to be tested;
and the testing module is used for carrying out pressure testing on the assets to be tested according to the target risk factors and the target pressure situation to obtain a testing result.
7. The apparatus of claim 6, wherein the obtaining module is further configured to obtain market data prior to obtaining the asset to be tested;
the device further comprises:
the processing module is used for carrying out data processing on the market data to obtain a risk factor set;
and the generating module is used for generating a risk factor tree according to the incidence relation between the risk factors and the test assets.
8. An electronic device, comprising:
a processor;
a memory for storing computer program instructions;
the computer program instructions, when executed by the processor, implement the method of any of claims 1-5.
9. A computer-readable storage medium having computer program instructions stored thereon which, when executed by a processor, implement the method of any one of claims 1-5.
10. A computer program product, wherein instructions in the computer program product, when executed by a processor of an electronic device, cause the electronic device to perform the method of any of claims 1-5.
CN202210270180.XA 2022-03-18 2022-03-18 Asset risk pressure testing method, device, equipment and storage medium Pending CN114638503A (en)

Priority Applications (1)

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CN202210270180.XA CN114638503A (en) 2022-03-18 2022-03-18 Asset risk pressure testing method, device, equipment and storage medium

Applications Claiming Priority (1)

Application Number Priority Date Filing Date Title
CN202210270180.XA CN114638503A (en) 2022-03-18 2022-03-18 Asset risk pressure testing method, device, equipment and storage medium

Publications (1)

Publication Number Publication Date
CN114638503A true CN114638503A (en) 2022-06-17

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Country Link
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Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN115796597A (en) * 2022-12-20 2023-03-14 东方邦信金融科技(上海)有限公司 Risk pressure testing system, method and equipment

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN115796597A (en) * 2022-12-20 2023-03-14 东方邦信金融科技(上海)有限公司 Risk pressure testing system, method and equipment

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