stress test: 压力测试

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    最近媒体上报道比较多的压力测试，在网上查了查具体是什么意思。

压力测试（stress test）：

    根据百度百科，压力测试（stress testing）是指将整个金融机构或资产组合置于某一特定的（主观想象的）极端市场情况下，如假设利率骤升100个基本点，某一货币突然贬值30%，股价暴跌20%等异常的市场变化，然后测试该金融机构或资产组合在这些关键市场变量突变的压力下的表现状况，看是否能经受得起这种市场的突变。测试的质量取决于构造合理、清晰、全面的情景。

    Wikipedia的解释则显得更为明晰一点：The Supervisory Capital Assessment Program, publicly described as the bank stress tests (even though a number of the companies subject to them are not banks), is an assessment of capital being conducted by the Federal Reserve System and thrift supervisors to determine if the largest U.S. financial organizations have sufficient capital buffers to withstand the recession and the financial market turmoil. They use two macroeconomic scenarios, one based on baseline conditions and the other with more pessimistic expectations, to plot a 'What If?' exploration into the banking situation in 2010 and the rest of 2009.[1] Nineteen banks were looked at.[2] The results of the tests were released on May 7, 2009

    压力测试包括敏感性测试和情景测试等具体方法。敏感性测试旨在测量单个重要风险因素或少数几项关系密切的因素由于假设变动对银行风险暴露和银行承受风险能力的影响。情景测试是假设分析多个风险因素同时发生变化以及某些极端不利事件发生对银行风险暴露和银行承受风险能力的影响。

压力测试的作用：

　　压力测试可以帮助识别那些可能提高异常利润或损失发生概率的事件或情境，度量这些事件发生时银行资本充足率状况。　　

    压力测试能够帮助商业银行充分了解潜在风险因素与银行财务状况之间的关系，深入分析银行抵御风险的能力，形成供董事会和高级管理层讨论并决定实施的应对措施，预防极端事件可能对银行带来的冲击。对于日常管理中广泛应用各类风险计量模型的银行，压力测试应成为模型方法的重要补充。压力测试也能够帮助银监会充分了解单家银行和银行业体系的风险状况和风险抵御能力。

被测试的银行和结果：

In order of decreasing assets, the nineteen bank holding companies being stress-tested are:

Bank of America, needs $33.9 billion additional capital

JPMorgan Chase, adequate

Citigroup, needs $5.5 billion additional capital

Wells Fargo, needs $13.7 billion additional capital

Goldman Sachs, adequate

Morgan Stanley, needs $1.8 billion additional capital

Metropolitan Life Insurance Company, adequate

PNC Financial Services, needs $0.6 billion additional capital

U.S. Bancorp, adequate

The Bank of New York Mellon, adequate

GMAC, needs $11.5 billion additional capital

SunTrust Banks, needs $2.2 billion additional capital

Capital One, adequate

BB&T, adequate

Regions Financial Corporation, needs $2.5 billion additional capital

State Street Corporation, adequate

American Express, adequate

Fifth Third Bank, needs $1.1 billion additional capital

KeyCorp, needs $1.8 billion additional capital

The capital needs found by the test are based on the adverse scenario for the recession. All of these bank holding companies currently exceed the legally mandated capital requirements. However, the government will try by extra-legal means to compel those who are found to need more to obtain it.

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