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- W2382802743 abstract "This paper introduces a stress-testing model with a dummy variable,which stands for stripping non-performing loans of Agricultural Bank of China. The authors make use of logit to transform the rate of non-performing loan of major commercial banks into variable Y,the indicator to bear stress,and then build regression model on the basis of four explanation variables that are the growth rate of GDP,indicator of customer price,the growth rate of supplying nominal currency as well as indicator of house price. Finally,the relationship among variables according to VAR model is established. Based on the model,different scenarios are assumed and accordingly stress test to the non-performing loan of commercial banks is conducted. The test covers four quarters. It is discovered that the slow-down of growth rate of GDP,the drop of CPI,the slow-down of supplying nominal currency and the climb-up of house price indicator lead to different growth rate of non-performing loans in a short time.But in a long run,the system can gradually minimize the impact by the change of macro factors." @default.
- W2382802743 created "2016-06-24" @default.
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- W2382802743 date "2014-01-01" @default.
- W2382802743 modified "2023-09-23" @default.
- W2382802743 title "A Research of Stress Testing on Commercial Banks' Credit Risk by Introducing a Dummy Variable" @default.
- W2382802743 hasPublicationYear "2014" @default.
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