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加中金融

二、美国在金融危机后的重要改革：压力测试 2. The important reform of the United States after
the financial crisis: stress test
（一）压力测试概述
(1) Overview of stress testing
金融危机期间，美国有许多家大的金融机构倒闭，为此美
国金融业做了许多反思，也付诸了行动，其中一项很重要 During the financial crisis, many major financial institutions in the
的措施就是综合压力测试（DFAST-CCAR）。这一措施已经 United States went bankrupt. The US financial industry has made
实施了接近 10 年的时间，用来评估 35 家美国最大的银行 many analysis and took actions. One of the most important measures
控股公司的资本计划过程和资本充足性，包括公司的资本 is Dodd_Frank Act Stress Test (DFAST), a complementary exercise
计划行动，如股息支付和股票回购，并购等。而且，压力 to the comprehensive capital analysis and review (CCAR). This
measure has been implemented for nearly 10 years and used to
测试从最开始就是针对银行控股公司，而不是针对单一公 evaluate the capital planning process and capital adequacy for the
司的，因而从最开始就是穿透式的监管。 在和国内最近 35 largest US bank holding companies, including the company’s
谈到的“并表”类似。 capital planning, such as dividend payments and stock repurchases,
mergers and acquisitions. Moreover, the stress test is aimed at the
压力测试主要包括定量和定性两个因素的要求。定量因素 bank holding company, not a single subsidiary, which is a look-
要求企业在严重的经济和金融市场压力的假设情境下有足 through supervision from the beginning. It is similar to the
够的资本和流动性储备。定性因素包括的较为广泛，包括 "consolidated balance sheet" recently discussed in China.
公司资本规划全部过程的程序和管理，包括风险管理、内
部控制和支持该过程的治理实践。定性要求不是简单的要 Stress test mainly includes quantitative and qualitative factors.
Quantitative factors require companies to have sufficient capital and
求公司产生监管所需的数字，而是检查你产生这一数字的 liquidity reserves under hypothetical severe economic and financial
过程，包括情景假设，情景扩展， 模型的建设、模型验 market stress scenarios. Qualitative factors have broader coverage,
证、模型风险管理等等一系列内容。自 2009 年第一轮压 covering procedures and management of the entire process of the
力测试至 2017 年第四季度，美国金融业的资本金从 5.2% company’s capital planning, including risk management, internal
增长至 12.3%，大大降低了大型金融企业的风险偏好。 control, and governance practices that support the process.
Qualitative requirements are not simply asking the company to
压力测试（DFAST-CCAR）在治理、风险管理实践方面，特 generate the numbers required by regulation, but to evaluate the
别是在模型风险管理的正式过程、数据治理、全过程生产 processes that generate the numbers, including scenario assumptions,
环境、跨产品、跨资产和负债的内部一致性方面，对每个 scenario expansion, model development, model validation, model
银行控股公司都有很大的影响。 建立正式的治理结构和 risk management, and so on. From the first round of stress testing in
严格的过程、系统性建立从头到尾的生产环境系统对大多 2009 to the fourth quarter of 2017, the capital in the US financial
industry increased from 5.2% to 12.3%, that has greatly reduced the
数公司来说都是一个挑战，已经花费了数十亿美元，许多 risk appetite within large financial institutions.
公司新增的大多数员工都在风控部门和模型维护业务上。
Stress testing (DFAST-CCAR) is applied to each bank holding
company and has significant impact on its governance and risk
management practices, especially in the internal consistency of

formal process of model risk management, data governance, entire
process environment, cross-product, and cross- balance sheet. It is a

big challenge to each bank for establishing a formal governance
structure and robust processes, and systematically establishing an
end-to-end production environment system. The banks have spent
billions of dollars for these, and many of new employees have been
hired for risk and control management and model maintenance.

CCFA JOURNAL OF FINANCE AUGUST 2020 Page 28 第28页