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加中金融

（二）压力测试的主要步骤 (2) Main steps of stress testing

(a) Scenarios generation and expansion: Every year the Fed Reserve
（1）情景生成与扩展。美联储每年都会生成一些情景，
包括基础情景、不利情景和严重不利情景，其中主要包括 generates some scenarios, including baseline scenarios, adverse
scenarios, and severely adverse scenarios (but only two scenarios –
28 个经济金融主要变量，而对于银行控股公司来说，需要 baseline and severely adverse scenarios published in 2020). Each
上千种输入变量才能对所有资产和负债进行定价和估值， scenario includes 28 major economic and financial variables. A
从 28 个变量扩展成数千种变量的过程称之为情景扩展。 bank holding company requires an input of thousands of risk factors
to price and evaluate all assets and liabilities. The process of
（2）定价与估值。定价与估值是金融公司核心的能力， expanding from 28 variables to thousands of factors is called
相比于我国大多数的金融机构尚未建立完善的定价体系， scenario expansion.
美国压力测试不仅要求对今天的资产负债做定价，还要对
未来（例如三年）时间的资产负债做定价，这种“未来估 (b) Pricing and valuation: Pricing and valuation are the core
值”要求公司根据未来可能的经济环境状况进行估值。 capabilities of financial companies. While most of China’s financial
institutions have not yet established a comprehensive pricing system,
类似于近年我国证券行业提出的“动态压力测试”，美国 the US stress test requires not only pricing the present assets and
的压力测试从一开始就是动态的。 liabilities, but also valuations (for example, three years) of projected
assets and liabilities. This “future valuation” requires the company
（3）未来资产负债表的建立。根据前述的估值定价，确 to conduct an evaluation of the plausible future economic
立不同时间、不同业务和不同资产的价值，将其编制为资 environment. Similar to the "dynamic stress test" proposed by
产负债表。 Chinese securities industry in recent years, the stress test in the
United States has been dynamic from the beginning.

(c) The establishment of future balance sheets: Based on the

valuation and pricing mentioned above, determine the values at
三、解决问题三部曲（GMP） different time, for different business and different assets, and then
compile them into a balance sheet.
在压力测试以及其他一些风险管理建模等流程进行中，往
往会遇到各种各样的问题，要解决此类问题，应当按照以 3. Problem Solving Trilogy (GMP)
下步骤来进行： There could encounter various problems in the process of stress
testing and other risk management modeling. To solve such
首先是公司治理，要求公司最高层管理人员，每个部门最
problems, the following steps should be followed:
高层管理人员以及每个团队的高级管理人员都应当对自身
在风险管理中的责任和义务进行明确，整个公司要有全局 The first is corporate governance, which requires the company’s top
性的思维，协调各部门间的任务分工，提高执行力和执行 management, the management of each department, and the senior
management of each team to clarify their roles and responsibilities
效率。
in risk management. The company must have a holistic thinking, and
其次是方法，公司需要整体分析框架来“关联”所有看似 coordinate divisions of tasks among various departments, improve
capability and efficiency of execution.
迥然不同但内在相关的部分；同时，还需要建立能为整个
企业范围的实施提供指导的方法。 The second is the method. A company requires an integrated
analysis framework to "coordinate" all seemingly different but
最后是平台，公司需要对所有业务良好理解，并构筑起灵
internally connected parts. It also needs to establish a constructive
活敏捷、有前瞻性、基于应用服务的应用框架。只有严格 approach that can provide guidance for enterprise-wide
遵循顺序按照这三个步骤，才能较为圆满地解决公司在建 implementation.
立全面风险管理体系的过程中所遇到的问题。
Finally, it is the platform. A company needs to have a good
understanding of all businesses, and build a flexible and agile,
forward-looking, and service-based application framework. Only
when strictly following these three steps in sequence, the company
can satisfactorily resolve the problems encountered during the

process of establishing a comprehensive risk management system.

CCFA JOURNAL OF FINANCE AUGUST 2020 Page 29 第29页