Abstract: In recent years, City Commercial Banks have gradually developed.But with the macroeconomic environment changes, City Commercial Banks are facing new challenges. The financial crisis in history make us recognized that risk management under normal market conditions is far from enough. We should take into account the impact of extreme market conditions on banks. Stress testing can measure the loss of banks when the rare but possible macroeconomic shocks happened. In practice, stress testing is getting more and more applications. This paper takes the credit risk of City Commercial Banks as the research object. Firstly, it expounds the importance of studying the change of credit risk in urban commercial banks under extreme scenarios. Secondly, it introduces the related concepts of credit risk and the theory of stress testing. Then, we choose the Wilson Model as the model of stress test, use the non-performing loan ratio as the dependent variable, and use the appropriate macroeconomic factor as the independent variable to establish the credit risk stress test model.The results show that the growth rate of GDP, loan interest rates and banking prosperity index have a great impact on the credit risk of commercial banks. Finally, this paper makes an empirical study on the credit risk of City Commercial Bank. We set different levels of stress scenarios, and test the changes of credit risk.Empirical results show that when City Commercial Bank received a macro pressure impact, the non-performing loan ratio will be a substantial rise.Accordingly, the credit risk increases. But through comparative analysis of the relationship between loan loss and there serves for non-performing loans, we found that the anti-pressure ability of China City Commercial Bank is strong. Even if in the severe impact of macroeconomic, the capital of China City Commercial Bank is still sufficient to compensate for the loss of credit risk losses.
Keywords: City Commercial Banks, Credit Risk, Stress Testing, Non-Performing Loan Ratio, Wilson Model