基于动态和前瞻性的贷款损失拨备适度性研究

发布时间：2018-04-01 01:22

本文选题：贷款损失准备　切入点：动态准备　出处：《金融研究》2011年12期

【摘要】：本文提出了一种动态和前瞻性的贷款损失准备方法,它允许我们在不同时间维度上估算各种情景下银行理论上应计提的贷款损失准备数量,在将之与监管当局要求的应提准备、以及银行自身的实提准备进行比较后,能对我国商业银行贷款损失拨备管理的适度性进行研判。研究表明我国商业银行当前的实提准备水平可能不低于其信贷资产的实际预期损失,而且监管当局对商业银行的贷款损失准备要求偏高了,但若从未来5年甚至更长时间维度内的预期损失的水平与变动趋势来看,其贷款损失准备要求又似有一定的合理性,但这并非意味商业银行在进行信贷风险评估和准备计提时,就应将较长时间维度内的不确定性预期纳入其决策范围。若监管当局和银行在设定和执行贷款损失准备政策时,考虑了信贷风险在太长时间维度内的动态特征和不确定预期,则很可能将部分本应作为资本管理的风险缓冲调整到贷款损失准备之中,这将混淆资本管理和贷款损失准备管理之间的数量边界以及它们对贷款损失和风险的覆盖与缓冲内涵。
[Abstract]:This paper presents a dynamic and forward-looking method for preparing loan losses, which allows us to estimate the amount of loan loss reserves that banks should theoretically charge under various scenarios in different time dimensions, and prepare them with the requirements of the regulatory authorities. And the banks themselves are prepared to compare, It is possible to study and judge the appropriateness of the management of loan loss provisions for commercial banks in China. The research shows that the current level of actual reserve of commercial banks in China may not be lower than the actual expected losses of their credit assets. Moreover, the regulatory authorities have high requirements for loan loss preparation of commercial banks. However, judging from the level and trend of expected losses in the next five years or more, the requirements for loan loss preparation seem to be reasonable to some extent. However, this does not mean that commercial banks should include uncertainty expectations in a longer period of time in their decision making while conducting credit risk assessment and preparation. If regulators and banks are setting up and implementing loan loss preparation policies, Taking into account the dynamic characteristics and uncertain expectations of credit risk over too long, it is likely that some of the risk buffers that should be used as risk buffers for capital management will be adjusted to loan loss preparation. This will confuse the quantitative boundaries between capital management and loan loss reserve management and their coverage and buffer of loan losses and risks.
【作者单位】：复旦大学经济学院;西北大学;
【基金】：国家自然科学基金(70903012) 教育部人文社会科学研究基金(09YJC790045) 复旦大学金苗项目(09JM030)的资助
【分类号】：F832.4

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