中国商业银行动态拨备提取方法及适度性研究

发布时间：2018-05-15 20:08

本文选题：贷款损失拨备 + 顺周期性　；参考：《复旦大学》2013年硕士论文

【摘要】：2008年开始的这轮全球金融危机,引发了对金融体系顺周期性的广泛关注,涌现出了大量对顺周期性的成因及应对策略方面的研究。其中,商业银行贷款损失拨备被学术界普遍认为是银行体系顺周期性的诱因之一,因而对贷款损失拨备的作用机理及缓解方式的研究成为了当务之急。从理论上讲,贷款损失拨备是用来应对银行的预期损失,理应增强银行经营的稳健性,但受到当前的计提方法等因素的限制,银行在经济繁荣时期,出于违约率较低的原因,计提的贷款损失拨备量较少,而在经济陷入衰退时,随着违约事件的不断增加,银行开始大量计提拨备,客观上就加剧了银行贷款的顺周期波动。动态准备制度的引入,被认为是一种缓解贷款损失拨备顺周期性的有效手段,但在实际运行中还存在一定的问题。本文针对这些问题,从动态拨备的作用机理出发,在总结国际和国内现有动态拨备制度的经验及不足的基础上,提出了一种新的前瞻性拨备计提方法,并利用我国的2002-2012年的拨备数据数据对监管部门所要求的拨备量及银行自身实际计提的拨备水平的适度性进行了研判。结果表明,我国当前的拨备监管标准存在偏高的可能,而过量的贷款损失拨备会覆盖到银行的非预期损失,这就会催生银行贷款意愿降低、会计报告失真等问题,从而增加银行体系的风险。本文的主要贡献在于提出了一种较现有制度更具前瞻性的动态拨备提取方法,该方法能够较好的解决当前动态拨备的提取对贷款五级分类依赖度较高的问题,且具有较高的可操作性。
[Abstract]:The global financial crisis, which began in 2008, has triggered a wide range of concerns about the CIS cycle of the financial system, and a large number of studies have emerged on the causes of CIS cyclical and coping strategies. In theory, the provision of loan loss should be used to cope with the expected loss of the bank, and should enhance the robustness of the bank's operation, but the bank is under the limit of the current method of planning and other factors. In the period of economic prosperity, the loan loss is taken out of the lower default rate. While the amount of provision is less, while the economy has fallen into recession, with the continuous increase of default events, the bank began to make a large amount of provision, which objectively aggravated the CIS cycle fluctuation of bank loans. The introduction of dynamic preparation system is considered as an effective means to alleviate the cyclical nature of loan losses, but there is still a certain extent in the actual operation. Problem.
In view of these problems, based on the mechanism of dynamic provisioning, and on the basis of summing up the experience and deficiency of the existing dynamic reserve system in the world and in China, a new forward looking reserve method is put forward, and the amount of reserve required by the supervision department and the actual bank's own actual conditions are used in the 2002-2012 years of our country's dial data data. The results show that there is a high possibility of the current reserve regulatory standards in our country, and the overdose of loan losses will cover the expected loss of the bank, which will lead to a decrease in the willingness of the bank and the distortion of the accounting report, thus increasing the risk of the banking system.
The main contribution of this paper is to propose a more forward-looking dynamic dial extraction method which is more forward-looking than the existing system. This method can better solve the problem of high dependence on the five level classification of the loan, and has high operability.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F224

【参考文献】