上市商业银行贷款减值计提影响因素研究

发布时间：2017-12-27 05:07

本文关键词：上市商业银行贷款减值计提影响因素研究　出处：《南京农业大学》2015年硕士论文　论文类型：学位论文

【摘要】：贷款减值准备是为了防止贷款风险给银行造成一定量的损失而提取的,是商业银行持续稳健运营的前提保证。尤其是2008年金融危机爆发后,各国商业银行更加重视贷款减值准备计提工作,银行监管部门先后出台了一系列政策对商业银行贷款减值准备计提事项提出了更高要求。本文首先概括了国内外有关贷款减值计提的相关文献,从贷款减值与资本管理研究、贷款减值与经济周期研究、贷款减值与利润平滑研究、贷款减值与运营前景信号这四个方面进行归纳总结。其次,论文回顾了我国上市商业银行贷款减值计提的相关理论和制度。阐述了我国贷款减值计提制度经历了按单一比例计提、按贷款质量分类计提以及按贷款现值计量结果计提三个阶段。本文以上市商业银行为研究对象,采用2007年一 2013年的数据,从贷款减值与资本管理、贷款减值与经济周期、贷款减值与利润平滑、贷款减值与运营前景信号、贷款减值与风险控制五个角度研究商业银行贷款减值计提影响因素问题。实证结果显示:资本充足率与贷款减值准备计提率正相关,资本充足率越高可能计提越多的贷款减值准备;贷款增长率与贷款减值准备计提率负相关,当经济繁荣发展时商业银行增加贷款发放量,减少贷款减值准备计提量;盈余管理变量与贷款减值准备计提率正相关,收益越高商业银行计提越多的贷款减值准备;不良贷款率与贷款减值准备计提率正相关,不良贷款率越高发生财务风险的可能性越大,商业银行越会计提较多的贷款减值准备;资产负债率与贷款减值准备计提率正相关,资产负债率越高商业银行财务风险越大,越会计提较多的贷款减值准备;信号传递变量与贷款减值准备计提率没有通过显著性检验,并且回归结果与假设4相反,这可能与我国不完善的证券市场有关。由于国内投资者与国外投资者相比还不够成熟,股票投资活动具有一定盲目性。基于前文的研究结果,本文提出了相关的政策建议:第一,上市商业银行针对贷款减值准备应建立完备的风险管理体系。第二,进一步完善贷款减值准备信息披露,增强信号传递的有效性。第三,强化商业银行审慎监管及第三方审计,防范商业银行利用贷款减值进行盈余管理。
[Abstract]:The loan reduction preparation is to prevent the loan risk from causing a certain amount of loss to the bank, which is the prerequisite for the sustained and steady operation of the commercial banks. Especially after the outbreak of the financial crisis in 2008, commercial banks all over the world pay more attention to the provision for loan impairment provision. The banking regulatory authorities have issued a series of policies, which put forward higher requirements for the provision of loan impairment provision for commercial banks. This paper summarizes the domestic and foreign literature about the loan provision, summarizes from the loan impairment and capital management, loan impairment and economic cycle research, loan impairment and profit smoothing research, loan impairment and operation prospects of the four aspects of signal. Secondly, the paper reviews the related theories and systems of the loan reduction plan for the listed commercial banks in China. This paper expounds that the system of loan impairment calculation in China has gone through three stages: a single proportion, a loan quality classification and a loan present value measurement. This paper takes the listed commercial banks as the research object, using the 2007 2013 data, from the depreciation and capital management, loan impairment and economic cycle, loan impairment and profit smoothing, loan impairment and business prospects of signal, loan impairment and risk control five aspects of commercial bank loan impairment of the affecting factors. The empirical results show that: the capital adequacy ratio and loan impairment rate is positively related to capital adequacy ratio higher may provision more loan impairment; the growth rate of loan and loan impairment rate is negatively related to economic prosperity and development, when the commercial bank increased lending, reducing the amount of provision for impairment of loans; earnings management variables and loan impairment rate are positively correlated, the higher the income of commercial bank loan impairment provision for more; provision rate is positively related to the non-performing loan ratio and loan impairment, non-performing loan ratio has higher possibility of financial risk is bigger, the commercial bank accounting provided loan impairment more ready to plan; the rate is positively related to asset liability ratio and loan impairment, higher asset liability ratio of commercial bank financial risk is bigger, more accounting provided loan impairment more ready; signaling variables and loan impairment The rate of calculation has not passed the significant test, and the regression results are contrary to the hypothesis 4, which may be related to the imperfect securities market of our country. Because the domestic investors are not mature enough with the foreign investors, the stock investment activities have a certain blindness. Based on the above research results, this paper puts forward relevant policy recommendations. First, the listed commercial banks should establish a complete risk management system for loan impairment provision. Second, further improve the information disclosure of loan reduction preparation, and enhance the effectiveness of signal transmission. Third, the prudential supervision of commercial banks and the three party audit should be strengthened to prevent commercial banks from using the devaluation of loans to manage earnings.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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