前瞻性动态拨备制度的国际实践及在中国的应用研究

发布时间：2018-01-15 15:04

本文关键词：前瞻性动态拨备制度的国际实践及在中国的应用研究　出处：《上海交通大学》2015年硕士论文　论文类型：学位论文

【摘要】：金融系统的顺周期性问题一直是各国政府和专家讨论的话题,尤其在2008年全球性的金融危机爆发之后,这一讨论更是变得更加广泛且激烈。讨论的结果普遍认为,金融系统的顺周期性主要由以下四个原因所造成:以风险为基础的资本监管要求、建立在“已发生损失”模型下的贷款损失准备计提方法、依照“公允价值”原则的会计方法以及金融机构管理层的薪酬问题。据此,危机过后各个国家的监管当局纷纷提出将逆周期的思路引入到目前的金融监管框架中来。其中,动态拨备作为一种缓解由以“已发生损失”模型为基础的贷款损失拨备计提方法所导致的商业银行顺周期性的逆周期监管工具被提出,并得到广泛的重视。国际实践中,西班牙是较早实施动态拨备的国家之一,有着丰富的实践操作经验,且在本次危机中由于西班牙的商业银行受到的不利冲击较其他国家银行小,动态拨备制度之优点由是再次得到证明。本文从理论的角度阐述基于已发生损失模型的传统贷款损失准备制度和基于预期损失模型的动态拨备制度的顺、逆周期性形成机制。同时通过介绍西班牙、哥伦比亚等国所建立的动态拨备制度,归纳总结各国在具体操作上的相似与不同之处,从而吸取有益的实践经验,为我国实施动态拨备制度提供有益的借鉴。此外,运用面板数据模型对我国商业银行贷款损失准备是否存在顺周期的特征进行实证研究,结论为我国贷款损失准备顺周期性较为显著。由于目前我国监管当局对商业银行动态拨具体操作的有关规定仍较为模糊,本文通过借鉴西班牙等国动态拨备制度,结合中国的实际情况,提出了适合我国国情的动态拨备模型,并选择2004-2014年中国银行业总体的季度数据对模型进行了模拟。针对目前我国银行在信贷历史数据完整性上的不足,本文还针对将来完善后的信贷数据提出了改良模型方案来提高动态拨备计提的准确性,并对我国动态拨备的实施条件、动态拨备的局限性、会计处理等方面提出了有关建议。
[Abstract]:The pro-cyclical issue of the financial system has been the subject of discussion among governments and experts, especially since the outbreak of the global financial crisis in 2008. This discussion, which has become even more extensive and intense, has led to a general view that the pro-cyclical nature of the financial system is mainly due to four factors: risk-based capital regulatory requirements. Based on the "incurred losses" model, the loan loss reserve method, accounting methods based on the "fair value" principle and the compensation of the management of financial institutions. After the crisis, regulatory authorities in various countries have put forward the idea of countercyclical into the current financial regulatory framework. Dynamic provisioning is a pro-cyclical countercyclical regulatory tool for commercial banks, which is based on the "incurred losses" model. In international practice, Spain is one of the countries that implemented dynamic provisions earlier, and has rich experience in practice. And in the current crisis, Spain's commercial banks have suffered less than their counterparts in other countries. The advantages of dynamic provisioning system are proved again. This paper describes the traditional loan loss preparation system based on the incurred loss model and the dynamic reserve system based on the expected loss model from the theoretical point of view. At the same time, by introducing the dynamic reserve system established by Spain, Colombia and other countries, this paper summarizes the similarities and differences between countries in the specific operation, so as to learn useful practical experience. In addition, the panel data model is used to study whether there is a pro-cycle characteristic of loan loss preparation of commercial banks in China. Conclusion there is a significant pro-cyclicality for the preparation of loan losses in China. At present, the relevant regulations on the dynamic allocation of commercial banks by our country's regulatory authorities are still relatively vague. Based on the dynamic reserve system of Spain and other countries and the actual situation of China, this paper puts forward a dynamic reserve model suitable for the national conditions of our country. And selected the 2004-2014 Chinese banking industry overall quarterly data to simulate the model, aiming at the current Chinese banks in the integrity of the credit history of the lack of data. This paper also puts forward an improved model scheme to improve the accuracy of dynamic provision, and the implementation conditions of dynamic provision in China, the limitations of dynamic provision. Some suggestions on accounting treatment are put forward.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F831.2

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