预期损失模型下银行贷款减值准备研究

发布时间：2018-05-04 11:14

本文选题：贷款减值准备 + 预期损失模型　；参考：《中国石油大学(华东)》2014年硕士论文

【摘要】：金融危机发生以来,各国对金融业,尤其是对银行的关注提高到了前所未有的程度。因为银行的稳健运行不仅关系到银行自身的发展,更关系到整个银行体系的生存、公众对于银行体系的信心以及国民经济的稳定。准确计提银行贷款减值准备,对正确评估银行资产价值,全面反映其经营现状都有着至关重要的作用。针对现有的金融资产减值模型存在顺周期性和悬崖效应等问题,国际会计准则委员会提出预期损失模型这一新的金融资产减值准备计提方法,并积极向全球发布征求意见稿。目前,我国银行的贷款减值准备计提制度基于已发生损失模型,也暴露出上述问题。此外,我国企业会计准则正处于与国际会计准则全面趋同的进程中,研究新的贷款减值准备计提方法以修正或代替现有的计提方法具有重要意义。首先,在对我国银行贷款减值准备制度和方法综合了解的基础上,分析上市商业银行贷款减值准备计提的现状。研究表明目前上市银行存在贷款减值准备计提制度与监管政策不协调、贷款减值准备计提方法存在顺周期效应、贴现现金流法应用不足等问题。其次,介绍IASB提出的预期损失模型,通过案例分析预期损失模型的具体应用。分析结果验证了预期损失模型缓解顺周期的作用,并且发现预期损失模型对顺周期的缓解作用是建立在对模型参数准确估计的基础上,估计的偏差会导致利润水平更大幅度的波动。最后,表明我国对应用预期损失模型应持谨慎态度,建议上市银行为预期损失模型日后应用做好准备工作。
[Abstract]:Since the financial crisis, the attention of all countries to the financial industry, especially to the banks, has increased to an unprecedented degree. Because the steady operation of the bank is not only related to the development of the bank itself, but also to the survival of the whole banking system, the public confidence in the banking system and the stability of the national economy. It is very important to correctly estimate the value of bank assets and reflect the present situation of operation. Aiming at the problems of procyclicality and cliff effect in the existing impairment models of financial assets, the International Accounting Standards Committee (IASC) put forward the expected loss model, which is a new method of preparing for the impairment of financial assets, and actively issued a draft for comments to the whole world. At present, the system of reserve for loan impairment in Chinese banks is based on the loss model, which also exposes the above problems. In addition, the accounting standards of Chinese enterprises are in the process of converging with the international accounting standards. It is of great significance to study the new methods of preparing for the impairment of loans to correct or replace the existing ones. First of all, on the basis of comprehensive understanding of the system and methods of bank loan impairment preparation in China, this paper analyzes the present situation of loan impairment provision of listed commercial banks. The research shows that there are some problems in the listed banks, such as the discounted cash flow method is not enough, and the system of reserve for loan impairment is not in harmony with the supervision policy, the method of credit impairment provision has pro-cycle effect, and the discounted cash flow method is not applied enough, and so on. Secondly, the expected loss model proposed by IASB is introduced, and the application of the expected loss model is analyzed by a case study. The analysis results verify the role of expected loss model in mitigating the pro-cycle, and it is found that the mitigation of expected loss model is based on the accurate estimation of the parameters of the model. Deviations in estimates can lead to greater fluctuations in profit levels. Finally, this paper indicates that our country should be cautious in applying the expected loss model, and suggests that the listed banks should prepare for the application of the expected loss model in the future.
【学位授予单位】：中国石油大学(华东)
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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