银行不良贷款价值评估方法探究

发布时间：2018-05-13 20:19

本文选题：银行不良贷款评估 + 假设清算法　；参考：《西南财经大学》2014年硕士论文

【摘要】：自1999年我国政府相继成立四家政策性资产管理公司以来,通过几次大规模剥离以及政府对银行不良贷款控制方面所做的努力,我国银行不良贷款问题有所减轻,不良贷款率有所降低,但不良贷款的增量仍旧没有控制住。且在我国的不良贷款评估实践中,没有统一的金融不良贷款评估准则和技术规程,评估质量取决于评估人员的专业水平,并因我国市场经济体制原因,绝大部分评估人员不能做到准确把握银行不良贷款市场,机械的运用固有的评估方法,直接导致评估价值和银行不良贷款的实际处置价格出现较大偏离。另外,银行不良贷款评估过程中,存在一定程度的价值操纵行为,使评估脱离了市场实际状况。因此,完善我国金融不良贷款评估体系刻不容缓。在银行不良贷款的评估方法上,自国际评估资产标准提出成本法、收益法和市场法三种金融不良贷款评估方法后,就被各国的资产评估机构广泛运用。但由于我国银行不良贷款的特殊复杂性和不良资产市场的发展情况,上述三种方法并不能直接运用于我国银行不良贷款的评估实践中。基于以上情况,我国学者都纷纷探讨符合中国金融不良资产特殊性质和市场状况的方法体系,并提出了各种类型的评估模式,如运用数理统计、层次分析来评估金融不良资产,比较典型的属信用评价法、假设清算法、交易案例比较法和专家打分法等评估方法,不同方法代表着不同的评估口径,且使用起来具有一定的优劣势,一旦运用不当便会导致评估结果的偏离。因此,构建我国金融不良资产评估方法体系,探究每种方法的适用性和局限性,讨论其在实践中的具体运用,显得尤为重要。因此,本文从银行不良贷款入手,围绕银行不良贷款的价值分析、评估方法和应用三个问题展开研究,在认真对比分析银行不良贷款各评估方法的基础上,结合具体案例来说明各种方法的应用,以期提高评估实务中银行不良贷款评估方法的可操作性。在基础理论层次,本文从我国的传统“一逾两呆”不良贷款界定方式和五级分类界定方式入手,对不良贷款进行范围界定和特征分析,并对两种贷款界定方式的优缺点进行介绍；然后,从政府、银行和企业三个角度探讨银行不良贷款的历史成因,并通过对我国银行不良贷款的特性和不良资产市场的发育程度的分析,探讨适用于我国国情的银行不良贷款价值类型和价值影响因素。本文指出,由于不良资产形成的历史原因,我国的银行不良贷款不具备清晰的法律权属,且在本质上属于一种限制性资产,评估中存在依据不足、评估程序不到位、评估方法受限等问题,使得无法直接使用市场价值进行评估。其次,我国金融不良资产的处置方式包括债务重组、债转股、债权转让、委托包销和证券化等多达十几种形式,处置方式的多样性,决定了使用市场价值的困难。另外,我国市场不完整,参与者稀少,不具备有效的价格形成机制,也没有足够的时间让不良资产进行市场展示。因此,评估人员应当以市场价值为基础,考虑评估目的、待估资产状态、评估条件等因素,从在用价值、有限市场价值、投资价值、持续经营价值、残值和强制变现价值等非市场价值中选择合适的价值类型对待估不良资产进行评估。在对银行不良贷款价值影响因素的分析上,主要介绍了企业规模、资产质量、运营状况、所有制差别、行业状况、区域经济状况和贷款方式等几种影响因素。其次,本文介绍了美国和其他在不良资产处置方面获得较大成绩的国家的实践和成功经验,然后对比介绍我国的评估现状,进而从比较分析中得到对完善我国金融不良资产评估实践的启示。接着,本人着重对我国银行不良贷款的评估技术与方法进行探讨和对比分析,对符合我国银行不良贷款特殊性质和市场情况的四种评估方法进行了应用操作。这四种评估方法分别是假设清算法、信用评价法、交易案例比较法和专家打分法。其中,假设清算法主要适用于不具有持续经营能力但尚有偿债意愿和相关财务资料的企业,或者是仍持续经营但净现金流不稳定或很小的企业；对于虽资不抵债或由于其他原因不能按时还债,但仍有增长潜力和持续经营能力,且能够取得连续几年经审计的财务报表的债务企业来说,信用评价法则是最适合的评估方法；而当无法获知债务人的财务资料,用假设清算法和信用评价法无法评估,但可以对债权资产进行因素定性分析并具有相似的债权资产交易案例时,可选用交易案例比较法；专家打分法则适用于财务、信贷资料不完备或无法获取、同时仅靠评估师的能力难以对待估债权进行定量分析,需要借助于专家们的集体判断才能有效评估的债权。最后,基于目前我国金融不良贷款评估理论欠缺系统性、评估价值与实际交易价格差异较大和定价功能被过分夸大等现状,特提出了六条完善我国金融不良资产评估的建议。首先,建议政府应从银行不良贷款的历史成因中吸取教训,避免因社会利益而影响银行的商业性运作,加大对资产评估行业健康发展的政策引导,尽快以法律的形式对不良资产评估体系做出规范,并大力支持中国资产评估协会在人才培养、评估体系完善、评估思路创新等方面的工作,以充分发挥政府在资产评估行业的作用。其次,建议中国资产评估协会从以下几个方面强化行业建设：(1)注重金融不良资产评估研究的引导工作,总结发现评估实践中出现的新问题,并加强对相关评估准则的完善,尽快建立起一套参考性强的评估操作规则；(2)加强行业执业质量的监管,提高评估人员的专业胜任能力和职业道德水平,强化行业自律管理能力,创造良好的执业环境；(3)完善人才培养机制；(4)统一计费标准,制定比较合理的收费方法,以激发评估机构进行评估创新研究的积极性。第三、建议评估机构和资产管理公司加快评估数据库的建立,注重积累银行不良贷款处置案例,并通过对搜集到的案例的分析构建起合理规范的评估参数体系。第四、建议评估机构和评估人员加强对非财务因素的量化,注重非财务指标对待估不良贷款变现价值的影响,进而不断的补充和完善金融不良资产评估模型。第五,建议政府或资产评估协会着手建立起一个评估沟通合作平台,以促进金融不良资产评估行业的健康发展,充分发挥其在资产定价和金融风险防范中的作用。最后,建议评估行业管理部门引导评估结论使用方正确认识评估结论的局限性,让其认识到,金融不良资产的交易价格应该通过市场来发现,而不是直接的适用评估价格。本文的不足和局限主要表现为以下几个方面： (1)由于国内对银行不良贷款的研究十分匮乏,文献资料很少,国外最新理论研究成果搜集不充分,致使本文不能全面的借鉴和吸收前辈们的研究成果。 (2)在案例的具体操作中,因资料搜集渠道不畅以及数据采集受到限制,致使结论分析不能量化所有影响因素,影响结论的普遍适用性。 (3)在结合定量指标和定性指标的评估体系中,由于个人能力限制,不能对两者应占权重多少做进一步研究,而是借鉴了前辈们的研究成果,在确定取值范围时也难免不合理,从而本文研究的深度尚有欠缺；所以设计一个适用于大多数不良债权的评估方法对未来的不良资产评估至关重要。 (4)银行不良贷款评估是一项专业性很强的实践工作,拟进行的研究在实践工作中的适用性还须进行实证检验,而且因实践经验的短缺,本人在写作中深感困惑,分析方法的科学性方面有待改善。 (5)本文是选择了银行不良贷款评估基础理论的几个方面进行深入,并没有建立起一个完整的评估框架,后续研究可以进一步的完善银行不良贷款评估理论框架。
[Abstract]:Since 1999, China's government has set up four policy Asset Management Co, through several large-scale stripping and the efforts made by the government on the control of non-performing loans in the bank, the problem of non-performing loans in China's banks has been reduced and the rate of non-performing loans has been reduced, but the increment of the bad loan is still not controlled. In the practice of good loan assessment, there is no unified evaluation criteria and technical regulations for the financial non-performing loans. The quality of the assessment depends on the professional level of the assessors. Because of the market economic system in China, the vast majority of the evaluators can not accurately grasp the bank's non-performing loan market. The assessment method inherent in the application of machinery leads directly to the evaluation. In addition, there is a certain degree of value manipulation in the evaluation process of bank non-performing loans, which makes the evaluation out of the actual situation of the market. Therefore, it is not slow to improve the evaluation system of non-performing loans in China. After evaluating the standard of the three kinds of non-performing loans of the cost method, the income law and the market law, it is widely used by the assets evaluation institutions of various countries. But because of the special complexity of the bad loans and the development of the bad assets market, the above three methods are not directly applied to the non-performing loans of our banks. In the evaluation practice, based on the above situation, Chinese scholars have discussed the method system which conforms to the special nature and market situation of Chinese financial non-performing assets, and put forward various types of evaluation models, such as the use of mathematical statistics and analytic hierarchy process to assess the financial assets, the typical credit evaluation method, the assumption of liquidation, and the transaction cases. The different methods, such as comparison method and expert scoring method, represent different caliber and have certain advantages and disadvantages in use. If they are not used properly, the evaluation results will be deviated. Therefore, the evaluation method system of non-performing financial assets in China is constructed, and the applicability and limitations of each method are explored, and the practice is discussed in practice. The concrete use of the bank appears particularly important. Therefore, this paper, starting with the bank's bad loans, focuses on the value analysis of the bank's non-performing loans, the evaluation method and the application of the three problems. On the basis of careful comparison and analysis of the evaluation methods of non-performing loans in the bank, the application of various methods is explained with specific cases, in order to improve the evaluation. The feasibility of the evaluation method of non-performing loans in China's banks.
On the basis of the basic theory, this article starts with the definition and classification of the traditional "more than two" non-performing loans and the five level classification, and introduces the scope and characteristics of the non-performing loans, and introduces the advantages and disadvantages of the two types of loan definition, and then discusses the non-performing loans of the banks from the three angles of the government, the bank and the enterprise. Through the analysis of the characteristics of non-performing loans and the development of non-performing assets in China's banks, this paper discusses the value types and value factors that are applicable to the national conditions of our country. This article points out that, because of the historical reasons of the formation of non-performing assets, the bank non-performing loans in our country do not have clear legal rights. And in essence, it belongs to a kind of restrictive assets. There are some problems in the evaluation, such as insufficient basis, poor evaluation procedure and limited evaluation method, which make it impossible to use the market value directly to evaluate. Secondly, the disposal methods of non-performing financial assets of our country include debt restructuring, debt transfer shares, transfer of creditor's rights, entrusting underwriting and securitisation. In addition, the market is incomplete, the participants are scarce, there is no effective price formation mechanism, and there is not enough time to show the bad assets in the market. Therefore, the evaluators should be based on the market value, consider the purpose of evaluation, and estimate the state of the assets. In the analysis of the factors affecting the value of the bank's non-performing loans, this paper mainly introduces the scale of the enterprise, the quality of the assets, the quality of the assets, and the quality of the assets. The situation, the ownership difference, the industry situation, the regional economic situation and the way of the loan. Secondly, this paper introduces the practice and successful experience of the United States and other countries which have achieved great achievements in the disposal of bad assets, and then contrasts the status of our country, and then improves our country's gold from the comparative analysis. Then, I emphatically discuss and compare the assessment techniques and methods of non-performing loans in China's banks, and carry out the application of the four evaluation methods that conform to the special nature and market situation of our bank's non-performing loans. The four evaluation methods are the hypothesis of liquidation and the credit evaluation method, respectively. Transaction case comparison and expert scoring, which assume that the liquidation law is mainly applicable to enterprises that do not have the ability to continue to operate but still have the willingness to pay and the relevant financial information, or to continue to operate but the net cash flow is unstable or very small. The law of credit evaluation is the most suitable evaluation method for a debt enterprise with long potential and continuous operating capacity and capable of obtaining financial statements that have been audited for several years. And when the financial information of the debtor is not known, it can not be evaluated with the assumption of liquidation and credit evaluation. When there are similar cases in the transaction of creditor's rights and assets, the case comparison method can be used. The expert scoring rule is applicable to the finance, the credit data is incomplete or cannot be obtained. At the same time, the quantitative analysis of the estimated creditor's right is difficult to be treated by the ability of the appraiser, and the creditor's right to be effectively evaluated by the collective judgment of the experts is needed. Finally, based on the eyes In our country, the former evaluation theory of non-performing loans is lack of systematicness, the value of evaluation and the actual price of transaction and the overstate of pricing function are overstated. Six suggestions are put forward to improve the evaluation of non-performing assets in our country. First, the government should draw lessons from the historical causes of the non-performing loans of the bank and avoid the social benefits. It will affect the commercial operation of the bank, strengthen the policy guidance for the healthy development of the asset evaluation industry, standardize the system of non-performing assets assessment in the form of law as soon as possible, and vigorously support the work of the Chinese Asset Appraisal Association in the training of talents, the perfection of the evaluation system, the innovation of the evaluation ideas and so on, so as to give full play to the government's evaluation of the assets. Secondly, it is suggested that the China Association of assets assessment strengthen the construction of the industry from the following aspects: (1) pay attention to the guidance of the research on the assessment of the financial non-performing assets, summarize the new problems in the evaluation of the evaluation practice, and strengthen the improvement of the relevant evaluation criteria, and establish a set of reference and strong evaluation operation rules as soon as possible; (2) Strengthen the supervision of the professional quality of the industry, improve the professional competence and professional ethics of the appraisers, strengthen the self-discipline management ability of the industry, create a good practice environment; (3) improve the training mechanism of talents; (4) unify the accounting standard and make a more reasonable charge method, so as to stimulate the enthusiasm of the evaluation institutions to evaluate the innovation research. Third, recommend evaluation institutions and Asset Management Co to accelerate the establishment of the evaluation database, pay attention to the accumulation of bank non-performing loan disposal cases, and build a reasonable and standardized evaluation parameter system through the analysis of the collected cases. Fourth, recommend evaluation institutions and evaluators to strengthen the quantification of non-financial factors and pay attention to non financial indicators. To evaluate the impact of the value of the undesirable loans, and to continue to supplement and improve the evaluation model of the financial non-performing assets. Fifth, it is suggested that the government or the asset assessment Association set out to establish an evaluation communication platform to promote the healthy development of the non-performing assets evaluation industry and give full play to its asset pricing and financial risk prevention. Finally, it is suggested to assess the limitations of the industry management department to guide the evaluation conclusions to use the positive recognition assessment conclusions to make it realize that the transaction price of the undesirable assets should be found through the market rather than the direct application of the evaluation price.
The shortcomings and limitations of this paper are mainly manifested in the following aspects:
(1) because of the lack of research on non-performing loans to banks in China, few documents and insufficient collection of the latest theoretical research results in foreign countries, this paper can not fully draw on and absorb the achievements of the predecessors.
(2) in the specific operation of the case, because the data collection channel is not smooth and the data collection is restricted, the conclusion analysis can not quantify all the influencing factors and affect the universal applicability of the conclusion.
(3) in the evaluation system which combines quantitative and qualitative indicators, because of the limitation of individual ability, we can not do further research on the weight of the two, but draw lessons from the research results of the predecessors. The evaluation method of good creditor's rights is very important for future non-performing assets evaluation.
(4) the evaluation of non-performing loans in the bank is a very professional practice. The applicability of the research in practice must be tested empirically, and because of the shortage of practical experience, I am deeply confused in writing, and the scientific aspects of the analytical method need to be improved.
(5) this paper has selected several aspects of the basic theory of bank non-performing loan assessment, and did not establish a complete framework for evaluation, and further research can further improve the theoretical framework of bank non-performing loan assessment.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

【参考文献】