基于Wilson模型的我国商业银行信用风险压力测试实证研究

发布时间：2018-01-15 13:46

本文关键词：基于Wilson模型的我国商业银行信用风险压力测试实证研究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：当前,中国银行业整体资产状况面临着巨大的下降风险,主要是近年来经济增速放缓和实体经济疲软等原因导致,这体现出银行资产质量与经济周期变动有着莫大的关联。虽然与世界各国银行业相比,我国整体不良贷款率长期保持较低水平,但随着我国不断深化经济改革,在产业政策调整方面日趋完善,将势必对银行业整体资产质量提出新的挑战。在即将到来的很长时间中,我国商业银行的资产管理将要承受来自经济和金融环境的诸多压力。从2008年开始,我国信贷规模处于不断扩张的态势,不动产行业、城投公司和其余与基础建设、产能过剩等行业相关的企业成为了最大的获益者。长期以来我国坚定不移地贯彻经济转型政策,就是要解决产能过剩和落后企业淘汰的问题,其中重要的方面就是严格把控银行贷款集中度,防止新增信贷大规模的向这些企业流动,在这个过程中商业银行的资产质量下降的压力自然会进一步加大。在2011年Q3至2016年Q4的22个季度之内,商业银行不良贷款率一直处于上升通道,没有下降的迹象。商业银行的不良率实际水平可能远高于披露出来的数据,原因在于各家银行对于不良贷款的核销额和难以收回的贷款数额通常是在报表中合并披露,并不能做到精确的区分。观察近年来的数据,核销额和不能收回的贷款数额都有快速上涨的可能性,这一问题的存在对银行业来说是2017年的一大难题。再者,当发生理财产品偿付问题的时候,虽然商业银行只是扮演托管者的身份,从根本上说并没有义务来承担损失,但国家考虑到社会安定因素,最终有银行来买单的可能性极大。综上所述,本文重点考察某些经济因素的变化是如何影响我国商业银行不良贷款率,然后在此基础上专门提出政策建议,这是具有重大现实意义的。本文的内容分为三个主要部分:第一部分为理论辨析,主要分为三个组成部分:第一,对选题的研究背景和意义进行介绍,并梳理国内外关于宏观压力测试的相关文献资料;第二,对信用风险理论和压力测试理论进行阐述;第三,对于巴塞尔Ⅲ中的相关内容进行归纳总结,重点在于对巴塞尔Ⅲ中新的监管标准在中国的适用情况的分析。第二部分为实证研究,这一部分以改良后的Wilson模型为基础,选取我国商业银行2005Q1至2016Q4的数据进行实证分析,探究当宏观经济变量变动时我国商业银行不良贷款率的波动程度。依照我国商业银行自身特点和宏观经济的实际情况,选定的宏观经济解释变量为:国内生产总值增长率(GDP)、M2增长率(M2)、出口金额增长率(EX)、中国国房景气指数(NRCI)、居民消费价格指数增长率(CPI)、公共财政收入增长率(PFI)、固定资产投资价格指数(FAI)、社会消费品零售总额增长率(RS)、工业增加值增长率(AVI)和一年期贷款基准利率(SLR)。分析结果显示:公共财政收入增长率(PFI)、一年期贷款基准利率(SLR)、中国国房景气指数(NRCI)和固定资产投资价格指数(FAI)对不良贷款率有着十分显著的影响,其中PFI、SLR与不良贷款率为正相关关系,NRCI、FAI与之为负相关关系。第三部分为压力测试,主要是在实证推导出的模型的基础上进行压力测试,设置了轻度冲击、中度冲击和重度冲击三种不同情景。压力测试结果表明,在银行受到重度冲击的情况下,预计2017年末我国商业银行不良贷款余额为22,493.44亿元,比2016年末上涨了 7,371.44亿元,涨幅达到了 48.75%。预计2017年我国商业银行的拨备覆盖率为133.16%,说明整体风险可控,但比2016年下降了 29.45%。
[Abstract]:At present, the overall assets of the China banking industry is facing the huge decline in risk, in recent years is mainly due to the economic slowdown and weakness in the real economy and other reasons, this reflects the quality of bank assets and changes in the economic cycle has a great Association. Although compared with the world banking industry, China's non-performing loan rate remained low for a long time, but along with the deepening of economic reform, the improvement of industrial policy adjustment, will inevitably bring new challenges to the overall quality of assets of commercial banks. In the coming for a long time, the asset management of China's commercial banks will have to bear a lot of pressure from the economic and financial environment. From the beginning of 2008. China's credit scale is constantly expanding trend, the real estate industry, the city investment company and other infrastructure, industry overcapacity and other related enterprises have become the biggest beneficiaries. Since China unswervingly implement the policy of economic transformation is to resolve the overcapacity and backward enterprises out of the question, which is an important aspect of the strict control of bank loan concentration, to prevent the new credit scale to these enterprises in the process of the flow, decrease banks' asset quality pressures will further increase. Within the 22 quarter of 2011 to Q3 Q4 in 2016, commercial banks non-performing loan ratio has been in a rising channel, there is no sign of decline. Commercial banks non-performing rate may be much higher than the actual level of disclosure of data, because the banks for non-performing loans and the amount of verification is difficult to recover the loan amount is usually incorporated in the report disclosure it is not accurate, sensitive. Observation data in recent years, and the amount of verification can not recover the loans are likely to rise rapidly, This problem is a big problem for banks in 2017. Furthermore, when financial products to pay, although commercial banks only played the custodian's identity, basically has no obligation to bear the loss, but the state taking into account the social stability factors, the final possibility to pay the bank greatly. In summary, this paper focuses on the changes of some economic factors how to influence the rate of non-performing loans of commercial banks in China, and then on the basis of specific policy recommendations, it is of great practical significance. This paper is divided into three main parts: the first part is the theoretical analysis, mainly divided into three parts: the first on the topic, the research background and significance are introduced, and combing at home and abroad on the macro stress testing related documents; second, the credit risk theory and pressure test theory Third, for the related elaboration; the content of Basel III in the summary, the focus is on the analysis of the application of new regulatory standards in the Basel III China. The second part is the empirical research, this part of the modified Wilson model as the foundation, selection of China's commercial banks 2005Q1 to 2016Q4 data for empirical analysis of the volatility of inquiry when the changes of macroeconomic variables when the non-performing loan ratio of commercial banks. According to the actual situation of China's commercial banks own characteristics and macro economy, explain the economic selected variables: the growth rate of GDP growth rate (GDP), M2 (M2), the amount of export growth rate (EX Chinese), the State Housing boom index (NRCI), the growth rate of the consumer price index (CPI), public finance revenue growth rate (PFI), the price index of investment in fixed assets (FAI), the total retail sales of social consumer goods (RS), the growth rate of industrial growth. The growth rate of value added (AVI) and the one-year benchmark lending rate (SLR). The analysis results show that the public finance income growth rate (PFI), the one-year benchmark lending rate (SLR), Chinese State Housing boom index (NRCI) and fixed asset investment price index (FAI) has a very significant impact. The rate of non-performing loans in which PFI, SLR and the rate of non-performing loans was a positive correlation between NRCI, FAI, and the correlation was negative. The third part is the pressure test, pressure test is mainly based on empirical model derived, set up a mild shock, moderate shock and severe impact of three different scenarios. The result of the stress tests in the bank by the severe impact, is expected by the end of 2017 China's commercial banks non-performing loans amounted to 2 trillion and 249 billion 344 million yuan, 737 billion 144 million yuan higher than the end of 2016, rose 48.75%. is expected in 2017 China's commercial banks provision coverage For 133.16%, the overall risk was controlled, but it was down 29.45%. in 2016.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

【参考文献】