工业部门的信用风险及其前瞻性拨备要求——基于杠杆与融资成本的视角

发布时间：2018-01-26 22:08

本文关键词： 贷款损失准备顺周期信用风险融资杠杆　出处：《财经研究》2017年07期 　论文类型：期刊论文

【摘要】：前瞻性贷款损失准备管理能够平滑银行信贷供给对宏观经济的顺周期影响,然而鲜有可经验估计的动态和前瞻性贷款损失拨备方法,从而限制了该宏观审慎政策工具的使用空间及其实施效果。文章在借款人资产增速服从均值回复随机过程的情景下,给出了借款人资产价值的动态随机运动规律,并在结构化模型框架内刻画了其信用风险要素和前瞻性拨备要求。与结构化模型不同的是,文章资产增速具有周期性和平稳性等特征,使之既能契合前瞻性拨备管理的内在要求,又有助于模型的经验估计和实施推广。基于工业部门1993-2013年的资产负债等数据,文章经验估计了该部门及其子行业未来的信用风险及前瞻性拨备要求,同时基于银发[2002]98号和银监发[2010]98号的有关规定估算了监管要求的前瞻性准备成分和银行实提的前瞻性准备成分,并根据它们理论映射的借款人目标杠杆和融资成本组合状态研判了其适当性。文章深入揭示了不同杠杆和融资成本约束下工业部门的信用风险及其演变趋势,回答了银行体系和监管要求的前瞻性拨备管理是否适当等热点问题。
[Abstract]:Forward-looking loan loss reserve management can smooth the pro-cyclical impact of bank credit supply on the macroeconomic, but there are few empirical estimates of dynamic and forward-looking loan loss provisioning methods. This limits the use of the macro-prudential policy tool and its implementation effect. The article in the borrower asset growth rate from the average return to the stochastic process scenario. In this paper, the dynamic random movement of borrower's asset value is given, and its credit risk factors and forward-looking requirements are described in the framework of structured model. The asset growth rate in this paper has the characteristics of periodicity and stability, which makes it meet the inherent requirements of forward-looking provision management. It also contributes to the empirical estimation and implementation of the model. It is based on data such as assets and liabilities in the industrial sector for the period 1993-2013. The article estimates the future credit risk and forward-looking requirements of the department and its sub-industries, and based on silver hair, the paper estimates the future credit risk and forward-looking requirements of the department and its sub-industries. [2002] 98 and silver. [The relevant regulations of 98 estimate the prospective preparation component of regulatory requirements and the forward-looking preparation component of bank. And according to the borrowers' target leverage and financing cost combination state mapped by their theories, this paper studies its appropriateness. This paper deeply reveals the credit risk and its evolution trend of the industrial sector under different leverage and financing cost constraints. Answered the banking system and regulatory requirements for forward-looking provisions management and other hot issues.
【作者单位】：复旦大学经济学院;
【基金】：国家自然科学基金面上项目(71673049) 教育部人文社会科学研究基金(14YJC790145)
【分类号】：F425;F832.4
【正文快照】： 一、引言在经济周期的下行阶段,银行的资产质量趋于恶化,信贷资产的违约概率等信用风险要素倾向于上升,进而导致了其监管资本要求被动上升(Heid,2007;Lee等,2011)。然而,此时银行通常难以进行增量的资本补充,进而被迫削减信贷供给,加速了宏观经济的衰退进程,监管资本要求的此

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