A股上市商业银行贷款损失准备计提效率及其影响因素

发布时间：2018-04-28 12:00

本文选题：商业银行 + 贷款损失准备　；参考：《中国科学技术大学》2017年硕士论文

【摘要】：贷款损失准备是我国法律规定的会计科目,反映了商业银行现有资产组合中贷款的预期损失。贷款损失准备计提效率会对银行财务报表的质量及银行的稳健运行产生一定影响。贷款损失准备是国内监管当局对商业银行监管的重点之一。自2013年以来,国内外学者关注的焦点逐渐集中到中国银行业不良贷款率居高不下的问题,并对其可能对中国经济前景产生的影响展开了热烈的讨论。在此背景下,贷款损失准备作为银行抵御风险的措施之一,重要性愈加凸显。贷款损失准备计提效率可以定义为,银行管理层在现有技术条件和外部环境下为实现最优盈利和资本质量做出的贷款损失准备计提决策的有效性。贷款损失准备金一方面可以直接反映银行的贷款质量和信用风险管理水平;另一方面,贷款损失准备的计提受到管理者主观操控,可以对商业银行利润和资本充足率产生影响。本文基于2009至2015年中国A股上市商业银行相关数据进行分析,通过数据包络分析的相关理论和方法,从静态和动态两个方面考察计提效率的表现和变动情况,并对计提效率的影响因素进行研究。研究发现,我国商业银行贷款损失准备计提效率存在一定的无效性,不同类型银行之间存在一定的效率差异。本文结构主要分为五个章节。第一章节为绪论部分,主要介绍本文的研究目标、研究背景和相关研究意义;第二章节为文献综述部分,按照贷款损失准备相关制度沿革和国内外贷款损失准备计提研究的不同类别,介绍贷款损失准备计提背景的发展变化情况,总结相关研究结论;第三章节为我国贷款损失准备现状的介绍,主要介绍了相关财务指标的变化情况,并据此对我国银行业贷款损失准备的计提状况进行分析;第四章节为实证部分,包含数学模型、数据收集和处理、模型估计和结果分析等步骤,结合相关的参数方法和非参数方法两种较为不同的数理模型来对我国贷款损失准备的计提情况进行分析;第五章节为结论部分,对本文的研究结果进行总结,结合研究结果提出建议,并针对本文可能存在的局限性对未来更深入的研究工作进行展望。
[Abstract]:Loan loss preparation is an accounting subject stipulated by the law of our country, which reflects the expected loss of loan in the existing portfolio of commercial banks. The efficiency of preparing for loan losses will affect the quality of bank financial statements and the steady operation of banks. Loan loss preparation is one of the key points in the supervision of commercial banks by domestic regulatory authorities. Since 2013, scholars at home and abroad have gradually focused on the problem of high non-performing loan ratio in China's banking industry, and have carried out a heated discussion on its possible impact on China's economic prospects. Against this background, as one of the banks' measures to resist risk, loan loss preparation is becoming more and more important. The efficiency of loan loss provision can be defined as the effectiveness of bank management's decision to prepare for loan loss in order to achieve optimal profit and capital quality under the existing technical conditions and external environment. On the one hand, the loan loss reserve can directly reflect the loan quality and credit risk management level of the bank; on the other hand, the loan loss reserve can be controlled by the manager subjectively, which can have an impact on the commercial bank's profit and capital adequacy ratio. Based on the relevant data of Chinese A-share listed commercial banks from 2009 to 2015, this paper analyzes the performance and changes of efficiency from static and dynamic aspects through the theory and method of data envelopment analysis. The factors influencing the efficiency of calculation and extraction were also studied. It is found that there is a certain inefficiency in the preparation of loan loss in commercial banks in China, and there are some differences in efficiency among different types of banks. The structure of this paper is divided into five chapters. The first chapter is the introduction part, mainly introduces the research goal, the research background and the related research significance; the second chapter is the literature review part, According to the evolution of loan loss preparation system and the different types of loan loss preparation research at home and abroad, this paper introduces the development and changes of the background of loan loss preparation, and summarizes the relevant research conclusions. The third chapter introduces the current situation of loan loss preparation in China, mainly introduces the changes of related financial indicators, and then analyzes the situation of loan loss preparation in China's banking industry. The fourth chapter is the empirical part. Including mathematical model, data collection and processing, model estimation and result analysis, combining two different mathematical models, related parameter method and non-parametric method, to analyze the situation of loan loss preparation in China. The fifth chapter is the conclusion part, summarizes the research results of this paper, puts forward some suggestions combined with the research results, and looks forward to the further research work in the future in view of the possible limitations of this paper.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4;F832.51;F830.42

【参考文献】