我国商业银行贷款损失准备金管理研究
发布时间：2018-09-01 16:05
【摘要】：贷款损失准备是商业银行基于预期贷款损失而计提的准备金,其充分计提直接关系到银行的稳健经营和金融系统的稳定性。2008年全球金融危机以后,世界各国的银行更加重视对贷款损失准备金的管理。 本文研究目标有：一是分析国外和国内的贷款损失准备制度尤其是计提方法,提出我国现有的贷款损失准备计提方法的不足和改善之处；二是在分析我国已上市的大型国有商业银行、全国股份制商业银行和城市商业银行共16家银行贷款损失准备计提现状的基础上,通过理论和会计核算分析影响我国商业银行计提贷款损失准备的主客观性因素；三是在运用灰色关联分析影响我国商业银行计提贷款损失准备的影响因素的基础上,通过面板数据数据分析法分析影响商业银行计提非自由裁量的贷款损失准备的客观性因素,以及影响商业银行计提自由裁量的贷款损失准备的主观性因素；四是通过理论和实证分析的结论,提出商业银行加强对贷款损失准备有效管理的对策。 本文主要研究成果有：首先,通过分析我国已上市的16家银行贷款损失准备计提现状,发现自2005年以来,各家银行的不良贷款率不断降低,拨备覆盖率和贷款拨备率不断提高；大型国有银行的不良贷款率整体水平高于全国股份制银行和城市商业银行,且其拨备覆盖率总体水平低于其他两种类型商业银行,在贷款拨备率指标上三大类型银行差别不显著；三大类型银行计提贷款损失准备在不同程度上表现出了亲周期性。其次,通过理论和会计核算分析出：影响我国商业银行计提非自由裁量的贷款损失准备的客观性因素有宏观经济繁荣程度、银行规模、不良贷款余额的变动率等；影响银行计提自由裁量的贷款损失准备的主观性因素有盈余管理、资本管理等。最后,通过灰色关联法和面板数据法分析出影响我国商业银行计提贷款损失准备的主客观性影响因素。 根据上述研究结果,建议我国商业银行加强对贷款损失准备有效管理的对策有：首先要管理贷款损失准备以达到风险控制和监管层的监管指标；其次是商业银行在满足监管指标下根据自己的利益需求通过对自由裁量的贷款损失准备的计提进行盈余管理和资本管理。
[Abstract]:Loan loss preparation is a reserve set aside by commercial banks on the basis of expected loan losses, and its adequate provision has a direct bearing on the steady operation of banks and the stability of the financial system. After the 2008 global financial crisis, Banks around the world pay more attention to the management of loan loss reserves. The research objectives of this paper are as follows: first, it analyzes the foreign and domestic loan loss reserve system, especially the method of calculation and drawing, and points out the deficiency and improvement of the existing methods of loan loss preparation in our country; Second, on the basis of analyzing the status quo of the loan loss preparation of 16 large state-owned commercial banks, national joint-stock commercial banks and urban commercial banks that have already been listed in China, Through the analysis of theory and accounting, the subjective and objective factors affecting the preparation of loan loss of commercial banks in China are analyzed. Thirdly, based on the grey relational analysis of the factors affecting the preparation of loan losses of commercial banks in China, Through panel data analysis, this paper analyzes the objective factors that affect the non-discretionary loan loss preparation of commercial banks, as well as the subjective factors that affect the loan loss preparation of commercial banks. Fourth, through the conclusion of theoretical and empirical analysis, put forward the commercial banks to strengthen the effective management of loan losses. The main research results of this paper are as follows: firstly, by analyzing the current situation of loan loss preparation of 16 listed banks in China, it is found that since 2005, the non-performing loan ratio of each bank has been decreasing, the provision coverage rate and loan reserve rate have been increasing; The overall level of non-performing loans of large state-owned banks is higher than that of national joint-stock banks and urban commercial banks, and the overall level of reserve coverage is lower than that of the other two types of commercial banks. There are no significant differences among the three types of banks in the loan reserve ratio index, and the three types of banks' reserve for loan losses show pro-cyclical in varying degrees. Secondly, through the analysis of theory and accounting, it is found that the objective factors influencing the non-discretionary loan loss preparation of commercial banks in China are the degree of macroeconomic prosperity, the scale of banks, the change rate of non-performing loan balance, etc. The subjective factors influencing the bank's discretionary loan loss preparation are earnings management, capital management and so on. Finally, through the grey correlation method and panel data method, this paper analyzes the main objective factors that affect the loan loss preparation of commercial banks in China. According to the above research results, it is suggested that our commercial banks should strengthen the effective management of loan loss preparation: first, we should manage loan loss preparation to achieve the regulatory index of risk control and supervision; Secondly, the commercial banks manage their earnings and capital according to their own interest requirements through the provision of discretionary loan losses.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4
本文编号：2217688
[Abstract]:Loan loss preparation is a reserve set aside by commercial banks on the basis of expected loan losses, and its adequate provision has a direct bearing on the steady operation of banks and the stability of the financial system. After the 2008 global financial crisis, Banks around the world pay more attention to the management of loan loss reserves. The research objectives of this paper are as follows: first, it analyzes the foreign and domestic loan loss reserve system, especially the method of calculation and drawing, and points out the deficiency and improvement of the existing methods of loan loss preparation in our country; Second, on the basis of analyzing the status quo of the loan loss preparation of 16 large state-owned commercial banks, national joint-stock commercial banks and urban commercial banks that have already been listed in China, Through the analysis of theory and accounting, the subjective and objective factors affecting the preparation of loan loss of commercial banks in China are analyzed. Thirdly, based on the grey relational analysis of the factors affecting the preparation of loan losses of commercial banks in China, Through panel data analysis, this paper analyzes the objective factors that affect the non-discretionary loan loss preparation of commercial banks, as well as the subjective factors that affect the loan loss preparation of commercial banks. Fourth, through the conclusion of theoretical and empirical analysis, put forward the commercial banks to strengthen the effective management of loan losses. The main research results of this paper are as follows: firstly, by analyzing the current situation of loan loss preparation of 16 listed banks in China, it is found that since 2005, the non-performing loan ratio of each bank has been decreasing, the provision coverage rate and loan reserve rate have been increasing; The overall level of non-performing loans of large state-owned banks is higher than that of national joint-stock banks and urban commercial banks, and the overall level of reserve coverage is lower than that of the other two types of commercial banks. There are no significant differences among the three types of banks in the loan reserve ratio index, and the three types of banks' reserve for loan losses show pro-cyclical in varying degrees. Secondly, through the analysis of theory and accounting, it is found that the objective factors influencing the non-discretionary loan loss preparation of commercial banks in China are the degree of macroeconomic prosperity, the scale of banks, the change rate of non-performing loan balance, etc. The subjective factors influencing the bank's discretionary loan loss preparation are earnings management, capital management and so on. Finally, through the grey correlation method and panel data method, this paper analyzes the main objective factors that affect the loan loss preparation of commercial banks in China. According to the above research results, it is suggested that our commercial banks should strengthen the effective management of loan loss preparation: first, we should manage loan loss preparation to achieve the regulatory index of risk control and supervision; Secondly, the commercial banks manage their earnings and capital according to their own interest requirements through the provision of discretionary loan losses.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4
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