监管与会计口径差异下的贷款拨备率达标及监管研究

发布时间：2018-11-15 06:50

【摘要】：按照监管要求,至2016年年底前,贷款拨备率指标需达到2.5%。这其中涉及到监管和会计上的不同处理。本文在对上海22家外资法人银行的调查与比较分析的基础上,研究了监管与会计口径下的贷款拨备率达标的相关问题。研究结果表明,多数外资法人银行采用基于已发生损失(Incurred Loss)的贷款质量迁徙模型提取组合准备金,少数银行采用基于内部评级法的违约概率(PD)和违约损失率(LGD)提取组合准备金。在强而有力的条线管理模式下,有些银行对模型的调整权十分有限。鉴于外资法人银行贷款拨备率达标有难度,建议实施差异化管理。
[Abstract]:According to regulatory requirements, by the end of 2016, the loan reserve ratio target should reach 2.5%. This involves different approaches to regulation and accounting. Based on the investigation and comparative analysis of 22 foreign-funded corporate banks in Shanghai, this paper studies the problems related to the standard of loan reserve ratio under supervision and accounting. The results show that most foreign corporate banks use the loan quality migration model based on (Incurred Loss) to extract the combined reserve. A few banks use default probability (PD) and default loss rate (LGD) based on internal rating method to extract portfolio reserve. Under the strong and powerful line management mode, some banks have very limited power to adjust the model. In view of the difficulty of setting up loan reserve rate of foreign legal person bank, it is suggested to implement differential management.
【作者单位】：中国银监会上海监管局;
【分类号】：F832.4

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