發(fā)布時(shí)間：2018-05-15 20:08

  本文選題：貸款損失撥備 + 順周期性��； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：2008年開始的這輪全球金融危機(jī),引發(fā)了對(duì)金融體系順周期性的廣泛關(guān)注,涌現(xiàn)出了大量對(duì)順周期性的成因及應(yīng)對(duì)策略方面的研究。其中,商業(yè)銀行貸款損失撥備被學(xué)術(shù)界普遍認(rèn)為是銀行體系順周期性的誘因之一,因而對(duì)貸款損失撥備的作用機(jī)理及緩解方式的研究成為了當(dāng)務(wù)之急。從理論上講,貸款損失撥備是用來(lái)應(yīng)對(duì)銀行的預(yù)期損失,理應(yīng)增強(qiáng)銀行經(jīng)營(yíng)的穩(wěn)健性,但受到當(dāng)前的計(jì)提方法等因素的限制,銀行在經(jīng)濟(jì)繁榮時(shí)期,出于違約率較低的原因,計(jì)提的貸款損失撥備量較少,而在經(jīng)濟(jì)陷入衰退時(shí),隨著違約事件的不斷增加,銀行開始大量計(jì)提撥備,客觀上就加劇了銀行貸款的順周期波動(dòng)。動(dòng)態(tài)準(zhǔn)備制度的引入,被認(rèn)為是一種緩解貸款損失撥備順周期性的有效手段,但在實(shí)際運(yùn)行中還存在一定的問題。 本文針對(duì)這些問題,從動(dòng)態(tài)撥備的作用機(jī)理出發(fā),在總結(jié)國(guó)際和國(guó)內(nèi)現(xiàn)有動(dòng)態(tài)撥備制度的經(jīng)驗(yàn)及不足的基礎(chǔ)上,提出了一種新的前瞻性撥備計(jì)提方法,并利用我國(guó)的2002-2012年的撥備數(shù)據(jù)數(shù)據(jù)對(duì)監(jiān)管部門所要求的撥備量及銀行自身實(shí)際計(jì)提的撥備水平的適度性進(jìn)行了研判。結(jié)果表明,我國(guó)當(dāng)前的撥備監(jiān)管標(biāo)準(zhǔn)存在偏高的可能,而過量的貸款損失撥備會(huì)覆蓋到銀行的非預(yù)期損失,這就會(huì)催生銀行貸款意愿降低、會(huì)計(jì)報(bào)告失真等問題,從而增加銀行體系的風(fēng)險(xiǎn)。 本文的主要貢獻(xiàn)在于提出了一種較現(xiàn)有制度更具前瞻性的動(dòng)態(tài)撥備提取方法,該方法能夠較好的解決當(dāng)前動(dòng)態(tài)撥備的提取對(duì)貸款五級(jí)分類依賴度較高的問題,且具有較高的可操作性。
[Abstract]:The global financial crisis, which began in 2008, has triggered a wide range of concerns about the CIS cycle of the financial system, and a large number of studies have emerged on the causes of CIS cyclical and coping strategies. In theory, the provision of loan loss should be used to cope with the expected loss of the bank, and should enhance the robustness of the bank's operation, but the bank is under the limit of the current method of planning and other factors. In the period of economic prosperity, the loan loss is taken out of the lower default rate. While the amount of provision is less, while the economy has fallen into recession, with the continuous increase of default events, the bank began to make a large amount of provision, which objectively aggravated the CIS cycle fluctuation of bank loans. The introduction of dynamic preparation system is considered as an effective means to alleviate the cyclical nature of loan losses, but there is still a certain extent in the actual operation. Problem.
In view of these problems, based on the mechanism of dynamic provisioning, and on the basis of summing up the experience and deficiency of the existing dynamic reserve system in the world and in China, a new forward looking reserve method is put forward, and the amount of reserve required by the supervision department and the actual bank's own actual conditions are used in the 2002-2012 years of our country's dial data data. The results show that there is a high possibility of the current reserve regulatory standards in our country, and the overdose of loan losses will cover the expected loss of the bank, which will lead to a decrease in the willingness of the bank and the distortion of the accounting report, thus increasing the risk of the banking system.
The main contribution of this paper is to propose a more forward-looking dynamic dial extraction method which is more forward-looking than the existing system. This method can better solve the problem of high dependence on the five level classification of the loan, and has high operability.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33;F224

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本文編號(hào)：1893754