本文關(guān)鍵詞：前瞻性動態(tài)撥備制度的國際實踐及在中國的應(yīng)用研究　出處：《上海交通大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貸款損失準(zhǔn)備 順周期 動態(tài)撥備

【摘要】：金融系統(tǒng)的順周期性問題一直是各國政府和專家討論的話題,尤其在2008年全球性的金融危機爆發(fā)之后,這一討論更是變得更加廣泛且激烈。討論的結(jié)果普遍認(rèn)為,金融系統(tǒng)的順周期性主要由以下四個原因所造成:以風(fēng)險為基礎(chǔ)的資本監(jiān)管要求、建立在“已發(fā)生損失”模型下的貸款損失準(zhǔn)備計提方法、依照“公允價值”原則的會計方法以及金融機構(gòu)管理層的薪酬問題。據(jù)此,危機過后各個國家的監(jiān)管當(dāng)局紛紛提出將逆周期的思路引入到目前的金融監(jiān)管框架中來。其中,動態(tài)撥備作為一種緩解由以“已發(fā)生損失”模型為基礎(chǔ)的貸款損失撥備計提方法所導(dǎo)致的商業(yè)銀行順周期性的逆周期監(jiān)管工具被提出,并得到廣泛的重視。國際實踐中,西班牙是較早實施動態(tài)撥備的國家之一,有著豐富的實踐操作經(jīng)驗,且在本次危機中由于西班牙的商業(yè)銀行受到的不利沖擊較其他國家銀行小,動態(tài)撥備制度之優(yōu)點由是再次得到證明。本文從理論的角度闡述基于已發(fā)生損失模型的傳統(tǒng)貸款損失準(zhǔn)備制度和基于預(yù)期損失模型的動態(tài)撥備制度的順、逆周期性形成機制。同時通過介紹西班牙、哥倫比亞等國所建立的動態(tài)撥備制度,歸納總結(jié)各國在具體操作上的相似與不同之處,從而吸取有益的實踐經(jīng)驗,為我國實施動態(tài)撥備制度提供有益的借鑒。此外,運用面板數(shù)據(jù)模型對我國商業(yè)銀行貸款損失準(zhǔn)備是否存在順周期的特征進(jìn)行實證研究,結(jié)論為我國貸款損失準(zhǔn)備順周期性較為顯著。由于目前我國監(jiān)管當(dāng)局對商業(yè)銀行動態(tài)撥具體操作的有關(guān)規(guī)定仍較為模糊,本文通過借鑒西班牙等國動態(tài)撥備制度,結(jié)合中國的實際情況,提出了適合我國國情的動態(tài)撥備模型,并選擇2004-2014年中國銀行業(yè)總體的季度數(shù)據(jù)對模型進(jìn)行了模擬。針對目前我國銀行在信貸歷史數(shù)據(jù)完整性上的不足,本文還針對將來完善后的信貸數(shù)據(jù)提出了改良模型方案來提高動態(tài)撥備計提的準(zhǔn)確性,并對我國動態(tài)撥備的實施條件、動態(tài)撥備的局限性、會計處理等方面提出了有關(guān)建議。
[Abstract]:The pro-cyclical issue of the financial system has been the subject of discussion among governments and experts, especially since the outbreak of the global financial crisis in 2008. This discussion, which has become even more extensive and intense, has led to a general view that the pro-cyclical nature of the financial system is mainly due to four factors: risk-based capital regulatory requirements. Based on the "incurred losses" model, the loan loss reserve method, accounting methods based on the "fair value" principle and the compensation of the management of financial institutions. After the crisis, regulatory authorities in various countries have put forward the idea of countercyclical into the current financial regulatory framework. Dynamic provisioning is a pro-cyclical countercyclical regulatory tool for commercial banks, which is based on the "incurred losses" model. In international practice, Spain is one of the countries that implemented dynamic provisions earlier, and has rich experience in practice. And in the current crisis, Spain's commercial banks have suffered less than their counterparts in other countries. The advantages of dynamic provisioning system are proved again. This paper describes the traditional loan loss preparation system based on the incurred loss model and the dynamic reserve system based on the expected loss model from the theoretical point of view. At the same time, by introducing the dynamic reserve system established by Spain, Colombia and other countries, this paper summarizes the similarities and differences between countries in the specific operation, so as to learn useful practical experience. In addition, the panel data model is used to study whether there is a pro-cycle characteristic of loan loss preparation of commercial banks in China. Conclusion there is a significant pro-cyclicality for the preparation of loan losses in China. At present, the relevant regulations on the dynamic allocation of commercial banks by our country's regulatory authorities are still relatively vague. Based on the dynamic reserve system of Spain and other countries and the actual situation of China, this paper puts forward a dynamic reserve model suitable for the national conditions of our country. And selected the 2004-2014 Chinese banking industry overall quarterly data to simulate the model, aiming at the current Chinese banks in the integrity of the credit history of the lack of data. This paper also puts forward an improved model scheme to improve the accuracy of dynamic provision, and the implementation conditions of dynamic provision in China, the limitations of dynamic provision. Some suggestions on accounting treatment are put forward.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F831.2

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