本文關(guān)鍵詞： 金融工具減值 預(yù)期損失模型 相關(guān)性 巴塞爾協(xié)議　出處：《財(cái)政部財(cái)政科學(xué)研究所》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：金融工具減值的目的在于確認(rèn)金融工具信用質(zhì)量的不利變動,現(xiàn)行的已發(fā)生損失模型要求存在客觀減值證據(jù)才能確認(rèn)減值,事實(shí)上在此之前,已經(jīng)存在未來信用質(zhì)量變動的預(yù)期損失信息,但當(dāng)前會計(jì)準(zhǔn)則規(guī)定不能確認(rèn)未來預(yù)期損失,這是對會計(jì)信息的忽視,沒有如實(shí)反映金融工具的實(shí)際情況,表明當(dāng)前金融工具減值準(zhǔn)則存在不符合會計(jì)計(jì)量要求的問題。實(shí)務(wù)中,金融工具價(jià)格會因此大幅下跌,出現(xiàn)“懸崖效應(yīng)”,尤其在金融危機(jī)時(shí)期表現(xiàn)特別明顯,廣大投資者沒有及時(shí)獲得信用質(zhì)量變動的信息,帶來實(shí)務(wù)操作的不便。所以,研究金融工具減值會計(jì)問題有助于拓寬和完善金融工具會計(jì)計(jì)量理論,也是解決實(shí)務(wù)處理的現(xiàn)實(shí)問題�；诖�,本文以金融工具減值會計(jì)問題為研究對象。 為改進(jìn)已發(fā)生損失模型,相繼出現(xiàn)多種減值計(jì)提方法,經(jīng)過比較本文認(rèn)為只有預(yù)期損失模型按照會計(jì)計(jì)量概念要求考慮未來預(yù)期損失,符合攤余成本計(jì)量的理念,是會計(jì)獨(dú)立監(jiān)管的體現(xiàn)。預(yù)期損失模型引發(fā)了會計(jì)計(jì)量面向過去還是面向未來,當(dāng)前會計(jì)收益與未來成本匹配的討論。本文認(rèn)為會計(jì)計(jì)量不能單純面向過去,當(dāng)前能夠觀測到的未來預(yù)期損失其實(shí)是該質(zhì)變事件在當(dāng)期的量變積累過程,是當(dāng)期發(fā)生量變的成本,符合匹配性原則。 探索預(yù)期損失模型理論可行性之后,本文以國際會計(jì)準(zhǔn)則理事會(IASB)和美國財(cái)務(wù)會計(jì)準(zhǔn)則委員會(FASB)征求意見稿中預(yù)期損失的確認(rèn)時(shí)間和確認(rèn)數(shù)量以及利息收入與預(yù)期損失的關(guān)系等爭論為線索,提出了預(yù)期損失模型的未來發(fā)展建議。本文認(rèn)為應(yīng)采用FASB的意見,對所有金融工具適用統(tǒng)一的預(yù)期損失估計(jì)和計(jì)提方法,以減少不同類別金融工具之間轉(zhuǎn)換帶來的懸崖效應(yīng),初始確認(rèn)開始便計(jì)提剩余生命周期的預(yù)期損失,使減值準(zhǔn)備余額完整反映未來可能發(fā)生的預(yù)期損失,為估計(jì)減值準(zhǔn)備的變動提供了比較基礎(chǔ),但本人也認(rèn)同IASB關(guān)于初始定價(jià)已考慮預(yù)期損失的看法,建議初始確認(rèn)時(shí)增加與初始預(yù)期損失同等數(shù)額的持有價(jià)值,避免雙倍確認(rèn)初始預(yù)期損失；因預(yù)期損失包括無法收回利息相關(guān)未來現(xiàn)金流的可能性,本文贊同IASB的建議,利息收入應(yīng)由經(jīng)信用損失調(diào)整后的實(shí)際利率確定,以攤銷合同利息中包含的預(yù)期損失。 為實(shí)現(xiàn)理論發(fā)展與操作便捷的均衡,本文通過對金融審慎監(jiān)管中信用風(fēng)險(xiǎn)減值模型與預(yù)期損失模型的對比研究,找出違約風(fēng)險(xiǎn)暴露、違約概率、違約損失率方面的差異并調(diào)整,得出進(jìn)行預(yù)期損失估計(jì)的實(shí)際可能方法。另外,通過舉例的方式詳細(xì)介紹了估計(jì)預(yù)期損失的遷移模型在未完全適用信用風(fēng)險(xiǎn)減值模型企業(yè)中的運(yùn)用。選擇應(yīng)用這些方法時(shí),應(yīng)當(dāng)特別注意對數(shù)據(jù)的調(diào)整并進(jìn)行充分的信息披露。 回到我國實(shí)務(wù),本文從企業(yè)內(nèi)外部環(huán)境分析我國執(zhí)行預(yù)期損失模型的現(xiàn)實(shí)挑戰(zhàn),并從優(yōu)化市場環(huán)境、促進(jìn)會計(jì)監(jiān)管與其他監(jiān)管的協(xié)調(diào)以及推動報(bào)告主體采取過渡性舉措三方面提出在預(yù)期損失模型尚未發(fā)布施行之前應(yīng)當(dāng)采取的改進(jìn)措施。 因本人研究水平有限,對預(yù)期損失模型的理解和分析帶有一定主觀色彩,且缺乏實(shí)際會計(jì)操作經(jīng)驗(yàn)和模型試驗(yàn)數(shù)據(jù),未來發(fā)展建議和實(shí)際可能方法的推測需要經(jīng)過進(jìn)一步的實(shí)踐檢驗(yàn)。
[Abstract]:The impairment of financial instruments to confirm the adverse changes in the credit quality of financial instruments, the loss model requires the existence of objective evidence of impairment impairment has occurred to the current, in fact before this, the future changes in the credit quality of the expected loss of information already exists, but the current accounting standards can not confirm the expected future losses, this is the neglect of accounting information the actual situation, did not accurately reflect the financial instruments, indicating that the current financial instruments impairment are not in line with the requirements of the accounting measurement problem. In practice, the price of a financial instrument will therefore fell sharply, "cliff effect", especially in the financial crisis especially, investors do not have timely access to credit quality changes of information, bring the practical operation inconvenience. Therefore, the research of financial instruments impairment accounting helps to broaden and improve the financial instruments accounting The theory of measurement is also a practical problem to solve practical problems. Based on this, this paper takes the financial tool devaluation accounting as the research object.
In order to improve the loss model, have appeared in a variety of impairment methods, after comparing the expected loss model only in accordance with the concept of accounting measurement requires the consideration of future expected losses, with amortized cost concept, is the embodiment of independent accounting supervision. Expected loss model caused the accounting measurement for past or the future, to discuss the current accounting earnings and future cost matching. This paper argues that accounting measurement not only for the past, the current can be observed in the future expected losses is actually the process of accumulation of a qualitative change in the event in the current period is the change of the quantity, cost, in accordance with the matching principle.
After exploring the expected loss model based on the theory of feasibility, the international accounting standards board (IASB) and the financial accounting standards board (FASB) time and confirm the draft of the expected loss and the amount of interest income and expected loss between arguments as a clue, puts forward suggestions for future development of expected loss model. This paper thinks that we should with FASB, all of the expected loss estimates and uniform application of financial instruments accounting method, in order to reduce the cliff effect conversion caused between different classes of financial instruments, the initial recognition began the life cycle of the remaining provision for expected losses, the impairment of balance reflect expected losses that may occur in the future, provide a basis for comparison estimated impairment of changes, but I also agree with IASB about the initial pricing has taken into account the expected loss of the initial recognition by suggestions Hold with the initial value plus the expected loss of the same amount, avoid double confirm initial expected loss due to the expected loss; including the possibility of uncollectible interest related to the future cash flow, this paper agrees with the recommendations of the IASB, interest income by the actual interest rate of credit losses adjusted to determine the expected loss of interest amortization contract contains.
In order to realize the development of theory and operation convenient equilibrium, through a comparative study on the credit risk of impairment of financial prudential supervision model and the expected loss model, find out the default risk exposure, default probability, default loss rate differences and adjustment, the actual method of estimating expected losses. In addition, by way of example in detail the estimation of expected losses in the migration model is not fully applicable by the enterprise credit risk impairment model. Selection and application of these methods, special attention should be paid to the adjustment of data and adequate information disclosure.
Back to the practice of China, this paper analyses the practical challenges of our implementation of the expected loss model from the enterprise internal and external environment, and the optimization of the market environment, promote the coordination of accounting supervision and other supervision and promote the body of the report put forward the improvement measures should be taken to take before the expected loss model has not yet promulgated the transitional measures in three aspects.
Due to my limited research level, the understanding and analysis of the expected loss model is subjective and lacks practical accounting experience and model test data. Future development recommendations and practical methods may need further practice.

【學(xué)位授予單位】：財(cái)政部財(cái)政科學(xué)研究所
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.42

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