本文選題：貸款損失準(zhǔn)備　切入點(diǎn)：前瞻性　出處：《中國(guó)海洋大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：次貸危機(jī)的爆發(fā)，使得金融機(jī)構(gòu)貸款損失準(zhǔn)備計(jì)提的順周期性引起國(guó)內(nèi)外監(jiān)管當(dāng)局的關(guān)注。在貸款損失發(fā)生時(shí)，貸款損失準(zhǔn)備計(jì)提不足就不能完全沖銷貸款損失，只能用銀行的利潤(rùn)或資本來(lái)彌補(bǔ)。若銀行的資本因此受到嚴(yán)重的侵蝕，就會(huì)引發(fā)銀行的資本危機(jī)，進(jìn)而引起銀行的破產(chǎn)倒閉。次貸危機(jī)的爆發(fā)也極大的說(shuō)明了逆周期工具在宏觀審慎監(jiān)管框架下是非常重要的。銀監(jiān)會(huì)2011年頒布的《中國(guó)銀行業(yè)實(shí)施新監(jiān)管標(biāo)準(zhǔn)的指導(dǎo)意見(jiàn)》要求建立動(dòng)態(tài)調(diào)整貸款損失準(zhǔn)備制度。2012年12月，巴塞爾委員會(huì)《第三版巴塞爾協(xié)議》，提出了逆周期超額資本。如果我們能使用前瞻性的貸款損失準(zhǔn)備計(jì)提方法，就可以減弱貸款損失準(zhǔn)備的順周期特征，，減少銀行的運(yùn)營(yíng)的風(fēng)險(xiǎn)。 從查閱的資料中看出，缺乏對(duì)貸款損失準(zhǔn)備周期特征進(jìn)行實(shí)證研究。本文對(duì)我國(guó)上市商業(yè)銀行2003—2012年的數(shù)據(jù)進(jìn)行面板數(shù)據(jù)回歸，實(shí)證分析了我國(guó)商業(yè)銀行貸款損失撥備計(jì)提的一些周期特征。在此基礎(chǔ)上，本文將16家上市商業(yè)銀行分為5家國(guó)有股份制商業(yè)銀行、8家全國(guó)股份制商業(yè)銀行、3家城市商業(yè)銀行，研究貸款損失準(zhǔn)備計(jì)提的前瞻性或后瞻性，以及和經(jīng)濟(jì)周期的關(guān)系，并對(duì)結(jié)果進(jìn)行對(duì)比。由于各類銀行經(jīng)營(yíng)決策不同，進(jìn)行比較分析時(shí)，結(jié)合各個(gè)銀行貸款損失準(zhǔn)備制度的演變，實(shí)施現(xiàn)金流折現(xiàn)法的時(shí)間，得出結(jié)論。 本文研究發(fā)現(xiàn)，對(duì)16家上市商業(yè)銀行的實(shí)證分析結(jié)果顯示，貸款損失準(zhǔn)備具有后瞻性，呈現(xiàn)順周期的特征，貸款損失準(zhǔn)備與違約風(fēng)險(xiǎn)暴露正相關(guān)，存在利潤(rùn)平滑行為。針對(duì)16家上市商業(yè)銀行分別分析得知，農(nóng)業(yè)銀行、中國(guó)銀行、招商銀行、建設(shè)銀行、華夏銀行和光大銀行貸款損失準(zhǔn)備呈現(xiàn)前瞻性，城市商業(yè)銀行貸款損失準(zhǔn)備順周期性最為明顯。結(jié)合實(shí)施現(xiàn)金流折現(xiàn)法的時(shí)間對(duì)16家銀行進(jìn)行對(duì)比得出未來(lái)現(xiàn)金流量折現(xiàn)法比貸款五級(jí)分類計(jì)提法更具有前瞻性，未來(lái)現(xiàn)金流折現(xiàn)法是更科學(xué)的計(jì)提方法。 從操作層面看，在宏觀審慎監(jiān)管框架下動(dòng)態(tài)準(zhǔn)備金制度是一種逆周期工具。在動(dòng)態(tài)準(zhǔn)備金制度下，銀行貸款損失準(zhǔn)備會(huì)更多的表現(xiàn)出逆周期的特征，在經(jīng)濟(jì)繁榮的時(shí)候計(jì)提較多的貸款損失準(zhǔn)備，在經(jīng)濟(jì)衰退的時(shí)候計(jì)提較少的貸款損失準(zhǔn)備。這種制度與后瞻性的貸款損失準(zhǔn)備制度相比，可以有效地降低銀行的順周期效應(yīng)。本文著重分析了西班牙動(dòng)態(tài)準(zhǔn)備制度。在該制度下，雖然銀行的順周期特征不能完全消除，但是是解決貸款損失準(zhǔn)備充足性的一個(gè)很好的辦法，增強(qiáng)了銀行運(yùn)行的安全性和抵御風(fēng)險(xiǎn)的能力。文章分析了西班牙動(dòng)態(tài)準(zhǔn)備金制度的優(yōu)點(diǎn)，我國(guó)執(zhí)行該制度當(dāng)前所面臨的挑戰(zhàn)以及西班牙動(dòng)態(tài)準(zhǔn)備金制度對(duì)我國(guó)的啟示。最后提出了提升我國(guó)貸款損失準(zhǔn)備管理水平的建議，涉及會(huì)計(jì)稅收、完善未來(lái)現(xiàn)金流折現(xiàn)法及監(jiān)管措施等諸方面。
[Abstract]:With the outbreak of the subprime mortgage crisis, the pro-cyclicality of loan loss reserve provisions in financial institutions has attracted the attention of domestic and foreign regulatory authorities. When loan losses occur, insufficient provision for loan losses will not be able to completely write off loan losses. It can only be made up of the profits or capital of the banks. If the capital of the banks is seriously eroded, it will lead to the capital crisis of the banks. The outbreak of the subprime mortgage crisis also shows that countercyclical instruments are very important under the framework of macro-prudential supervision. The Banking Regulatory Commission issued on 2011 the implementation of the new regulatory standards for China's banking industry. The guidance requires the establishment of a dynamic adjustment loan loss reserve system. December 2012, The Basel Committee, the third edition of the Basel Accord, proposes countercyclical excess capital. If we can use forward-looking loan loss reserve accounting methods, we can reduce the pro-cyclical character of loan loss preparation. Reduce the risk of bank operations. From the reference data, we can see that there is a lack of empirical research on the characteristics of loan loss reserve cycle. This paper carries out panel data regression to the data of China's listed commercial banks from 2003 to 2012. On the basis of this, 16 listed commercial banks are divided into 5 state-owned joint-stock commercial banks and 8 national joint-stock commercial banks and 3 urban commercial banks. To study the forward-looking or backward nature of loan loss preparation, and its relationship with the economic cycle, and to compare the results. Combined with the evolution of bank loan loss reserve system, the time of implementing cash flow discounting method is obtained. The results of empirical analysis of 16 listed commercial banks show that loan loss preparation is backward and pro-cyclical, and loan loss preparation is positively related to exposure to default risk. There is a profit smoothing behavior. According to the analysis of 16 listed commercial banks, respectively, the Agricultural Bank, Bank of China, China Merchants Bank, China Construction Bank, Huaxia Bank and Everbright Bank are looking forward to loan losses. The pro-cyclicality of city commercial banks' loan loss reserve is most obvious. In combination with the time of implementation of the cash flow discounting method, 16 banks are compared. The future cash flow discount method is more forward-looking than the five-level loan classification method. The method of discounted cash flow in the future is a more scientific method. From the operational level, the dynamic reserve system is a counter-cyclical tool under the framework of macro-prudential supervision. Under the dynamic reserve system, the bank loan loss preparation will show more counter-cyclical characteristics. When the economy is booming, more loan losses are prepared, and when the economy is in recession, there is less provision for loan losses. This system is compared with the backward loan loss reserve system. This paper focuses on the analysis of Spanish dynamic reserve system. Under this system, although the pro-cyclical characteristics of banks cannot be completely eliminated, However, it is a good way to solve the problem of adequacy of loan loss preparation, which enhances the safety of banks and the ability to resist risks. This paper analyzes the advantages of Spain's dynamic reserve system. The challenge that our country faces in implementing this system and the inspiration of Spain's dynamic reserve system to our country are put forward. Finally, some suggestions are put forward to improve the management level of loan loss reserve in China, which involves accounting and taxation. Improve the future cash flow discounted method and regulatory measures and other aspects.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.4

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本文編號(hào)：1609889