本文關(guān)鍵詞： 貸款損失準備 順周期 信用風(fēng)險 融資杠桿　出處：《財經(jīng)研究》2017年07期 　論文類型：期刊論文

【摘要】：前瞻性貸款損失準備管理能夠平滑銀行信貸供給對宏觀經(jīng)濟的順周期影響,然而鮮有可經(jīng)驗估計的動態(tài)和前瞻性貸款損失撥備方法,從而限制了該宏觀審慎政策工具的使用空間及其實施效果。文章在借款人資產(chǎn)增速服從均值回復(fù)隨機過程的情景下,給出了借款人資產(chǎn)價值的動態(tài)隨機運動規(guī)律,并在結(jié)構(gòu)化模型框架內(nèi)刻畫了其信用風(fēng)險要素和前瞻性撥備要求。與結(jié)構(gòu)化模型不同的是,文章資產(chǎn)增速具有周期性和平穩(wěn)性等特征,使之既能契合前瞻性撥備管理的內(nèi)在要求,又有助于模型的經(jīng)驗估計和實施推廣�；诠I(yè)部門1993-2013年的資產(chǎn)負債等數(shù)據(jù),文章經(jīng)驗估計了該部門及其子行業(yè)未來的信用風(fēng)險及前瞻性撥備要求,同時基于銀發(fā)[2002]98號和銀監(jiān)發(fā)[2010]98號的有關(guān)規(guī)定估算了監(jiān)管要求的前瞻性準備成分和銀行實提的前瞻性準備成分,并根據(jù)它們理論映射的借款人目標杠桿和融資成本組合狀態(tài)研判了其適當性。文章深入揭示了不同杠桿和融資成本約束下工業(yè)部門的信用風(fēng)險及其演變趨勢,回答了銀行體系和監(jiān)管要求的前瞻性撥備管理是否適當?shù)葻狳c問題。
[Abstract]:Forward-looking loan loss reserve management can smooth the pro-cyclical impact of bank credit supply on the macroeconomic, but there are few empirical estimates of dynamic and forward-looking loan loss provisioning methods. This limits the use of the macro-prudential policy tool and its implementation effect. The article in the borrower asset growth rate from the average return to the stochastic process scenario. In this paper, the dynamic random movement of borrower's asset value is given, and its credit risk factors and forward-looking requirements are described in the framework of structured model. The asset growth rate in this paper has the characteristics of periodicity and stability, which makes it meet the inherent requirements of forward-looking provision management. It also contributes to the empirical estimation and implementation of the model. It is based on data such as assets and liabilities in the industrial sector for the period 1993-2013. The article estimates the future credit risk and forward-looking requirements of the department and its sub-industries, and based on silver hair, the paper estimates the future credit risk and forward-looking requirements of the department and its sub-industries. [2002] 98 and silver. [The relevant regulations of 98 estimate the prospective preparation component of regulatory requirements and the forward-looking preparation component of bank. And according to the borrowers' target leverage and financing cost combination state mapped by their theories, this paper studies its appropriateness. This paper deeply reveals the credit risk and its evolution trend of the industrial sector under different leverage and financing cost constraints. Answered the banking system and regulatory requirements for forward-looking provisions management and other hot issues.
【作者單位】： 復(fù)旦大學(xué)經(jīng)濟學(xué)院;
【基金】：國家自然科學(xué)基金面上項目(71673049) 教育部人文社會科學(xué)研究基金(14YJC790145)
【分類號】：F425;F832.4
【正文快照】： 一、引言在經(jīng)濟周期的下行階段,銀行的資產(chǎn)質(zhì)量趨于惡化,信貸資產(chǎn)的違約概率等信用風(fēng)險要素傾向于上升,進而導(dǎo)致了其監(jiān)管資本要求被動上升(Heid,2007;Lee等,2011)。然而,此時銀行通常難以進行增量的資本補充,進而被迫削減信貸供給,加速了宏觀經(jīng)濟的衰退進程,監(jiān)管資本要求的此

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