發(fā)布時間：2018-06-29 00:36

  本文選題：貸款損失撥備 + 順周期　； 參考：《華中科技大學(xué)》2013年碩士論文

【摘要】：美國次貸危機(jī)表明，現(xiàn)行國際會計(jì)準(zhǔn)則下基于已發(fā)生損失模型的撥備計(jì)提方法具有明顯的順周期性，加劇了本次金融危機(jī)的波動。近年來，國際上的監(jiān)管組織開始研究引入動態(tài)撥備制度，而且研究表明，動態(tài)撥備能夠提高銀行體系的風(fēng)險(xiǎn)緩沖能力，可以作為危機(jī)后抑制銀行順周期行為的逆周期監(jiān)管工具。西班牙是較早實(shí)行動態(tài)撥備制度的國家之一，有著較為成熟的操作經(jīng)驗(yàn)。西班牙于2000年引入了動態(tài)撥備制度，并在2004年對制度進(jìn)行了一次修正，雖然動態(tài)撥備制度的引進(jìn)在一定時期內(nèi)降低了西班牙國內(nèi)銀行的市場競爭力，但是它對于西班牙對抗2008年金融危機(jī)，，實(shí)現(xiàn)經(jīng)濟(jì)的迅速回升有著不可忽略的功績。本文運(yùn)用案例分析的方法詳盡的分析了西班牙動態(tài)撥備制度原理、內(nèi)容、操作實(shí)踐以及實(shí)際表現(xiàn)，并運(yùn)用MATLAB編程方法模擬動態(tài)撥備的模型運(yùn)行結(jié)果，分析撥備各部分的逆周期性表現(xiàn)。結(jié)論發(fā)現(xiàn)動態(tài)撥備制度下的撥備存量變化能夠很好的克服經(jīng)濟(jì)的周期性。客觀上說，動態(tài)撥備制度并不能消除銀行系統(tǒng)內(nèi)的順周期性，但是它可以在一定程度上減弱順周期性的影響，降低危機(jī)中的損失程度。 隨著我國金融業(yè)與國際接軌，銀行系統(tǒng)內(nèi)的陳舊的撥備計(jì)提制度使得我國信貸累積了巨大的潛在損失風(fēng)險(xiǎn)，得益于金融的開放程度較低，這些風(fēng)險(xiǎn)并沒有在本次金融危機(jī)中爆發(fā)出來，但是借鑒國際上先進(jìn)的經(jīng)驗(yàn)來完善自身制度對于日益開放的我國金融業(yè)有著十分重要的意義。文章中借鑒西班牙的制度模型和操作經(jīng)驗(yàn)，并結(jié)合《巴塞爾協(xié)議Ⅲ》指引中的指示變量的設(shè)定，對于不同經(jīng)濟(jì)形勢下的撥備政策作出參數(shù)上的調(diào)整，設(shè)計(jì)出我國實(shí)施動態(tài)撥備制度的模型，并結(jié)合中國銀行業(yè)近幾年的撥備數(shù)據(jù)運(yùn)用MATLAB軟件模擬計(jì)算對應(yīng)的動態(tài)撥備數(shù)量，分析我國當(dāng)前信貸系統(tǒng)中的潛在風(fēng)險(xiǎn)的大小，并從稅收、會計(jì)、數(shù)據(jù)來源和部門協(xié)調(diào)監(jiān)管方面提出建議。
[Abstract]:The subprime mortgage crisis in the United States shows that the current international accounting standards based on the model of incurred losses have a clear pro-cyclical provisions, which has exacerbated the volatility of the financial crisis. In recent years, international regulatory organizations have begun to study the introduction of dynamic reserve system, and the research shows that dynamic reserve can improve the risk buffering ability of the banking system, and can be used as a counter-cyclical regulatory tool to restrain the pro-cyclical behavior of banks after the crisis. Spain is one of the countries that implemented the dynamic reserve system earlier and has more mature operation experience. Spain introduced the dynamic reserve system in 2000 and revised the system in 2004, although the introduction of the dynamic provision system reduced the market competitiveness of the Spanish domestic banks for a certain period of time. But it has a remarkable contribution to Spain's rapid recovery from the 2008 financial crisis. In this paper, the principle, content, operation practice and actual performance of Spanish dynamic reserve system are analyzed in detail by the method of case analysis, and MATLAB programming method is used to simulate the model operation result of dynamic reserve. The counter-periodic performance of each part of the provision is analyzed. It is found that the change of reserve stock under dynamic reserve system can overcome the periodicity of economy. Objectively speaking, dynamic reserve system can not eliminate the procyclicality in the banking system, but it can weaken the procyclical effect to a certain extent and reduce the loss degree in the crisis. With China's financial industry in line with international standards, the antiquated provisions and provisions system in the banking system has accumulated huge potential loss risks for credit in China, and benefited from the low degree of financial openness. These risks did not erupt in the current financial crisis, but it is of great significance to improve our financial system by learning from the international advanced experience. This paper draws lessons from Spain's institutional model and operational experience, and adjusts the parameters of the reserve policy under different economic situations, combining with the setting up of the indicator variables in the Basel Accord 鈪

本文編號：2080051