我国商业银行贷款损失拨备提取方法及适度性研究

本次的全球金融危机,引发了对商业银行贷款损失拨备顺周期性的关注。本文提出了一种新的前瞻性拨备计提方法,并对我国银行拨备的适度性进行了研究。结果表明,我国当前的拨备监管标准存在偏高的可能,而过量的贷款损失拨备会覆盖到银行的非预期损失,这就会催生银行贷款意愿降低、会计报告失真等问题,从而增加银行体系的风险。     

关于拨备覆盖率的思考

商业银行不良资产拨备覆盖率常常被作为衡最银行抵御信用风险能力的指标.本文认为,拨备覆盖率并非越高越好,南于其内在局限性,它反映银行抵御信用风险能力的准确程度受不良贷款结构和漏划不良贷款等因素的影响,并可能产牛扭曲对银行抵御风险能力的评价、掩盖银行真实的财务状况、影响银行利润的合理使用以及降低银行监管的严肃性和权威性等负面影响.因此,为完善拨备考核指标,本文提出应以预期损失为基础考核银行冲销不良贷款损失的实际能力,设计新的贷款减值拨备率指标;并认为在确定减值准备指标时,考虑系统性风险既无实际意义,也缺乏可操作性.     

贷款拨备、会计透明与银行稳健

贷款拨备政策不仅会影响到银行会计透明,而且也会影响到银行稳健经营。本文首先回顾了美国银行业1980年代以来在贷款拨备问题上的经验教训,以及美国银行界与会计界为此所展开的冲突和争论。然后,对我国银行业自建立贷款拨备政策以来所经历的政策变迁及其对银行稳健和会计透明的影响进行了经验分析。最后,在上述经验研究的基础上提出若干启示与建议。     

贷款损失拨备规则与银行顺周期行为——基于西班牙动态拨备规则的分析

不健全的拨备规则可能加剧银行的顺周期行为,危机后建立微观反周期机制的途径之一就是改革拨备规则.本文通过对西班牙动态拨备系统的经验分析表明,动态拨备规则虽不能消除商业银行的顺周期行为,但其较好地解决了拨备的充足性及其"旱涝保收"问题.提高了银行系统抵御风险的缓冲能力.随着银行业市场化改革的深入,我国应借鉴西班牙动态拨备经验,进一步完善我国的银行业拨备制度,提高国内银行的风险管理和抵御风险冲击能力.     

预期信用损失模型会缓解贷款拨备的顺周期效应吗？

已发生损失模型的主要缺陷之一在于其会加剧金融系统的顺周期效应。本文基于2015—2020年中国商业银行数据，以中国银行业分批执行预期信用损失模型为准自然实验，检验新模型能否弥补已发生损失模型的缺陷。本文发现，当银行采用预期信用损失模型后，贷款拨备的顺周期效应明显减弱。该效应减弱的重要机制在于，预期信用损失模型的实施对非自由裁量贷款拨备产生逆周期调节作用。进一步从银行外部治理环境和内部治理结构两个方面进行分析发现，拨备计提模型变更对拨备顺周期效应的削弱作用主要体现在由“四大”审计和实施高管薪酬延付的样本中。此外，本文研究表明，拨备计提模型变更可以削弱贷款拨备对信贷规模的负向冲击，缓解信贷顺周期现象。本文为中国及全球银行监管机构推进实施预期信用损失模型、完善贷款拨备监管制度提供了证据支持。     

上市商业银行贷款拨备计提发展方向研究

银行作为经营风险的企业,前瞻性地计提贷款准备金具有必然性。银行风险管理的前瞻性和预见性越来越成为衡量一家商业银行市场竞争能力、抵御金融风险能力的重要指标。巴塞尔新资本协议(BaselⅡ)从资本监管的角度对商业银行信贷资产信用风险损失的评估方法进行了规范。本文从国内外上市商业银行自身风险管理的角度出发,通过目前会计标准和监管标准的简要对比,对其贷款拨备计提的发展方向提出了建议,并力求通过二者关键因素的分析,从而建议商业银行有可能在实施BaselⅡ和会计准则过程中找到一个兼容并蓄的应用方案。     

基于灰色关联分析的商业银行贷款损失拨备计提研究

贷款损失拨备计提对防范商业银行的经营风险,提高商业银行经营的稳定性具有十分重要的作用.本文在对已有的几种典型的贷款损失拨备计提方法即现金流折现法、动态准备金法、压力测试准备金法和基于马尔科夫链迁移矩阵的贷款损失准备金法进行分析的基础上,运用灰色关联的相关理论,提出了一种新的基于灰色关联分析的商业银行贷款损失拨备计提方法,并对其适用性进行了详细的论证,本研究将为完善我国商业银行风险管理体系,提高风险管理效率提供必要的理论支撑和实践依据.     

国外有关商业银行贷款损失拨备与经济周期关系的研究

贷款损失拨备是商业银行抵御风险的第一道防线,其计提充分与否能影响银行资本吸收损失的能力,进而对经济周期的波动产生影响.在当前国内外金融监管当局再次关注金融机构跨经济周期稳健经营问题的背景下,本文总结了国外有关商业银行货款损失拨备经济周期关系的研究.     

信贷周期与银行风险拨备行为

本文首先在文献回顾的基础上阐述了银行信贷周期与资产损失之间的关系,并介绍了两种通行的风险拨备计提方法——现金流贴现法和压力测试方法,接着分析了银行风险拨备与信贷周期背离的原因,最后就我国银行采用现金流贴现法计提风险拨备的现状、问题及对策提出了自己的看法。     

Y银行财务风险评估与应对

模糊综合评判模型 （一）指标的选取和分类 本文选取了13项财务指标用于分析Y银行财务风险,将其分成两大类,为效益型指标：不良贷款率、最大十家客户贷款比率、总资产负债率、存贷比率、净拆借资金比率、成本收入比;成本型指标：拨备覆盖率、核心资本充足率、流动比率、现金流量债务比、资产利润率、资本利润率、每股收益。这些指标中既有对整个评价产生正向作用的指标也有负向的指标。     

Bank-type specific determinants of sensitivity of loan-loss provisions to business cycle

In this paper, we explore several new factors which may affect the procyclicality of loan-loss provisions in all commercial and cooperative banks operating in Poland between 2000 and 2012. More specifically, we test whether there are visible differences between commercial and cooperative banks in the sensitivity of those provisions to the business cycle. Our results show that whereas loan-loss provisions are procyclical in both cases, the procyclicality is particularly prominent and stronger in the case of commercial banks, than of the cooperative banks. Additionally, in contrast to existing findings, we establish that the negative impact of the business cycle on loan-loss provisions is greater in the case of small banks than of medium or large ones, this feature being common for both commercial and cooperative banks. We have identified two factors which affect procyclicality of loan-loss provisions in different ways for commercial and cooperative banks. The first factor is the empirical importance of capital adequacy ratio size. In commercial banks, the capital ratio size exerts a statistically significant impact on the procyclicality regardless of capitalization. The other factor is discretionary income-smoothing, as we find that the statistically significant increase of procyclicality due to the high discretionary income-smoothing is present only in cooperative banks.     

Does Financial Regulation Enhance or Impede the Efficiency of China's Listed Commercial Banks? A Dynamic Perspective

Unlike studies investigating only the characteristics of bank regulation that affect the concurrent static efficiency of banks, this paper uses a dynamic, slacks-based measure to study the persistent and intertemporal effects on the dynamic efficiency of banks in the long run. The authors find the following main results. First, the cost-to-income ratio has a significant negative effect on bank efficiency. Second, banks having higher loan-to-deposit and current ratios are more efficient than those with lower ratios. Third, the capital adequacy, provision coverage, and loan-loss provision ratios do not significantly affect bank efficiency.     

Book Reviews

Following the financial and banking crisis of the late 2000s, accounting regulators sought to replace the incurred-loss method of loan-loss provisioning by a more forward-looking expected-loss method. Difficulties arose, including with respect to the weight that expected-loss provisioning should place on objective evidence of loss relative to evidence of a less specific and more judgemental nature. This paper provides evidence relevant to this issue by examining whether loan-loss provisioning by UK banks was less timely under the stricter evidence requirements of the IAS 39 incurred-loss regime implemented in 2005 than under the less strict evidence requirements of the previous UK incurred-loss regime. It does so by reference to the relationship in time between loan write-offs and loan-loss expense. The results do not suggest that provisioning became less timely under the stricter evidence requirements of IAS 39. There is no evidence that provisioning became less timely immediately prior to the crisis of the late 2000s. Also, there is no evidence that general provisioning, permitted under the pre-IAS 39 regime, enhanced the timeliness of loan-loss provisioning. The results do not suggest that stricter requirements regarding the evidence necessary to support recognition of loan losses have resulted in less timely loan-loss provisioning.     

经济依赖度、盈余管理水平与审计独立性——来自上市商业银行的经验证据

以2001～2010年我国上市商业银行为研究对象,从盈余管理的角度,以异常贷款损失拨备作为审计独立性的代理变量,以未预期费用作为经济依赖的代理变量,验证了审计师在银行业的经济依赖对审计独立性的影响.研究结果表明,未预期审计费用、总费用和非审计费用率对异常贷款损失拨备没有显著影响,而未预期非审计费用则对异常贷款损失拨备具有显著的负向影响.总体而言,审计师在为上市商业银行提供业务过程中,过高的经济依赖,促使其接受了客户的盈余管理偏好,审计独立性受到损害.     

The effect of banks’ financial reporting on syndicated-loan structures

We explore how an accounting measure of information asymmetry between lead and participating lenders influences syndication structures by examining whether lead lenders’ commercial and industrial (C&I) loan-loss provision validity affects the fraction of loans they retain. We first conduct multiple tests showing that C&I provision validity reflects banks’ underlying screening and monitoring effectiveness. We then find lead lenders’ loan share decreases with C&I provision validity, but not with non-C&I provision validity. Consistent with an information effect, we further find this association is attenuated by (i) alternative information sources about the borrowers and (ii) previous lead/participant relationships and participant/borrower relationships.     

贷款损失准备计提与商业银行经营风险相关性研究 ——基于经理自主权视角

贷款损失准备的计提作为商业银行调节会计利润的手段,是否对商业银行经营风险有影响,是一个值得探讨的问题。基于我国上市商业银行2007-2017年的数据为研究样本进行实证分析,研究结果表明：贷款损失准备对商业银行经营风险有正向信号传递作用。其中,基于经理自主权计提的自由裁量部分能缓释经营风险,非自由裁量部分对经营风险产生加速放大效应,从而证明了自由裁量贷款损失准备能增强银行风险承担能力,为商业银行经理人员和监管者合理规范计提准备金提供新思路。     

Clawback provision adoption,corporate governance,and investment decisions

We examine the effect of corporate governance on the likelihood of clawback provision adoption, and its consequences in terms of corporate investment practices and risk‐taking behavior. We find that firms with strong governance (as proxied by board independence, diligence, and size) are positively associated with the firm's adoption of a clawback provision; whereas firms with weak governance (as proxied by management entrenchment, i.e., CEO duality status and tenure) are negatively associated with clawback provision adoption. Using the propensity‐score matching, difference‐in‐differences research design, and inverse Mills ratio to mitigate omitted variables and self‐selection biases, we find that after adopting a clawback provision, firms’ abnormal investment decreases and the firms’ investments are less risky.     

Forecast of the supply of healthcare in France

The aim of this article is to identify the main breakpoints liable to impact on the development of healthcare provision in France. The argument presented is based on the views of several health experts brought together as part of a working group chaired by the authors. The problems raised concern the nature of the patient–doctor relationship, the organisational characteristics of healthcare provision, the place occupied by protocol in medical practice, and the position of healthcare players in the value chain.     

Determinants of Trading Profits: The Liquidity Provision Decision

Theories show that liquidity provision implies negative contemporaneous correlation between trades and returns. Dealers on the Taiwan Stock Exchange are granted typical dealer trading advantages without obligations to provide liquidity and, thus, are ideal to test whether these advantages lead to voluntary liquidity provision (earning bid-ask spreads) or information trading (trading in the direction of the market). We find a strong positive correlation in aggregate, implying that these unrestricted dealers prefer information trading. We also find that smaller dealers are more likely to provide liquidity and that small-cap stocks (with larger bid-ask spreads) are more profitable for liquidity provision.     

商业银行风险拨备制度研究

本文首先从商业银行风险管理和会计理论角度研究分析了建立风险拨备制度的理论基础。其次回顾总结了我国商业银行风险拨备制度的历史沿革和发展现状,并结合国内五家上市银行2004年年报,简要分析了目前国内商业银行风险拨备管理情况和制度建设现状。在此基础上,笔者提出构建商业银行全面风险拨备体系的构想,结合上市银行计提减值准备的实际情况,对贷款、投资和应收款项减值准备计提相关问题进行具体分析,并提出在实施全面风险拨备管理过程中应该注意转变观念、规范操作、加强审计和监管力度、加大配套环境和制度建设等问题。