风险溢价、预期损失与预测贷款损失准备金

在信贷市场完全信息的假设下,以贷款风险溢价为基础计提的贷款损失准备金能够完全覆盖贷款预期损失.而在经济或行业处于繁荣或上升时期,银行扩张贷款总量、增加长期贷款、放松贷款标准的行为,实际上低估了贷款预期损失.应用马尔科夫链预测理论构建的预测贷款准备金模型,克服了预期现金流折现法、动态准备金法和压力测试准备金法存在的实施难度大、监管制约等缺陷,能够保持银行经营的稳定以及客观地反映盈利状况,可以作为改革贷款准备金政策的参考.

Loan Risk-Premium, Loan-loss-provision and Forecasting provisioning

Based on the assumption that the credit market is completely transparent, the paper, using Option-Pricing theory, analyzes loan pricing, expounds the inherent relationship between loan Risk-Premium and loan-loss-provision, and extracts the necessity of forecasting provisioning. Then, by analyzing and criticizing actual techniques in forecasting provisioning, the paper puts forward the innovatory technique Loan-Risk-Transfermatrix based on Markov Chain in forecasting provisioning, and discusses the t mechanism of this technique and its feasibility. The paper concludes with suggestions how to apply this technique in China.