Analytical Value-at-Risk and Expected Shortfall under regime-switching

It is well known that the use of Gaussian models to assess financial risk leads to an underestimation of risk. The reason is because these models are unable to capture some important facts such as heavy tails and volatility clustering which indicate the presence of large fluctuations in returns. An alternative way is to use regime-switching models, the latter are able to capture the previous facts. Using regime-switching model, we propose an analytical approximation for multi-horizon conditional Value-at-Risk and a closed-form solution for conditional Expected Shortfall. By comparing the Value-at-Risks and Expected Shortfalls calculated analytically and using simulations, we find that the both approaches lead to almost the same result. Further, the analytical approach is less time and computer intensive compared to simulations, which are typically used in risk management.     

贷款行为、盈余管理与贷款损失准备的动态调整

本文利用面板VAR模型及2004～2009年9家上市商业银行的数据,研究银行贷款损失准备计提与银行贷款行为、盈余管理策略的动态调整.研究发现,从中国代表性上市商业银行的经验证据来看,贷款损失准备的计提与净利润率之间存在显著的负相关关系;贷款损失准备计提影响了商业银行的贷款能力和商业银行的盈利水平,这证实了盈余管理行为的...     

贷款损失准备金与资本充足率监管——来自日本银行业的实证分析

在以资本充足率监管为核心的国际银行业监管框架内,贷款损失准备金是影响资本充足率监管有效性的重要因素。本文运用向量自回归模型实证考察了日本银行业贷款准备金政策对资本的影响,实证结果表明:(1)银行增加贷款准备金计提在短期内会对资本造成负面冲击,而长期内却有利于提高资本水平;(2)短期内贷款准备金对资本的负面冲击向长期内贷款准备金对稳定和提高资本水平均衡调整的速度很慢,意味着贷款准备金政策的缺陷严重削弱了日本银行业资本监管的有效性。本文从日本银行业贷款准备金政策的发展进一步分析了实证结果的原因,并且指出我国实施资本充足率监管在完善贷款准备金政策方面的建议。     

Evidence of Forward-Looking Loan Loss Provisioning with Credit Market Information

Our paper makes a fundamental contribution by studying loan loss provisioning over the credit cycle as three distinct phases. Looking at the three distinct phases of the financial crisis – the pre-crisis period, crisis period, and post-crisis period – is important as loan loss provisioning is driven by different factors in each, in part due to extensive shifts in (or in the application of) regulatory rule. Controlling for credit market information using data from the Senior Loan Officer Opinion Surveys (SLOOS) we extend the work of previous studies of forward-looking loan loss provisions using the delayed expected loss recognition approach. We contribute to the growing literature on forward-looking loan loss provisioning and early in the cycle loss recognition by incorporating a broader range of available credit information and explicitly controlling for structural breaks in the sample corresponding to the financial crisis.     

国际贷款损失准备金制度的最新发展及其对我国的启示

本文以巴塞尔新资本协议有关资本监管的内容为背景,总结了发达国家贷款损失准备金政策的最新发展,从准备金的分类、资本与准备金的关系等五个方面对发达国家的贷款损失准备金政策进行了比较分析。最后,对完善我国贷款损失准备金制度提出了若干看法与建议。     

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.     

Delayed Expected Loss Recognition and the Risk Profile of Banks

This paper investigates the extent to which delayed expected loan loss recognition (DELR) is associated with greater vulnerability of banks to three distinct dimensions of risk: (1) stock market liquidity risk, (2) downside tail risk of individual banks, and (3) codependence of downside tail risk among banks. We hypothesize that DELR increases vulnerability to downside risk by creating expected loss overhangs that threaten future capital adequacy and by degrading bank transparency, which increases financing frictions and opportunities for risk‐shifting. We find that DELR is associated with higher correlations between bank‐level illiquidity and both aggregate banking sector illiquidity and market returns (i.e., higher liquidity risks) during recessions, suggesting that high DELR banks as a group may simultaneously face elevated financing frictions and enhanced opportunities for risk‐shifting behavior in crisis periods. With respect to downside risk, we find that during recessions DELR is associated with significantly higher risk of individual banks suffering severe drops in their equity values, where this association is magnified for banks with low capital levels. Consistent with increased systemic risk, we find that DELR is associated with significantly higher codependence between downside risk of individual banks and downside risk of the banking sector. We theorize that downside risk vulnerability at the individual bank level can translate into systemic risk by virtue of DELR creating a common source of risk vulnerability across high DELR banks simultaneously, which leads to risk codependence among banks and systemic effects from banks acting as part of a herd.     

The Interaction of the IFRS 9 Expected Loss Approach with Supervisory Rules and Implications for Financial Stability

This paper examines the interaction of the International Financial Reporting Standard (IFRS) 9 expected credit loss (ECL) model with supervisory rules and discusses potential implications for financial stability in the European Union. Compared to the incurred loss approach of IAS 39, the IFRS 9 ECL model incorporates earlier and larger impairment allowances and is more closely aligned with regulatory expected loss. The earlier recognition of credit losses will reduce the build-up of loss overhangs and the overstatement of regulatory capital. In addition, extended disclosure requirements are likely to contribute to more effective market discipline. Through these channels IFRS 9 might enhance financial stability. However, due to the reliance on point-in-time estimates of the main input parameters (probability of default and loss given default) IFRS 9 ECLs will increase the volatility of regulatory capital for some banks. Furthermore, the ECL model provides significant room for managerial discretion. Bank supervisors might play an important role in the implementation of IFRS 9, but too much supervisory intervention bears the risk of introducing a prudential bias into loan loss accounting that compromises the integrity of financial reporting. Overall, the potential benefits of the standard will crucially depend on its proper and consistent application across jurisdictions.     

银行业贷款损失拨备的局限性

近期,中国银监会在已有的"贷款拨备覆盖率"基础上,对商业银行增加了新的贷款损失拨备监管指标"拨贷比",对商业银行将产生较为深刻的影响,这无疑是我国银行监管机构顺应"巴塞尔协议Ⅲ"国际金融监管趋势的重要举措,体现了后危机时代审慎的金融监管思路。本文结合作者长期银行风险管理工作     

Managerial Incentives for Income Smoothing Through Bank Loan Loss Provisions

We examine alternative underlying motives of bank managers in using loan loss provisions (LLP) to smooth reported income. Based on the analytical results of Fudenberg and Tirole (1995), we predict that for banks with good (poor) current performance and expected poor (good) future performance, managers will save income for (borrow income from) the future by reducing (increasing) current income through LLP. We also analyze three additional variables that could explain cross-sectional differences in the level of income smoothing. Our empirical analysis provides support for our predictions. The difference in LLP between the two groups of banks is positive as hypothesized, indicating that bank managers do save earnings through LLP in good times and borrow earnings using LLP in bad times. Similar results are obtained for analysis using discretionary LLP. When bank managers are saving earnings for the future, we provide evidence that the need to obtain external financing is an important additional variable in explaining cross-sectional differences in the extent of income smoothing. Furthermore, whether or not a bank is well capitalized is also weakly significant in explaining cross-sectional differences in income smoothing.     

CECL: Timely Loan Loss Provisioning and Bank Regulation

We investigate how provisioning models interact with bank regulation to affect banks' risk-taking behavior. We study an accuracy versus timeliness trade-off between an incurred loss model (IL) and an expected loss model (EL) such as current expected credit loss model or International Financial Reporting Standards 9. Relative to IL, even though EL improves efficiency by prompting earlier corrective action in bad times, it induces banks to originate either safer or riskier loans. Trading off ex post benefits versus ex ante real effects, we show that more timely information under EL enhances efficiency either when banks are insufficiently capitalized or when regulatory intervention is likely to be effective. Conversely, when banks are moderately capitalized and regulatory intervention is sufficiently costly, switching to EL impairs efficiency. From a policy perspective, our analysis highlights the roles that regulatory capital and the effectiveness of regulatory intervention play in determining the economic consequences of provisioning models. EL spurs credit supply and improves financial stability in economies where intervening in banks' operations is relatively frictionless and/or regulators can tailor regulatory capital to incorporate information about credit losses.     

银行业前瞻性贷款损失准备金计提方法的研究

在信贷市场信息不完全和历史成本会计法的条件下,银行前瞻性地计提贷款准备金具有必然性.本文从贷款定价的角度分析了银行计提贷款准备金的基本原理,基于对前瞻性的贷款准备金计提方法的理论依据、国际银行业的实施现状及所存在问题的考察,提出了基于马尔可夫链预测思想的前瞻性的贷款准备金的新思路,并分析了其运作机理及可行性.     

浅谈商业银行不良资产重组的难点及其对策

一、目前商业银行不良资产重组的难点 1、市场不完善制约了银行不良资产重组的规模和空间 银行不良资产是一种特殊的商品,与其它商品相比,一个共同的特性都是要通过市场交易而变成现金.     

并购贷款业务风险问题研究

商业银行并购贷款业务是拓宽融资渠道、创新融资方式的重大举措,突破了《贷款通则》关于借款人“不得用贷款从事股本权益性投资”的规定。本文试对商业银行开展并购贷款业务过程中存在的风险问题进行初步探索,并结合实际提出相应的对策建议。     

我国商业银行贷款呆帐准备金制度的历史沿革及其改革举措

当前，除上市商业银行执行财政部2000年度发布的《公开发行证券的商业银行有关业务会计处理补充规定》，可以自行决定呆帐准备金的提取之外，其他银行仍然执行1998年度发布的规定。由此可见,我国商业银行提取呆帐准备金未按其贷款的内在损失程度予以提取。     

我国商业银行贷款损失准备的效率分析

提取贷款损失准备金是商业银行应对信用风险的措施,无效的贷款损失准备对银行资本与盈利有一定的影响。以往的研究主要集中在银行有意愿操纵贷款损失准备方面,而对其贷款损失准备的决策效率很少涉及。贷款损失准备效率是指银行管理者对银行贷款损失准备决策的有效性,即实际设置的贷款损失准备与其有效边界的偏离程度。本文运用随机前沿模型研究了1998～2004年我国商业银行贷款损失准备的决策效率,实证结果发现,我国商业银行贷款损失准备决策效率具有一定的无效性,没有达到效率边界;股份制商业银行贷款损失准备的决策效率高于国有商业银行。     

Discretionary Loan Loss Provisions and Systemic Risk in the Banking Industry

This study examines the relation between earnings management through discretionary loan loss provisions (LLPs) and systemic risk in the U. S. banking sector using a large sample of commercial banks from 1996 to 2009. We find that earnings management increases a bank's contribution to systemic crash risk and systemic distress risk, consistent with the notion that earnings management increases information opacity, facilitates bad news hoarding, co‐moves with macroeconomic conditions, and exhibits cross‐sectional correlation and herding in earnings management. However, the effect of earnings management through discretionary LLPs on systemic risk disappears during the crisis period, consistent with weakened earnings management in crisis times. We also find that the same effect strengthens with bank uncertainty and homogenous loans, and weakens in the post‐SOX period, and when banks are audited by Big 4 auditors.     

贷款损失准备、盈余管理与商业银行风险管控

本文探讨了贷款损失准备在商业银行风险管控中的作用,以及盈余管理行为对这种作用的有效性的影响。研究发现,贷款损失准备能够有效应对商业银行风险:在当期贷款质量保持不变的前提下,商业银行的贷款损失准备越多,其未来一期的个体风险和外溢风险就越低。而盈余管理行为则削弱了贷款损失准备的风险应对能力:商业银行受盈余管理行为影响而未足额提取的准备越多,其未来一期的个体风险和外溢风险就越高。本文的结论对于会计准则和监管规则的优化都具有一定的借鉴意义。     

Oil Currency and the Dollar Standard: A Simple Analytical Model of an International Trade Currency

The U.S. dollar is the central reference currency for international trade pricing and the main invoicing currency for primary commodities. This paper links these two observations within a stylized theoretical framework, and shows how to obtain a quantitative estimate of the gain to the U.S. economy when the dollar is a reference currency. With dollar invoicing of primary commodities, U.S. firms bear less exchange rate risk than foreign firms. This asymmetry leads to a dollar standard in international goods pricing. We then derive a simple analytical formula to calculate the gains and find that they are extremely small.     

助贷业务的主要争论和解决方案研究

助贷业务符合银行数字化转型、技术与金融融合发展的大趋势,未来具有较大的发展空间。本文结合相关调研和研讨掌握的情况,围绕助贷业务“经营模式如何认定”“是否促进了普惠金融”“如何保护消费者利益”等三个方面,以及银行机构风控能否外包、助贷机构是否需要持牌经营、助贷业务是否践行普惠金融理念、地方性银行助贷业务能否跨区域经营、数据如何高效安全使用、催收如何依法高效实施等六个关键性争论,在厘清各方争论的逻辑和理由的基础上,提出了理性的解决方案和必要的监管建议。在监管政策上,助贷业务监管应该秉持及时性、渐进性和平衡性三大原则,同时尽快制定助贷业务的“负面清单”、摸清助贷业务的“风险底数”和明确金融机构的“展业标准”。