股份制改革时期的不良资产化解

2000-2005年间,我行确立了“效益、质量、管理、创新”八字方针,制订了以降低不良资产和提高经营效益为核心的发展目标,作出了实施“确保新增贷款质量,遏制存量贷款劣变,盘活和消化存量不良贷款”三大战役的总体部署,采取了新老贷款划断管理.     

国有商业银行贷款劣变诱因及其应对

近年来,某些国有商业银行仍存在不良贷款前清后欠、底数不清、新增贷款质量不高等现象。贷款劣变的原因主要有以下几个方面。     

防范商业银行借新还旧贷款风险的思考

当前,信贷资产质量已成为我国银行业,特别是国有商业银行股份制改造过程中最为突出的问题.随着各国有商业银行对不良资产的逐步剥离,不良贷款监控重点也将有所调整.从现有存量贷款情况看,各银行优质客户贷款短期内形成不良的机率较低,低信用等级客户贷款则随时可能发生劣变,而这些低信用等级客户的贷款大多为借新还旧贷款.     

防范商业银行借新还旧贷款风险的思考

<正>当前,信贷资产质量已成为我国银行业,特别是国有商业银行股份制改造过程中最为突出的问题。随着各国有商业银行对不良资产的逐步剥离,不良贷款监控重点也将有所调整。从现有存量贷款情况看,各银行优质客户贷款短期内形成不良的机率较低,低信用等级客户贷款则随时可能发生劣变,而这些低信用等级客户的贷款大多为借新还旧贷款。因此,对这些贷款的处置,将对银行不良贷款控制起决定作用。本文对商业银行借新还旧贷款存在的相关问题进行了分析。     

不良贷款“双降”时代终结北大核心

国际金融危机以来,人们开始对商业银行的信贷资产质量问题格外关注,尤其是我国银行业的不良贷款余额和不良贷款率已经连续四个季度双双上涨,引发了社会担忧。那么如何看待不良贷款连续＂双升＂问题？不良贷款率连续上升是否说明银行资产质量劣变？此次不良贷款率连续上升的背景和原因又是什么？五级贷款分布、行业分布结构又呈现出什么样的复杂情况？银行风险管理部门又该做如何决策？本期＂特别关注＂栏目特邀银行界的专家学者共同就以上问题进行解读、分析,以飨读者。     

银行经营转型与不良贷款控制策略

风险管理是商业银行经营管理过程永恒的主题。目前在新的形势下,尤其是国有商业银行进行财务重组后,虽然整个银行业不良贷款的余额和占比呈现了双下降,但不良贷款仍源源不断“冒出”,并呈现出如下明显特征:一是整个贷款形态出现后移;二是劣变的突发性强;三是信贷风险监控难度大     

不良贷款“双降”时代终结

国际金融危机以来,人们开始对商业银行的信贷资产质量问题格外关注,尤其是我国银行业的不良贷款余额和不良贷款率已经连续四个季度双双上涨,引发了社会担忧. 那么如何看待不良贷款连续“双升”问题?不良贷款率连续上升是否说明银行资产质量劣变?此次不良贷款率连续上升的背景和原因又是什么?五级贷款分布、行业分布结构又呈现出什么样的复杂情况?银行风险管理部门又该做如何决策? 本期“特别关注”栏目特邀银行界的专家学者共同就以上问题进行解读、分析,以飨读者.     

贷款资产质量迁徙的统计与预测分析——基于湖北省法人金融机构贷款样本

本文利用湖北省法人机构贷款抽样样本,构建贷款资产质量迁徙矩阵,研究分析贷款质量迁徙的主要特征和趋势。在此基础上,运用马尔科夫模型,对贷款质量迁徙进行了预测,并对贷款质量迁徙现象作出了评论分析。     

严格防控保证担保项下的融资风险

保证担保是商业银行常用的一种融资风险缓释工具,在融资决策和风险管理中有着十分重要的作用。但保证担保的情况比较复杂,风险识别难度较大,在一定情形下还具有放大信用倍数,增加杠杆率的作用。中国银行业连续7个季度的不良贷款上升,其中保证担保项下的贷款劣变占比较高。本文就此做些分析。     

商业银行贷款五级分类问题实证分析

2002年我国商业银行全面实施贷款质量五级分类，各家银行都根据中国人民银行《贷款风险分类指导原则》以及各自总行“分类实施细则”对贷款质量进行分类。贷款质量五级分类的实施对揭示贷款的实际价值和风险程度，真实、全面、动态地反映贷款质量起到了积极的作用。但在贷款质量五级分类管理实施过程中还存在一些亟待解决的问题，如不尽快解决，将影响整个贷款质量五级分类工作的实施。     

Moral hazard and adverse selection in the originate-to-distribute model of bank credit

Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale of their loans. Therefore, either banks are originating and selling loans of lower quality borrowers based on unobservable private information (adverse selection), and/or loan sales lead to diminished bank monitoring that affects borrowers negatively (moral hazard). We propose regulatory restrictions on loan sales, increased disclosure, and a loan trading exchange/clearinghouse as mechanisms to alleviate these problems.     

Learning by lending

This paper studies bank learning through repeated interactions with borrowers from a new perspective. To understand learning by lending, we adapt a methodology from labor economics to analyze how loan contract terms evolve as banks acquire new information about borrowers. We construct “proxy” variables for this information using data from borrowers’ out-of-sample, future credit performance. Due to the timing of their construction, banks could not have used these variables directly to price loans. We nonetheless find that these proxies increasingly predict loan prices as relationships progress, even after controlling for possible omitted variable bias. Our methodology provides strong evidence that: (a) bank learning affects loan prices, and (b) relationship benefits are heterogeneous. In particular, higher quality borrowers face differentially lower spreads as their relationship with lenders develop – and banks learn about their quality – while lower quality borrowers see loan prices increase and their loan amounts fall. We further find suggestive evidence that banks incorporate CEO-specific information into loan prices.     

利率上浮及其与贷款基准利率的关系探究

对31个省市2005-2015年的1~3年期贷款利率上浮幅度进行测算,并通过统计分析与面板模型对其与贷款基准利率的关系进行探索性研究,结果显示:贷款利率上浮幅度与贷款基准利率负相关,贷款利率上浮幅度自2010年开始快速上升;不同地区的上浮幅度差异大,存在明显的区域异质性,中国人民银行通过基准利率调整进行宏观调控时,主要对北京市、上海市的贷款利率形成传递效应,对其它地区的影响相对较小;且随着时间的推移,基准利率政策的有效性越来越低.因此,为发挥基准利率政策的有效性,应在适度区间进行基准利率调节,加强中国人民银行对地方性商业银行的宏观审慎管理能力,同时与数量型货币政策相配合.     

Fairly priced deposit insurance,incentive compatible regulations,and bank asset choices

This article provides incentive compatible regulations that support fairly priced deposit insurance in a competitive banking industry. If informational asymmetry exists between the regulator and banks regarding loan quality, but the regulator can observe actual loan rates charged, then imposing a capital requirement schedule that leads market loan rates to decrease in loan quality is shown to be incentive compatible. Competition in the loan market induces banks to be indifferent to all loans that satisfy a minimum acceptable quality and reject all riskier loans. The regulator could reduce the banking industry's riskiness by imposing stricter capital requirements that increase this minimum quality.     

The Capitalization of Consumer Financing into Durable Goods Prices

Using loan‐level data on millions of used‐car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to offset 60% to 90% of the monthly payment increase. Most of this is driven by shifting toward lower‐quality cars, but affected borrowers offset 20% to 30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods prices adjust to reflect credit terms even at the individual level, with one year of additional loan maturity increasing a car's price by 2.8%.     

Enhancing Loan Quality Through Transparency: Evidence from the European Central Bank Loan Level Reporting Initiative

We explore whether transparency in banks’ securitization activities enhances loan quality. We take advantage of a novel disclosure initiative introduced by the European Central Bank, which requires, as of January 2013, banks that use their asset‐backed securities as collateral for repo financing to report securitized loan characteristics and performance in a standardized format. We find that securitized loans originated under the transparency regime are of better quality with a lower default probability, a lower delinquent amount, fewer days in delinquency, and lower losses upon default. Additionally, banks with more intensive loan level information collection and those operating under stronger market discipline experience greater improvement in their loan quality under the new reporting standards. Overall, we demonstrate that greater transparency has real effects by incentivizing banks to improve their credit practices.     

The Effect of Forward‐looking Criteria and IFRS on the Informativeness of Banks’ Loan Loss Allowances: Evidence from Korea

This study analyses how forward‐looking criteria (FLC) and International Financial Reporting Standards (IFRS), as well as changes in accounting principles, affect the informativeness of banks’ loan loss allowances. The results indicate that although the relationship between non‐performing loans and loan loss allowances strengthened after the application of FLC, the relationship between non‐performing loans and loan loss allowances weakened and that between net charge‐offs and loan loss allowances strengthened after the application of IFRS, presumably because banks delayed the reflection of insolvent loans on loan loss allowances in the latter case. Moreover, the introduction of IFRS did not improve the ability to predict the future charge‐off scale using loan loss allowances, referred to as the ‘informativeness of loan loss allowances’. This result occurred because IFRS's incurred loss model does not incorporate the impact of macroeconomic situations into loan loss allowances in the early stage, although it does enhance the accuracy of loan loss allowances. By exploring the effect of accounting principles on the determinants of loan loss allowances, this study has implications for the assessment of loan loss allowances, capital adequacy and asset quality for stakeholders such as depositors, creditors, capital markets and financial supervisory authorities.     

Audit Quality and the Market Valuation of Banks’ Allowance for Loan Losses*

The recent banking crisis has led market participants to focus on the adequacy and quality of banks’ balance sheet items such as the allowance for loan losses. Beaver and Engel (1996) document that the capital market prices the nondiscretionary component of loan loss allowance negatively and the discretionary component less negatively. Using data from the pre‐crisis period and three measures of audit quality, auditor type (i.e., Big 5 versus non–Big 5), auditor industry specialization/expertise, and audit and nonaudit fees paid to auditors, we examine the effect of audit quality on the market valuation of the discretionary component of the allowance for loan losses. We find that, relative to the nondiscretionary component, the market valuation of the discretionary component of loan loss allowance is higher for banks audited by Big 5 auditors than for banks audited by non–Big 5 auditors. We also find that the relative market valuation of the discretionary component of loan loss allowance is increasing in auditor expertise. Regarding the impact of fees paid to auditors, we find that banks paying higher audit fees have higher relative market valuation of the discretionary component of the allowance for loan losses, but banks that pay higher nonaudit fees do not.     

Additional Credit for Liquidity-Constrained Individuals: High-Interest Consumer Credit in Korea

We find that the delinquency probability on formal sector debts of private loan borrowers in Korea increases from 2.4% to 20% in the first year after the borrowing and to 32% in the second year. This increase happens despite private loan borrowers trying to rebuild their financial health by reducing formal sector debts, credit card cash service balances, and credit card purchases during the post-borrowing period. This limits the possibility of moral hazard driving the results. Private loan amounts are positively associated with the delinquency probability after controlling other commonly used variables, suggesting that they contain additional information on the worsening financial situation of an individual.     

Capital regulation,heterogeneous monitoring costs,and aggregate loan quality

This paper develops a banking-sector framework with heterogeneous loan monitoring costs. Banks are exposed to the moral hazard behavior of borrowers and endogenously choose whether to monitor their loans to eliminate this exposure. After analyzing an unregulated banking system, we examine several cases in which regulatory capital requirements bind the notional loan supplies of various subsets of banks. To gauge the impact of capital requirements, we define loan ‘quality’ in terms of either the ratio of monitored to total loans or the ratio of monitoring banks to total bank population. Under the assumption of a specific cross-sectional distribution of banks, our simulations show that the imposition of binding capital requirements on a previously unregulated banking system unambiguously increases the market loan rate and reduces aggregate lending, but has an ambiguous effect on loan ‘quality’. Nevertheless, once capital requirements are in place, the simulations indicate that regulators can contribute to higher overall loan ‘quality’ by toughening capital requirements.