银行业应对"去产能去库存"的平凉实践

文章以平凉市为例分析了煤炭行业和房地产行业的产能过剩、库存及银行信贷情况,认为在去产能去库存方面存在的一些共性问题:对转型升级、低端需求下降的形势估计不足,投资、贷款决策以价格而非以最终需求为根本依据,部分商业银行信贷集中度过高等,提出了有效应对过剩产能和库存的对策建议:传统行业应以产品最终需求量决定供给量和产能,银行根据合理产能决定贷款量,银行业应开拓业务领域,降低贷款集中度,监管部门适当提高风险容忍度.     

透析产能过剩与资源枯竭型城市转型博弈中的金融链

《关于抑制部分行业产能过剩和重复建设引导产业健康发展的若干意见》明确了六大行业为产能过剩行业,萍乡市作为资源枯竭型城市,钢铁、水泥及平板玻璃为其传统支柱产业,煤化工和多晶硅也是其重点发展的城市转型接续产业,本文调查了萍乡市重点调控产业现有产能及信贷资金投入情况,对如何在产能调整与城市转型的博弈中,实现信贷资金风险控制,确保金融链的连续性等提出了相关的政策建议。     

浅谈银行对产能过剩行业贷款的风险管理

近期在相关政府部门和金融监管部门密集对产能过剩行业明确叫停的背景下,各家银行不约而同地提出从产能矛盾突出的行业退出。本文件深入分析当把大量资金贷放到钢铁等产能过剩的行业中时,银行将面临的风险,以及对银行信贷部门提出相应的管理措施,使银行业科学、合理把握信贷节奏,强化贷款的风险管理。     

浅谈银行对产能过剩行业贷款的风险管理

近期在相关政府部门和金融监管部门密集对产能过剩行业明确叫停的背景下,各家银行不约而同地提出从产能矛盾突出的行业退出.本文件深入分析当把大量资金贷放到钢铁等产能过剩的行业中时,银行将面临的风险,以及对银行信贷部门提出相应的管理措施,使银行业科学、合理把握信贷节奏,强化贷款的风险管理.     

工商银行严控产能过剩行业贷款

我国最大信贷银行中国工商银行从严控制产能过剩行业贷款发放．有效规避行业信贷风险和贷款过度集中风险。最新统计，去年底工商银行对11个产能过剩行业的贷款不良率平均为4％，比2005年6月末下降0．35个百分点。     

青海产能过剩行业融资情况调查

产能过剩行业是目前国家调控重点,但同时又是推动青海省经济增长的支柱行业.本文通过对青海产能过剩行业融资情况的调查分析,提出银行业应关注的风险以及如何推动产能过剩行业升级调整的意见建议.     

甘肃省部分行业去产能问题分析及信贷状况调查

文章分析了甘肃省钢铁、煤炭、水泥、有色金属等产能过剩行业的生产经营及产能利用情况,从整体融资、信贷投放、资产质量、信贷风险趋势四个方面分析了上述行业信贷投放及风险状况,进而分析了防范产能过剩行业信贷风险面临的主要困难和问题,一是贷款集中度高,存在信息不对称问题;二是担保有效性不足,关联交易加大信贷风险;三是行业预警体系不完善,缺乏有效的风险防控手段;四是不良贷款处置机制尚不完善,产能过剩行业债务加大金融机构存量风险。最后提出了有效防范金融风险的相关建议：推动产能过剩行业优化发展,加强和改进信贷管理,提高风险管控能力,加快不良贷款核销处置等。     

国务院出台化解产能严重过剩矛盾指导意见

落实有保有控的金融政策。对产能严重过剩行业实施有针对性的信贷指导政策,加强和改进信贷管理。对未取得合法手续的建设项目,一律不得放贷、发债、上市融资。依法保护金融债权。鼓励商业银行按照风险可控和商业可持续原则,加大对产能严重过剩行业企业兼并重组整合过剩产能、转型转产、产品结构调整、技术改造和向境外转移产能、开拓市场的信贷支持。     

产能、流动性"双过剩"给银行业带来的风险及监管对策

产能过剩和流动性过剩是近年来宏观经济运行出现的新问题,反映了我国宏观经济产业结构的深层次矛盾,二者具有内在的联系。本文从银行监管角度阐述产能和流动性“双过剩”对商业银行风险管理带来的压力,为防止产能和流动性“双过剩”带来银行系统性风险,提出针对性的监管建议。     

正确认识和积极化解产能过剩行业的风险

我国的产能过剩问题随着经济增长的放缓,显得更加突出,不仅使企业的经营效益出现大幅下降,也困扰着银行的信贷资产质量。如何来认识产能过剩,如何防范和化解产能过剩行业引发的信贷风险,支持经济实现有质量、有效益、可持续发展,已成为中国银行业亟待解决的一个重要问题。如何认识产能过剩经济发展方式的转型必然伴随着产业(行业)结构的调整,产业(行业)结构的调整必然带来银行的信贷结构调整。在过去的10多年里,中国经济依托基础设施的巨大投资,以及在加入WTO后的进出口快速增长,使中国的钢铁、化工、有色金属、煤炭、水泥建材、工程机械等     

Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach

Within a marking-to-model framework, this research computes the bank's capital charge for credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in three steps. The first one prices commitment credit risk as a Gram-Charlier put value and determines the commitment forward-funding proportion. In the second one, put value and funding proportion are combined to compute Basel-2 ‘fair’ capital charge for credit and operational risks. By producing a moderate total capital charge, marking-to-model offers substantial capital relief with respect to the corresponding charge computed with Basel-2 simplified approach. Both charges are however larger than the corresponding nil charge arrived at in Basel-1. In the third step, marking-to-model reveals its flexibility by showing how banks can determine the cost of their exposure to borrowers' credit-rating downgrades and how they can also hedge any exposure to commitment default risk.     

消费信贷与家庭人力资本投资

已有丰富的文献考察了消费信贷对家庭消费和投资行为的影响，但少有研究关注其对家庭人力资本投资的影响。家庭人力资本投资对于人力资本积累、经济高质量发展至关重要。基于此，本文考察了信用卡使用对家庭人力资本投资的影响及其影响机制，主要发现如下：信用卡使用显著增加了家庭人力资本投资，且这一效应具有长期动态影响并对城市、高收入、高教育程度家庭影响更为显著，这意味着信用卡消费信贷可能会增加人力资本不平等。进一步研究发现，家庭会增加劳动力供给来应对人力资本支出的增加。机制分析表明，信用卡使用主要通过增加家庭消费投资、促进消费升级、缓解家庭预算约束三种途径促进家庭人力资本投资。在风险可控的前提下，引导消费信贷流向有利于实体经济发展的领域，可助力于消费升级与人力资本积累，从而为经济发展提供新动能。     

金融支持科技农业发展问题研究

近年来,辽源银监分局积极督导辖内银行机构调整信贷结构,优化产业布局,加强农业科技资源与资金资源结合,扶持了一批成长性强、前景好的农业科技型企业,引领农业经济迅猛发展。但科技农业发展仍面临融资障碍,须进一步加大信贷支持力度。     

利用信用制度化解我国出口企业的信用风险

我国出口企业的交易方式及信用管理严重滞后,在国际营销中面临较大的信用风险,不利于我国外贸出口的稳定发展。为了帮助出口企业应对风险,我国必须建立完善的化解信用风险的信用管理及融资体制:建立出口企业信用征信体系;建立与国际接轨的担保制度;利用进出口银行对出口企业提供支持;借助多边投资担保组织;进一步开放私营机构参与我国出口企业保险业务等。     

新巴塞尔资本协议与商业银行操作风险量化管理

由于<新巴塞尔资本协议>把风险区分为市场风险、信用风险和操作风险,同时把操作风险纳入到资本充足率的计算之中;使得金融界对它的关注显著提高,并对量化操作风险提出了迫切要求.值得注意的是,国际上一些大银行在量化和度量操作风险管理上已经积累了较为丰富的经验,并取得一定的成就.目前我国的金融机构缺乏风险意识,尤其是在操作风险方面基本没有什么量化操作风险的科学方法,不能正确反映所承受的风险,操作风险的管理水平亟待提高.面对加入WTO之后国际金融机构在国内市场上的激烈竞争,我国金融机构应广泛借鉴国外商业银行的成功经验,加强操作风险的量化管理和研究.     

On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets: The Case of Argentina

A portfolio-based model (CreditRisk+ of Credit Suisse FirstBoston) and recent Central Bank of Argentina credit bureau dataare used to estimate whether current capital and provisioningregulations match actual risks. Arguing that provisions shouldcover expected losses and that capital requirements should coverpotential losses beyond expected losses subject to some statisticallevel of tolerance, the article assesses how well actual capitaland provisioning requirements match the estimated requirementsgiven by the model. Actual provisioning requirements were foundto be close to implied levels of expected losses. The estimateof potential losses was found to be highly sensitive to theassumptions of the model, especially the parameter relatingthe volatility of a loan's rate of default to its mean value.This volatility parameter cannot be estimated accurately withthe credit bureau data because of the short time span covered,so proxy data were used to estimate it, and two values aroundthat estimate were tried. The difficulty of estimating thiscritical parameter implies that the results should only be regardedas suggestive. Moreover, the methodology only seeks to estimatecredit risk and not interest rate risk or exchange rate risk,nor does it fully take into account the indirect effects ofinterest rates and exchange rates on credit risk. As recentevents in Argentina have demonstrated, estimating credit riskalong these lines should be thought of as just one tool in attemptingto assess the appropriate level of bank provisions and capital.     

Ratings-based credit risk modelling: An empirical analysis

Banks have recently developed new techniques for gauging the credit risk associated with portfolios of illiquid and defaultable instruments. These techniques could revolutionise banks' management of credit risk and could in the longer term serve as a more risk-sensitive basis for calculating regulatory capital on banks' loan books than in Basel 2, the new regulatory capital framework. In this paper we implement a popular credit risk model that exploits the information in credit ratings to determine a portfolio's value-at-risk. Using price data on large eurobond portfolios, we assess, on an out-of-sample basis, how well the model tracks the risks it is supposed to measure.     

Risk-Based Capital and Credit Insurance Portfolios

This paper analyzes the risk-management practices of a vulnerable credit insurer by studying the effects of time-varying correlations, asset risks and loan maturities on the risk-based capital that backs credit insurance portfolios. Since asset correlations may change over a business cycle, we have analyzed these effects by means of a one-factor Gaussian stochastic model as part of an extended contingent claims analysis. Our results show the need to account for cyclical changes to correlations in the pricing of credit insurance. When compared with the reserve of risk-based capital recommended by the Basel II Internal Ratings-Based (IRB) approach, our model provides a better capital buffer against extreme credit losses, especially in times of recession and/or in a risky business environment. Using a risk-adjusted performance metric (RAPM), we find insurers perform better when insuring relatively short-term loans. We also make several policy recommendations on creating a reserve of risk-based capital to protect against possible loan losses.     

银行业资本监管与中国经济增长关系研究

资本监管是银行业实施宏观审慎监管的核心内容,而银行资本在维持稳健经营和承担风险方面发挥着重要的作用。银行信贷构成了实体投资的主要来源,银行信贷规模变动带来的负面影响可能会造成经济的波动,侵害宏观经济增长。对我国银行业2003~2012年的情况进行的实证研究表明：监管压力增大会导致资本不足,银行信贷规模减少,当期监管压力值对当期信贷规模的作用比滞后一期监管压力值对当期信贷规模的作用更大一些。信贷规模对 GDP 的冲击效应是正向的。银行业资本监管压力对经济增长有一定的负面影响,但这种效应一般持续8个季度,这种负面影响在经济衰退时期表现得更为显著。