商业银行对中小企业贷款难的再探讨

从商业银行对大企业和中小企业贷款风险和效益两方面进行对比分析,其中效益分为贷款成本和贷款收入两部分,应排除对于贷款难认识的误区,进而找出问题的根本所在以及商业银行解决对中小企业贷款难的对策.     

城区特征对房贷的影响

城区特征通过多种途径影响商业银行住房抵押贷款决策.商业银行可以根据城区特征判断一个城区的住房抵押贷款违约风险,进而确定对该城区的最低首付款比例或拒贷率.通过分析国外城区特征对商业银行住房抵押贷款决策的影响机制,联系我国实际情况,指出我国商业银行根据城区特征进行住房抵押贷款决策具有合理性,建议商业银行密切关注城区住房价格波动率,并建议政府限制中低收入城区商业银行的数量.     

CPV模型研究产业集群的经济周期性风险

本文在深入分析Creditportfolio View（CPV）模型的原理基础上，利用了现代信用风险KMV模型计算出我国产业集群的违约概率．然后利用CPV模型进行一系列的运算以校验违约概率，最后分析我国产业集群违约概率值的特点。     

An Analysis of SBA Loan Defaults by Maturity Structure

The financial intermediation literature on small business lending focuses on the determinants and costs to credit access. There is, however, little research examining the repayment behavior of small firms that actually receive loans. In this paper, we address this shortcoming in the literature by examining the default behavior of a sample of Small Business Administration 7(a) guaranteed loans with three distinct maturity structures. We employ a discrete-time hazard approach and show that SBA defaults are time-dependent and that the factors impacting default behavior, as well as its timing, are maturity specific. Specifically, we show the importance of loan maturity, seasoning, economic conditions, and other firm-specific factors in predicting the likelihood of SBA loan defaults. JEL classification: G21     

Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios

We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks’ lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks’ own loss given default estimates which might benefit from the analysis in this paper.     

辛迪加贷款和借款者联盟与中小企业融资

本文认为我国中小企业信贷市场上市场机制与竞争机制在运行中存在着缺陷,这是造成中小企业贷款难的一个本质原因,从而建议在中小企业贷款的设计中,从借贷两方引入合作机制,即贷款辛迪加和借款者联盟。以这种战略联盟的方式解决信息不对称,并起到节约交易成本的作用,在现有条件下弥补竞争机制运行中的缺陷,突破中小企业信贷的瓶颈。     

Valuing Mortgage Insurance Contracts in Emerging Market Economies

We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.     

The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data

The objective of this paper is to evaluate the impact on bank credit exposures to small- and medium-sized Spanish firms of the current proposal for reform of the 1988 Capital Accord using information from the Spanish Credit Register. Capital requirements for exposures to those firms, according to the various revisions of the proposed capital reform (from the January 2001 consultative document to the April 2003 one), are calculated to analyze whether the existing pattern of bank financing of small- and medium-sized firms might be altered. Finally, the incentives for individual banks to adopt the advanced internal ratings-based approach proposed by Basel II are evaluated.     

Bank Lending to Native American Applicants: An Investigation of Mortgage Flows and Government Guarantee Programs on Native American Lands

We investigate the efficacy of government guarantee programs for mortgage loans made on tribal lands by comparing lending outcomes for White applicants and Native Americans (NAs) living on- and off reservation lands. Simultaneous equations models with the loan-to-income ratio endogenous indicate both on- and off-reservation NA applicants experience higher conditional denial rates compared with otherwise similar White applicants. NAs living on-reservation are equally as likely to be approved for mortgage loans as off-reservation NAs. On-reservation applicants self-select lower loan-to-income ratios, and are held to a higher standard for this credit variable, likely because lower housing values and other economic variables challenge on-reservation applicants. Our findings suggest lack of financial resources, lack of applicant education about and experience with the mortgage process, low creditworthiness, and lender reluctance to confront burdensome bureaucracy limit on-reservation guarantee program success.     

The Impact of SFAS No. 114 on the Linear Information Dynamic for Commercial Banks

Increase (decrease) in loan loss provisions would decrease (increases) bank earnings, but increase (decreases) regulatory capital. Previous studies have separately documented earnings and capital management behavior via loan loss provisions by commercial banks. However, it is difficult to isolate a bank's demand for increasing earnings from its demand for regulatory capital because earnings is a source of capital. Based on the objective bank function, this study investigates the impact of SFAS No. 114 on the information content of loan loss provisions in relation to both earnings quality and capital adequacy in a linear information dynamic framework. Test results show that the association between market value with loan loss provisions became significantly stronger for commercial banks in the post- than in the pre-adoption period. As a result, SFAS No. 114 is also found to positively affect the association of market value with both bank earnings and regulatory capital through the clean surplus relation because of the higher value relevance of loan loss provisions. The findings thus provide empirical evidence that SFAS No. 114 has significantly complemented banking regulations in enhancing (reducing) the (dispersion from the) accounting measurement construct of loan loss provisions.