新会计准则下银行资产分类会计选择的理论建模

2007年1月1日起实施的新会计准则对商业银行最重要的影响在于资产分类方面的新规定。新准则规定基于管理者持有该证券的动机和是否具有持有到期的能力对金融资产分类。资产分类的不同决定着市场价值变化对盈利水平和银行权益的影响。本文考虑新会计准则对银行资产分类的可能影响,设计了一个债券类产品和贷款,根据投资者效用和动机研究银行的资产分类决策,对银行考虑新会计准则对其影响时的资产分类决策建模。模型的解表明,风险中性的银行权衡流动性需求、权益稳定、资产收益几个方面决定其金融资产的分类,而银行收益和股东价值仍主要取决于银行的投资战略和对市场的预期,对资产分类规定的变化不会影响银行的实际收益,但短期银行会考虑其流动性需求和监管资本的稳定性,来决定银行的分类决策。

The Modeling of Bank's Accounting Choice about Asset Classification under the New CASS

The most important impact of the new accounting standards executing from January 2007 on commercial banks is the asset classification.The new standards classify the financial assets based on the intent of managers holding the securities and their ability to hold the securities to maturity. The different classification will result in the different impact of the marketing value changes on the return and equity level.This paper designs one single treasury product,giving the bank assets as the new accounting standards requires,studying the bank(?) decision of asset classification accord- ing to the utilities and intents of investors,modeling the asset classification decision of bank when considering the new rule(?) impact.The resolu- tion of the model illustrates that risk-neutral banks classify the assets considering their liquidity needs,the equity stability and assets return.The return of the bank and the shareholders'vahe depend primarily on investment strategy and their expectation of the market.The classification of the asset itself doesnl affect the bank(?) actual return.In the short term,the bank will take the liquidity needs and the stability of regulatory capital into consideration to decide their classification.