基于动态和前瞻性的贷款损失拨备适度性研究  

Study on the Moderateness of Loan Loss Provisions Based on the Dynamic and Looking-forward Perspective

作　　者：许友传[1,2] 刘庆富[1,2] 王智鑫[1,2] 

机构地区：[1]复旦大学经济学院,上海200433 [2]西北大学,陕西西安710127

出　　处：《金融研究》2011年第12期100-114,共15页Journal of Financial Research

基　　金：国家自然科学基金(70903012);教育部人文社会科学研究基金(09YJC790045);复旦大学金苗项目(09JM030)的资助

摘　　要：本文提出了一种动态和前瞻性的贷款损失准备方法,它允许我们在不同时间维度上估算各种情景下银行理论上应计提的贷款损失准备数量,在将之与监管当局要求的应提准备、以及银行自身的实提准备进行比较后,能对我国商业银行贷款损失拨备管理的适度性进行研判。研究表明我国商业银行当前的实提准备水平可能不低于其信贷资产的实际预期损失,而且监管当局对商业银行的贷款损失准备要求偏高了,但若从未来5年甚至更长时间维度内的预期损失的水平与变动趋势来看,其贷款损失准备要求又似有一定的合理性,但这并非意味商业银行在进行信贷风险评估和准备计提时,就应将较长时间维度内的不确定性预期纳入其决策范围。若监管当局和银行在设定和执行贷款损失准备政策时,考虑了信贷风险在太长时间维度内的动态特征和不确定预期,则很可能将部分本应作为资本管理的风险缓冲调整到贷款损失准备之中,这将混淆资本管理和贷款损失准备管理之间的数量边界以及它们对贷款损失和风险的覆盖与缓冲内涵。The paper puts forward a new kind of dynamic and looking-forward loan loss provisions method which permits us to evaluate the theoretic allotted provisions under diversified conditions from different time dimen- sions. After comparing the regulatory-demanded allotted provisions of the supervisory authority and the actual allotted provisions of commercial banks with the theoretic allotted provisions, we can conclude some normative judgments for the moderateness of loan loss provisions of the Chinese banking. The study indicates that the actu- al allotted provisions of China＇s commercial banks are probably not lower than that of the loan expected losses. The regulatory-demanded allotted provisions may be likely to be higher, while it has rationality to certain extent after considering the expected loss level and variational tends within 5 years or even longer time dimension. But it doesn＇t mean that commercial banks should consider the uncertain expectations within longer time dimension when they evaluate loan expected losses and manage loan loss provisions. It maybe adjust the risk buffer ought to be managed as capital management into loan loss provisions when the supervisory authority and commercial banks take into account the dynamic characteristic and uncertain expectation within too longer time dimension It will mix the quantitative boundary of capital management and loan loss provisions management.

关 键 词：贷款损失准备 动态准备 顺周期性 

分 类 号：F832.4[经济管理—金融学]