商业银行贷款损失准备计提效率及其影响因素研究——基于非参数方法的效率测度  

The Efficiency Of Loan Loss Provision In Commercial Banks And Its Influence Factors——From the view of DEA method

作　　者：张瑞稳[1] 樊平[1] 

机构地区：[1]中国科学技术大学管理学院

出　　处：《投资研究》2016年第7期132-140,共9页Review of Investment Studies

摘　　要：贷款损失准备（LLP）反映了商业银行现有资产组合中贷款的预期损失,贷款损失准备计提效率会对银行财务报表的质量及银行的稳健运行产生一定影响。本文运用数据包络分析的相关理论对2010~2014年中国A股上市商业银行贷款损失准备计提的相对效率进行分析,从静态和动态两个方面考察计提效率的表现和变动情况,并对计提效率的影响因素进行研究。实证结果表明,中国商业银行贷款损失准备的计提存在一定的无效性,技术效率呈递减趋势,国有银行和城市商业银行LLP计提技术效率优于股份制银行。LLP计提效率主要受银行自身特征因素影响,与宏观经济因素关系不显著。非利息收入占比和流动性风险对技术效率有显著负面影响。因此,为提高LLP计提效率,应当建立有效非利息收入业务风险防范体系,完善相关内部控制制度,强化监管,避免风险在不同业务之间的转移。As loan loss provision（LLP） inflect the expected loss in loan portfolio of commercial banks, the quality of financial report and the stable operation of bank system will be effected by the efficiency of loan loss provision. This paper uses DEA method to analysis the relative efficiency of Chinese A-Shares listed commercial banks during 2010~2014,and from the view of static and dynamic separately for further research. We found that inefficiency did exist in loan loss provision of Chinese commercial banks, with the decreasing technical efficiency. Stated-owned banks and city commercial banks performs better than joint-stock banks. Bank-level factors got an stronger affection on the efficiency of LLP, which was negatively affected the proportion of noninterest income and liquid risk, than macro-economy factors. For the improvement of efficiency, it is necessary to develop a valid supervision system of noninterest income business, improve internal control system,intensify supervision to avoid risk transference among different business apartments.

关 键 词：贷款损失准备 技术效率 商业银行 非利息收入 

分 类 号：F832.4[经济管理—金融学]