主要商业银行的表内类信贷活动及其隐性风险  

The Quasi-credit Activities on Balance Sheets and Implicit Risks of Major Commercial Banks

作　　者：许友传[1] Xu Youchuan(School of Economics,Fudan University)

机构地区：[1]复旦大学经济学院

出　　处：《数量经济技术经济研究》2020年第11期119-138,共20页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目“结构视角的金融体系脆弱性及其系统性风险”(71673049);上海市软科学研究计划项目“以科创板为契机构建长三角科技金融生态的思路与对策”(19692111800)的资助。

摘　　要：研究目标:模型刻画和经验估计单个银行机构的表内类信贷活动对其总体风险状态的边际影响。研究方法:在结构化模型框架内刻画借款人资产价值的随机运动规律,且设其标准化的资产收益率由系统性因子和异质性因子共同决定,显性推导借款人违约驱动下的银行总体风险状态,以及不同信贷活动对银行总体风险状态的结构性影响。研究发现:若将银行表内类信贷活动视为其增量的信贷安排,且具有信贷活动相似的信用风险触发机制,则银行总体风险状态将由类信贷活动主导或驱动,但其近期解释力的下行速度明显加快。2014年后,监管当局对类信贷活动的规范、整改和整治等“挤压”了银行在表内腾挪及伪装信贷、粉饰信贷质量的弹性与空间,进而导致银行类信贷资产配置及其对总体风险状态边际影响的拐点性下行。尽管“运动式”管控类信贷活动有助于降低其隐性风险,但也抑制了银行资产的运用渠道及创新能力,适当的合规监管、行为监管似乎更有效和持久。研究创新:模型刻画和经验估计了主要商业银行的表内类信贷活动对其总体风险状态的边际影响,比较分析了其截面差异和变动趋势。研究价值:为管窥银行体系特别是单个银行机构的表内类信贷活动状况及其隐性风险提供了丰富视角。Research Objectives:Modelling and estimating the marginal impact of the quasi-credit activity on balance sheet on the overall risk status of individual banking institution.Research Methods:In the framework of the structured model,the random movement law of the representative borrower's asset value is depicted and its standardized return on asset is determined by both systematic factor and idiosyncratic factor,and explicitly resolved the overall risk state of the bank and the structural impact of different credit activities which driven by the borrower's default.Research Findings:The overall risk status of the listed major commercial banks in China will be driven or dominated by the quasi-credit activities on balance sheets if they are regarded as incremental credit arrangements and have similar risk with credit activities.However,the marginal incremental impact of the quasi-credit activities tended to decline and the recent downward speed was obviously accelerated,which seems to be closely related to the follow-up and strengthening of regulation and supervision.After 2014,the regulation and remediation actions against the quasi-credit activities have reduced the flexibility and space to transfer and disguise credit activities and whitewash credit quality,resulting in a decline in the allocation of quasi-credit activities,as well as a turning downward in the marginal impact of quasi-credit activities on the overall risk status of banks.Controlling the scale of quasi-credit activities does help to reduce the implicit risks,but inhibits the banks' asset allocation channels and innovative capabilities.Targeted compliance and behavioral regulation and supervision seem to be more effective and lasting.Research Innovations:The paper models and estimates the marginal impact of the quasi-credit activities on balance sheets of major commercial banks on their overall risk status,and compares and analyzes the cross-sectional differences and change trends.Research Value:The paper provides a rich perspective for observing and

关 键 词：广义信贷 传统信贷 类信贷活动 信贷风险 信贷调控 

分 类 号：F832.51[经济管理—金融学] F224