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前瞻性贷款损失准备管理能够平滑银行信贷供给对宏观经济的顺周期影响,然而鲜有可经验估计的动态和前瞻性贷款损失拨备方法,从而限制了该宏观审慎政策工具的使用空间及其实施效果。文章在借款人资产增速服从均值回复随机过程的情景下,给出了借款人资产价值的动态随机运动规律,并在结构化模型框架内刻画了其信用风险要素和前瞻性拨备要求。与结构化模型不同的是,文章资产增速具有周期性和平稳性等特征,使之既能契合前瞻性拨备管理的内在要求,又有助于模型的经验估计和实施推广。基于工业部门1993-2013年的资产负债等数据,文章经验估计了该部门及其子行业未来的信用风险及前瞻性拨备要求,同时基于银发[2002]98号和银监发[2010]98号的有关规定估算了监管要求的前瞻性准备成分和银行实提的前瞻性准备成分,并根据它们理论映射的借款人目标杠杆和融资成本组合状态研判了其适当性。文章深入揭示了不同杠杆和融资成本约束下工业部门的信用风险及其演变趋势,回答了银行体系和监管要求的前瞻性拨备管理是否适当等热点问题。
Forward-looking loan loss preparation management can smooth the cyclical impact of bank credit supply on the macro-economy. However, there are few empirical and forward-looking dynamic and forward-looking provisions for the provision of loan losses, thus limiting the use of macro-prudential policy instruments and their implementation effect. The article gives the dynamic random movement law of the borrower’s asset value under the condition that the borrower’s asset growth obeys the average response stochastic process, and depicts the credit risk factor and the forward-looking provisions in the framework of the structured model. Different from the structured model, the article’s asset growth is characterized by its periodicity and stability, which not only meets the inherent requirements of forward-looking provisioning management, but also contributes to the empirical estimation and promotion of the model. Based on the data of assets and liabilities of the industrial sector from 1993 to 2013, the paper estimates the future credit risk and forward-looking requirements of the sector and its sub-industries based on the data of Yinfa [2002] No. 98 and Yin Jian Fa [2010] 98 The relevant provisions of the Provisional Regulations estimate forward-looking provisions for regulatory requirements and forward-looking preparatory elements actually provided by the banks, and judge their appropriateness based on the borrowing target leverage and the financing cost combination status as mapped by their theories. The article reveals in depth the credit risk and its evolution trend of the industrial sector under different leverage and financing costs and answers the hot issues such as whether the proactive and proactive regulatory requirements of the banking system and regulatory requirements are appropriate.