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  本文關(guān)鍵詞：基于Wilson模型的我國商業(yè)銀行信用風險壓力測試實證研究　出處：《山東大學》2017年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 宏觀經(jīng)濟 壓力測試 信用風險 Wilson模型 情景分析法

【摘要】：當前,中國銀行業(yè)整體資產(chǎn)狀況面臨著巨大的下降風險,主要是近年來經(jīng)濟增速放緩和實體經(jīng)濟疲軟等原因?qū)е?這體現(xiàn)出銀行資產(chǎn)質(zhì)量與經(jīng)濟周期變動有著莫大的關(guān)聯(lián)。雖然與世界各國銀行業(yè)相比,我國整體不良貸款率長期保持較低水平,但隨著我國不斷深化經(jīng)濟改革,在產(chǎn)業(yè)政策調(diào)整方面日趨完善,將勢必對銀行業(yè)整體資產(chǎn)質(zhì)量提出新的挑戰(zhàn)。在即將到來的很長時間中,我國商業(yè)銀行的資產(chǎn)管理將要承受來自經(jīng)濟和金融環(huán)境的諸多壓力。從2008年開始,我國信貸規(guī)模處于不斷擴張的態(tài)勢,不動產(chǎn)行業(yè)、城投公司和其余與基礎(chǔ)建設(shè)、產(chǎn)能過剩等行業(yè)相關(guān)的企業(yè)成為了最大的獲益者。長期以來我國堅定不移地貫徹經(jīng)濟轉(zhuǎn)型政策,就是要解決產(chǎn)能過剩和落后企業(yè)淘汰的問題,其中重要的方面就是嚴格把控銀行貸款集中度,防止新增信貸大規(guī)模的向這些企業(yè)流動,在這個過程中商業(yè)銀行的資產(chǎn)質(zhì)量下降的壓力自然會進一步加大。在2011年Q3至2016年Q4的22個季度之內(nèi),商業(yè)銀行不良貸款率一直處于上升通道,沒有下降的跡象。商業(yè)銀行的不良率實際水平可能遠高于披露出來的數(shù)據(jù),原因在于各家銀行對于不良貸款的核銷額和難以收回的貸款數(shù)額通常是在報表中合并披露,并不能做到精確的區(qū)分。觀察近年來的數(shù)據(jù),核銷額和不能收回的貸款數(shù)額都有快速上漲的可能性,這一問題的存在對銀行業(yè)來說是2017年的一大難題。再者,當發(fā)生理財產(chǎn)品償付問題的時候,雖然商業(yè)銀行只是扮演托管者的身份,從根本上說并沒有義務(wù)來承擔損失,但國家考慮到社會安定因素,最終有銀行來買單的可能性極大。綜上所述,本文重點考察某些經(jīng)濟因素的變化是如何影響我國商業(yè)銀行不良貸款率,然后在此基礎(chǔ)上專門提出政策建議,這是具有重大現(xiàn)實意義的。本文的內(nèi)容分為三個主要部分:第一部分為理論辨析,主要分為三個組成部分:第一,對選題的研究背景和意義進行介紹,并梳理國內(nèi)外關(guān)于宏觀壓力測試的相關(guān)文獻資料;第二,對信用風險理論和壓力測試理論進行闡述;第三,對于巴塞爾Ⅲ中的相關(guān)內(nèi)容進行歸納總結(jié),重點在于對巴塞爾Ⅲ中新的監(jiān)管標準在中國的適用情況的分析。第二部分為實證研究,這一部分以改良后的Wilson模型為基礎(chǔ),選取我國商業(yè)銀行2005Q1至2016Q4的數(shù)據(jù)進行實證分析,探究當宏觀經(jīng)濟變量變動時我國商業(yè)銀行不良貸款率的波動程度。依照我國商業(yè)銀行自身特點和宏觀經(jīng)濟的實際情況,選定的宏觀經(jīng)濟解釋變量為:國內(nèi)生產(chǎn)總值增長率(GDP)、M2增長率(M2)、出口金額增長率(EX)、中國國房景氣指數(shù)(NRCI)、居民消費價格指數(shù)增長率(CPI)、公共財政收入增長率(PFI)、固定資產(chǎn)投資價格指數(shù)(FAI)、社會消費品零售總額增長率(RS)、工業(yè)增加值增長率(AVI)和一年期貸款基準利率(SLR)。分析結(jié)果顯示:公共財政收入增長率(PFI)、一年期貸款基準利率(SLR)、中國國房景氣指數(shù)(NRCI)和固定資產(chǎn)投資價格指數(shù)(FAI)對不良貸款率有著十分顯著的影響,其中PFI、SLR與不良貸款率為正相關(guān)關(guān)系,NRCI、FAI與之為負相關(guān)關(guān)系。第三部分為壓力測試,主要是在實證推導出的模型的基礎(chǔ)上進行壓力測試,設(shè)置了輕度沖擊、中度沖擊和重度沖擊三種不同情景。壓力測試結(jié)果表明,在銀行受到重度沖擊的情況下,預(yù)計2017年末我國商業(yè)銀行不良貸款余額為22,493.44億元,比2016年末上漲了 7,371.44億元,漲幅達到了 48.75%。預(yù)計2017年我國商業(yè)銀行的撥備覆蓋率為133.16%,說明整體風險可控,但比2016年下降了 29.45%。
[Abstract]:At present, the overall assets of the China banking industry is facing the huge decline in risk, in recent years is mainly due to the economic slowdown and weakness in the real economy and other reasons, this reflects the quality of bank assets and changes in the economic cycle has a great Association. Although compared with the world banking industry, China's non-performing loan rate remained low for a long time, but along with the deepening of economic reform, the improvement of industrial policy adjustment, will inevitably bring new challenges to the overall quality of assets of commercial banks. In the coming for a long time, the asset management of China's commercial banks will have to bear a lot of pressure from the economic and financial environment. From the beginning of 2008. China's credit scale is constantly expanding trend, the real estate industry, the city investment company and other infrastructure, industry overcapacity and other related enterprises have become the biggest beneficiaries. Since China unswervingly implement the policy of economic transformation is to resolve the overcapacity and backward enterprises out of the question, which is an important aspect of the strict control of bank loan concentration, to prevent the new credit scale to these enterprises in the process of the flow, decrease banks' asset quality pressures will further increase. Within the 22 quarter of 2011 to Q3 Q4 in 2016, commercial banks non-performing loan ratio has been in a rising channel, there is no sign of decline. Commercial banks non-performing rate may be much higher than the actual level of disclosure of data, because the banks for non-performing loans and the amount of verification is difficult to recover the loan amount is usually incorporated in the report disclosure it is not accurate, sensitive. Observation data in recent years, and the amount of verification can not recover the loans are likely to rise rapidly, This problem is a big problem for banks in 2017. Furthermore, when financial products to pay, although commercial banks only played the custodian's identity, basically has no obligation to bear the loss, but the state taking into account the social stability factors, the final possibility to pay the bank greatly. In summary, this paper focuses on the changes of some economic factors how to influence the rate of non-performing loans of commercial banks in China, and then on the basis of specific policy recommendations, it is of great practical significance. This paper is divided into three main parts: the first part is the theoretical analysis, mainly divided into three parts: the first on the topic, the research background and significance are introduced, and combing at home and abroad on the macro stress testing related documents; second, the credit risk theory and pressure test theory Third, for the related elaboration; the content of Basel III in the summary, the focus is on the analysis of the application of new regulatory standards in the Basel III China. The second part is the empirical research, this part of the modified Wilson model as the foundation, selection of China's commercial banks 2005Q1 to 2016Q4 data for empirical analysis of the volatility of inquiry when the changes of macroeconomic variables when the non-performing loan ratio of commercial banks. According to the actual situation of China's commercial banks own characteristics and macro economy, explain the economic selected variables: the growth rate of GDP growth rate (GDP), M2 (M2), the amount of export growth rate (EX Chinese), the State Housing boom index (NRCI), the growth rate of the consumer price index (CPI), public finance revenue growth rate (PFI), the price index of investment in fixed assets (FAI), the total retail sales of social consumer goods (RS), the growth rate of industrial growth. The growth rate of value added (AVI) and the one-year benchmark lending rate (SLR). The analysis results show that the public finance income growth rate (PFI), the one-year benchmark lending rate (SLR), Chinese State Housing boom index (NRCI) and fixed asset investment price index (FAI) has a very significant impact. The rate of non-performing loans in which PFI, SLR and the rate of non-performing loans was a positive correlation between NRCI, FAI, and the correlation was negative. The third part is the pressure test, pressure test is mainly based on empirical model derived, set up a mild shock, moderate shock and severe impact of three different scenarios. The result of the stress tests in the bank by the severe impact, is expected by the end of 2017 China's commercial banks non-performing loans amounted to 2 trillion and 249 billion 344 million yuan, 737 billion 144 million yuan higher than the end of 2016, rose 48.75%. is expected in 2017 China's commercial banks provision coverage For 133.16%, the overall risk was controlled, but it was down 29.45%. in 2016.

【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33

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