贷款风险等级分类法在我国的应用研究
摘要
贷款分类方法主要分为：根据违约时间长短划分为不同贷款质量类别的贷款质量期限分类法、根据贷款归还的可能性划分强弱程度等级的贷款风险等级分类法和根据贷款预期损失计算风险价值大小的风险价值分类法。就我国目前的现实情况而言，实施贷款风险等级分类法是更好的也是更为现实的选择。尽管如此，贷款风险等级分类法在我国的推行并不是一蹴而就的，也经历了曲折迂回的过程。时至今日，虽然这一方法在我国商业银行已进入全面推广阶段，但在其应用实践中仍然暴露出很多的问题和不足。改善商业银行的信贷管理，建立以风险为基础的主流信贷文化的任务仍然十分艰巨。同时，从国际上看，实施贷款风险等级分类法的国家虽然很多，但在具体做法和内涵上，各国的差异仍然很大，统一的标准和体系有待形成。
对我国商业银行实施贷款五级分类法的情况进行实证分析有利于发现这一方法在实施过程中存在的问题和不足，促进贷款风险等级分类法在我国的更好推广。通过选取的几家上市的股份制商业银行公布的2002年、2003年的年度报告所提供的贷款五级分类的相关数据，分析了这几家银行不良贷款的总体质量，并比较了五级分类法与“一逾两呆”的四级分类法的结果的差异。同时也对这些银行在五级分类法下对贷款损失准备金的计提情况进行了分析。实证分析的结果表明，这几家上市的股份制商业银行贷款的总体质量较好，对贷款损失准备金的计提较为充分。但同国有商业银行一样，在应用贷款风险等级分类法的过程中都存在不同程度的困难和问题。
要充分发挥推行贷款风险等级分类法的建设性作用，减少因运用不当而带来的负面效应，就必须从现实出发，针对这些困难和问题，在实践中探索一套适合我国国情的贷款风险等级分类体系。按照国际通行的准则进行银行监管是我们提高银行业的国际竞争力，迎接金融业全面开放挑战的必然选择。但是，由于现实条件的局限，决定了我国银行业不可能直接采用巴塞尔新资本协议提
出的内部评级法，而是要以改造和完善贷款风险等级分类法作为建立内部评级
体系的切入点，并在此基础上逐步过渡到内部评级体系。针对我国目前五级分
类法缺乏量化指标，分类弹性大，主观性强的现实问题，需要建立能够较好的
反映贷款风险的真实状况的贷款风险分类量化模型。同样，针对在实施五级分
类法过程中出现的其它问题和不足，也同样需要采取有针对性的对策措施。可
以预见，随着我国商业银行市场化改革步伐的加快，一套适合我国国情的贷款
风险等级分类体系必将对促进我国商业银行提高信贷管理水平，建立健康的信
贷文化，实现稳健经营发挥积极而重要的作用。
The main loan classification methods are: the term based loan classification method which divides different loan quality classification according time of breach, the risk based loan grade classification method which divides power degree according possibility of returning loan and the risk value classification method which calculates risk value according anticipated loan loss. As regards our country's present reality, it is a more realistic and better choice to implement the risk based loan grade classification method. Even so, the implementation of the risk based loan grade classification method in our country is not in one move, but circuitous. Even to this day, though this method has already entered the stage of popularizing in an all-round way in the commercial banks of our country, still exposed a lot of questions and deficiencies in its application practice. The task of improving credit management of the commercial banks and setting up credit culture on the foundation of risk is still very arduous. Mean
while, looking from world, though there are a lot of countries which implement the risk based loan grade classification method, the differences of concrete method and intension in various countries are still very great, unified standard and system await to take shape.
The empirical analysis on the situations of implementing loan five grades classification method in commercial banks of our country is favorable to find existed question and insufficiency, and promote better popularization of the risk based loan grade classification method in our country. Through the data about loan five grades classification which is offered by 2002 , 2003 annual reports of four listing shareholding commercial banks , I has analyzed the overall quality of the loan of these banks, and has compared the difference of four grades classification and five grades classification, meanwhile, has analyzed the situation of loan provision in the loan five grades classification method. The result of the empirical analysis indicates that the overall quality of loan in these listing shareholding commercial banks is good, and the loan loss provision is comparatively abundant. But the same as state-run commercial banks, they exist the difficulty and question in various degree during the
process of applying the risk based loan grade classification method.
In order to adequately bring the constructive function of pushing the risk based loan grade classification method into play, reduce the negative effect because of using improperly, we should set off from reality to explore a set of system of the risk based loan grade classification which is suitable for the national conditions of our country in practice. To raise international competition of banking and meet the challenge of the opening of finance in an all-round way, it is our inevitable choice to supervise and administer bank according to current international criterion. However, because of the limitation of realistic condition, it is impossible for banking of our country to adopt directly the internal ratings based approaches of new Basel capital agreement. We should transform and perfect the risk based loan grade classification method which is the jumping-off of setting up internal ratings based approaches, and carry out the transition gradually to internal ratings based approaches on this basis. Aiming
at the realistic problem of lacking the quantity index the large elasticity and the strong subjectivity in the loan five grades classification method in our country, it is dispensable to set up a improved quantization model of risk based loan grade classification which can better reflect the true status of the risk of loan. Similarly, it is necessary to adopt the pointed countermeasure and measure qually to other questions and deficiencies which appear in the course of implementing the loan five grades classification method .It is believed that a set of system of the risk based loan grade classification which is suitable for the situation of our country will play a positive and importa
对我国商业银行实施贷款五级分类法的情况进行实证分析有利于发现这一方法在实施过程中存在的问题和不足，促进贷款风险等级分类法在我国的更好推广。通过选取的几家上市的股份制商业银行公布的2002年、2003年的年度报告所提供的贷款五级分类的相关数据，分析了这几家银行不良贷款的总体质量，并比较了五级分类法与“一逾两呆”的四级分类法的结果的差异。同时也对这些银行在五级分类法下对贷款损失准备金的计提情况进行了分析。实证分析的结果表明，这几家上市的股份制商业银行贷款的总体质量较好，对贷款损失准备金的计提较为充分。但同国有商业银行一样，在应用贷款风险等级分类法的过程中都存在不同程度的困难和问题。
要充分发挥推行贷款风险等级分类法的建设性作用，减少因运用不当而带来的负面效应，就必须从现实出发，针对这些困难和问题，在实践中探索一套适合我国国情的贷款风险等级分类体系。按照国际通行的准则进行银行监管是我们提高银行业的国际竞争力，迎接金融业全面开放挑战的必然选择。但是，由于现实条件的局限，决定了我国银行业不可能直接采用巴塞尔新资本协议提
出的内部评级法，而是要以改造和完善贷款风险等级分类法作为建立内部评级
体系的切入点，并在此基础上逐步过渡到内部评级体系。针对我国目前五级分
类法缺乏量化指标，分类弹性大，主观性强的现实问题，需要建立能够较好的
反映贷款风险的真实状况的贷款风险分类量化模型。同样，针对在实施五级分
类法过程中出现的其它问题和不足，也同样需要采取有针对性的对策措施。可
以预见，随着我国商业银行市场化改革步伐的加快，一套适合我国国情的贷款
风险等级分类体系必将对促进我国商业银行提高信贷管理水平，建立健康的信
贷文化，实现稳健经营发挥积极而重要的作用。
The main loan classification methods are: the term based loan classification method which divides different loan quality classification according time of breach, the risk based loan grade classification method which divides power degree according possibility of returning loan and the risk value classification method which calculates risk value according anticipated loan loss. As regards our country's present reality, it is a more realistic and better choice to implement the risk based loan grade classification method. Even so, the implementation of the risk based loan grade classification method in our country is not in one move, but circuitous. Even to this day, though this method has already entered the stage of popularizing in an all-round way in the commercial banks of our country, still exposed a lot of questions and deficiencies in its application practice. The task of improving credit management of the commercial banks and setting up credit culture on the foundation of risk is still very arduous. Mean
while, looking from world, though there are a lot of countries which implement the risk based loan grade classification method, the differences of concrete method and intension in various countries are still very great, unified standard and system await to take shape.
The empirical analysis on the situations of implementing loan five grades classification method in commercial banks of our country is favorable to find existed question and insufficiency, and promote better popularization of the risk based loan grade classification method in our country. Through the data about loan five grades classification which is offered by 2002 , 2003 annual reports of four listing shareholding commercial banks , I has analyzed the overall quality of the loan of these banks, and has compared the difference of four grades classification and five grades classification, meanwhile, has analyzed the situation of loan provision in the loan five grades classification method. The result of the empirical analysis indicates that the overall quality of loan in these listing shareholding commercial banks is good, and the loan loss provision is comparatively abundant. But the same as state-run commercial banks, they exist the difficulty and question in various degree during the
process of applying the risk based loan grade classification method.
In order to adequately bring the constructive function of pushing the risk based loan grade classification method into play, reduce the negative effect because of using improperly, we should set off from reality to explore a set of system of the risk based loan grade classification which is suitable for the national conditions of our country in practice. To raise international competition of banking and meet the challenge of the opening of finance in an all-round way, it is our inevitable choice to supervise and administer bank according to current international criterion. However, because of the limitation of realistic condition, it is impossible for banking of our country to adopt directly the internal ratings based approaches of new Basel capital agreement. We should transform and perfect the risk based loan grade classification method which is the jumping-off of setting up internal ratings based approaches, and carry out the transition gradually to internal ratings based approaches on this basis. Aiming
at the realistic problem of lacking the quantity index the large elasticity and the strong subjectivity in the loan five grades classification method in our country, it is dispensable to set up a improved quantization model of risk based loan grade classification which can better reflect the true status of the risk of loan. Similarly, it is necessary to adopt the pointed countermeasure and measure qually to other questions and deficiencies which appear in the course of implementing the loan five grades classification method .It is believed that a set of system of the risk based loan grade classification which is suitable for the situation of our country will play a positive and importa
引文
1 郑杰：《贷款风险分类的管理与应用》 中国金融出版社 2002年
2 本书编写组：《贷款风险分类原理与实务》 中国金融出版社 1998年
3 王君：《贷款风险分类原理与实务》 中国金融出版社 2002年
4 陈忠阳：《金融风险分析与管理研究—市场和机构的理论、模型与技术》中国人民大学出版社 2001年
5 邓世敏：《商业银行信贷业务》 中国金融出版社 2001年
6 薛峰：《银行信用风险分析》 中国经济出版社 1995年
7 [美]菲利普·乔瑞：《VAR：风险价值：金融风险管理新标准》中信出版社 2000年
8 [美]安东尼·桑德斯：《信贷风险度量风险估值的新方法与其它范式》 北京机械工业出版社 2001年
9 [美]米什金：《货币金融学》 中国人民大学出版社 1998年
1 戴相龙：《改进贷款分类、提高资产质量、为建立现代银行制度打下坚实的基础》《中国金融》 1998年第7期
2 董振华：《全面推行五级分类提高贷款监控水平》 《福建金融》 2002年第6期
3 张馥宏：《贷款质量五级分类法实施过程中存在的问题及对策》 《青海金融》 2003年第7期
4 人民银行南京分行中国银行监管处课题组：《贷款质量五级实施的难点与对策》《经济与金融》 2003年第1期
5 宓福驹：《贷款分类中“剪刀差”形成的原因和治理对策》 《金融论坛》 2002年第2期
6 郑小红：《商业银行推行贷款分类中存在的问题与对策》 《现代财经》 2002年第12期
7 林力 戴晓晗：《对贷款质量五级分类操作中存在问题的几点思考》 《西安金融》 2002年第9期
8 范乐宇：《贷款风险分类制度面临的问题与对策》 《西安金融》 2003年第3期
9 潘文波：《商业银行贷款风险分类实证研究报告》 《投资研究》 2001年第1期
10 陈建华 唐立波：《统一的商业银行损失准备金、风险资本和存款保险制度风险管理模型研究》 《国际金融研究》 2003年第9期
11 王东星：《实行贷款风险分类的难点及对策》 《农村金融研究》 2001年第9期
12 凌华薇：《贷款分类改革十年曲折》 《财经》 2003年第15期
13 顾玉清 丁美荣等：《国有商业银行推行贷款五级分类的实证分析》 《现代管理科学》 2002年第8期
14 李强：《银行贷款风险管理研究》 青岛海洋大学 2002年6月
15 罗东伟：《中信大连分行贷款风险分类指标体系的研究》大连理工大学 2003年2月
16 陈海东：《巢湖中行2000年贷款五级分类的分析报告》中国科技大学 2001年5月
17 任素凤：《贷款风险分类量化模型的建立》 山西财经大学 2002年5月
18 吴欣：《商业银行信贷风险防范的研究》 中国矿业大学 2001年5月
19 易蓉：《银行信用风险管理》 复旦大学 2002年5月
20 苗冰：《我国商业银行信贷风险量化研究》 首都经济贸易大学 2003年3月
1 Avery, R.B., & Berger, A.N: Loan commitments and bank risk exposure, Journal of Banking and Finance, Feburary, 1991
2 Basel Committee on Banking Supervision: Core Principles on Effective Banking Supervision, Basle September 1997
3 Carl John—Lindgren et al: Banking Soundness and Macroeconomic Policy, International Monetary Fond, Washington, D. C., 1997
4 IMF: Towards A Framework For Financial Stability, International Monetary Fond, Washington, D. C., September 1997
5 Lawrence S. Ritter, William L. Silber & Gregory F. Udell: Principles of Money, Banking, and Financial Markets, Tenth edition, 2000
6 Price Waterhouse: Guide to understanding the Allowance for Loan Losses of Banks, Third Edition, September 1997
7 Sharpe, Stenven: Asymmetric information bank lending and implicit contrcts: A stylized model of customer relationships, Journal of finance, V45
8 Stiglitz, Weiss: Credit Rationing in Market with Imperfect Information, The American Economic Review, V71, 1981
9 Vievien A. Beattie et al: Banks and Bad Debts, John Wiley & Sons, 1995
10 Wang Jun: Comment on "How to Keep the Banking System Sound in a Period of Change", International Monetary Fond, Washington, D. C., September 1997
2 本书编写组：《贷款风险分类原理与实务》 中国金融出版社 1998年
3 王君：《贷款风险分类原理与实务》 中国金融出版社 2002年
4 陈忠阳：《金融风险分析与管理研究—市场和机构的理论、模型与技术》中国人民大学出版社 2001年
5 邓世敏：《商业银行信贷业务》 中国金融出版社 2001年
6 薛峰：《银行信用风险分析》 中国经济出版社 1995年
7 [美]菲利普·乔瑞：《VAR：风险价值：金融风险管理新标准》中信出版社 2000年
8 [美]安东尼·桑德斯：《信贷风险度量风险估值的新方法与其它范式》 北京机械工业出版社 2001年
9 [美]米什金：《货币金融学》 中国人民大学出版社 1998年
1 戴相龙：《改进贷款分类、提高资产质量、为建立现代银行制度打下坚实的基础》《中国金融》 1998年第7期
2 董振华：《全面推行五级分类提高贷款监控水平》 《福建金融》 2002年第6期
3 张馥宏：《贷款质量五级分类法实施过程中存在的问题及对策》 《青海金融》 2003年第7期
4 人民银行南京分行中国银行监管处课题组：《贷款质量五级实施的难点与对策》《经济与金融》 2003年第1期
5 宓福驹：《贷款分类中“剪刀差”形成的原因和治理对策》 《金融论坛》 2002年第2期
6 郑小红：《商业银行推行贷款分类中存在的问题与对策》 《现代财经》 2002年第12期
7 林力 戴晓晗：《对贷款质量五级分类操作中存在问题的几点思考》 《西安金融》 2002年第9期
8 范乐宇：《贷款风险分类制度面临的问题与对策》 《西安金融》 2003年第3期
9 潘文波：《商业银行贷款风险分类实证研究报告》 《投资研究》 2001年第1期
10 陈建华 唐立波：《统一的商业银行损失准备金、风险资本和存款保险制度风险管理模型研究》 《国际金融研究》 2003年第9期
11 王东星：《实行贷款风险分类的难点及对策》 《农村金融研究》 2001年第9期
12 凌华薇：《贷款分类改革十年曲折》 《财经》 2003年第15期
13 顾玉清 丁美荣等：《国有商业银行推行贷款五级分类的实证分析》 《现代管理科学》 2002年第8期
14 李强：《银行贷款风险管理研究》 青岛海洋大学 2002年6月
15 罗东伟：《中信大连分行贷款风险分类指标体系的研究》大连理工大学 2003年2月
16 陈海东：《巢湖中行2000年贷款五级分类的分析报告》中国科技大学 2001年5月
17 任素凤：《贷款风险分类量化模型的建立》 山西财经大学 2002年5月
18 吴欣：《商业银行信贷风险防范的研究》 中国矿业大学 2001年5月
19 易蓉：《银行信用风险管理》 复旦大学 2002年5月
20 苗冰：《我国商业银行信贷风险量化研究》 首都经济贸易大学 2003年3月
1 Avery, R.B., & Berger, A.N: Loan commitments and bank risk exposure, Journal of Banking and Finance, Feburary, 1991
2 Basel Committee on Banking Supervision: Core Principles on Effective Banking Supervision, Basle September 1997
3 Carl John—Lindgren et al: Banking Soundness and Macroeconomic Policy, International Monetary Fond, Washington, D. C., 1997
4 IMF: Towards A Framework For Financial Stability, International Monetary Fond, Washington, D. C., September 1997
5 Lawrence S. Ritter, William L. Silber & Gregory F. Udell: Principles of Money, Banking, and Financial Markets, Tenth edition, 2000
6 Price Waterhouse: Guide to understanding the Allowance for Loan Losses of Banks, Third Edition, September 1997
7 Sharpe, Stenven: Asymmetric information bank lending and implicit contrcts: A stylized model of customer relationships, Journal of finance, V45
8 Stiglitz, Weiss: Credit Rationing in Market with Imperfect Information, The American Economic Review, V71, 1981
9 Vievien A. Beattie et al: Banks and Bad Debts, John Wiley & Sons, 1995
10 Wang Jun: Comment on "How to Keep the Banking System Sound in a Period of Change", International Monetary Fond, Washington, D. C., September 1997