中小企业银行贷款风险管理实证研究
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摘要
中小企業銀行係辦理中小企業融資的專業銀行,屬於商業銀行的範疇。本身除了借助信用擔保機構移轉風險外,所要面對的是,資金融通比較困難,以及技術有待提升的中小企業,另一方面,又面臨外在因素金融機構國際化、自由化的競爭壓力,因此,最好的政策是選擇未來大勢所趨,加以因應,以迎接新金融時代的來臨。
首先,新巴塞爾資本協定(BaselⅡ)便是世界金融機構的統一規範,所訂實施日程,各國雖有不同,但也不過是近幾年的事,其規範內容,主要以信用風險爲主,其次爲作業風險、市場風險,主要風險獲得妥善解決後,次要風險也就不難處理,所以,新巴塞爾資本協定與信用風險模型作爲本文的開端。
信用風險模型不僅作爲放款決策的參考,更是創造股東價值的關鍵,因此,選擇適當的風險模型,加以效力檢測;信用評級系統也是評估信用風險的重要依據,以定量、定性分析,產出評分評級,形成決策。這兩項風險評估工具是未來風險量化、調整工程的重要參考數據(內部評級與外部評級適當連結,非常重要)。
中小企業銀行融資管理機制裡,以信用評級、信用風險模型、經濟資本及風險調整資本報酬法(RAROC)爲風險評量工具:至於「融資流程及管理」除涵蓋「授信流程及管理」:徵信、審查、覆審外,增加營業、…、資產、風險及資訊科技等事項;並提出旋迴管理法(Gyratory Management Technique)整合其流程及管理。關於融資管理實證方面,分爲:消費金融、信保基金及融資評價等三個層次,進行分析。
銀行的潛在損失,分爲預期損失、末預期損失及異常損失。預期損失以備抵呆帳抵充,經濟資本(風險值)係依信賴水準之下的未預期損失倍數計算以自有資本因應。在風險調整績效評量的架構下,風險調整資本報酬法的方程式:分子,風險調整報酬;分母,經濟資本。這可視爲銀行的內部模型(市場風險及作業風險,可同時納入評量)。當然'內部模型運作成敗和銀行蒐集必要資訊的能力有關,這項工作雖然不容易,成本也相當可觀,但並非不可能任務。第經解開這些風險量化以及調整技術後,不僅銀行可以明瞭目前的風險地位,並可在建置內部模型法(IRB)時,邁出了必要的一大步。
Small and Medium Enterprise Banking is a specialized sector that offers financial services to small and medium size enterprises.The scale of their services are on a par with Commercial Banks.Not only do they require help from other credit guarantee institotions to share some of the risks,most of their customers are financially harder and less technologically advanced than small and medium enterprises. Furthermore,they are also being pressured by the globalization and liberalization of the banking industry;and their best strategy is to adapt to upcoming trends and embrace the new era of finance.
First and foremost,the new Basel Capital Accord(BaselⅡ) is the unified international standard for all banks around the world. However different the dates of compliance may be for every country, they all fall within the next few years.The standard itself focuses primarily on managing credit risk,followed by operational risk and market risk.Once the primary risk has been well-managed, secondary risks are no longer a difficult issue;therefore this article begins with a discussion on BaselⅡand Credit Risk Models.
Not only do credit risk models provide a useful guideline for lending decisions,they are also the key for creating shareholder value; hence the credit risk models need to be revised and tested for effectiveness regularly.Credit rating systems are also important for credit risk evaluation;through quantitative and qualitative analyses they generate credit ratings for lending decisions.These will be the tools that provide the useful statistics for future risk quantification and adjustment(the link between internal and external ratings is especially important)
In a mechanism management loans for Small and Medium Enterprise Bank which include credit ratings,credit risk models, economic profit,and risk-adjusted return on capital is to be risk assessment.This article will also cover the workflow and management of the loan process,including stages such as credit inquiry,approval,review,maximizing sales and marketing revenue……as well as the management of assets,risk and information technology.Therefore we will put to use Gyratory Management Technique to conform workflow and management. And so as the empirical management loans divide into three levels: there are consummer finance,crdit guarantee fund and loans assessment to analyze
Potential losses to a bank can be categorized into expected losses, unexpected losses,and extraordinary losses.Expected losses are charged off against provision for doubtful debts.Economic Capital is calculated based on the unexpected loss multiples within the confined confidence intervals;unexpected losses are charged off against equity.Under Risk-Adjusted Performance Measurement,the Risk-Adjusted Return on Capital is defined as:
The Risk-Adjusted Return on Capital is calculated by placing Risk-Adjusted Return as the numerator,and Economic Capital as the denominator.
This can be viewed as an internal model for a bank(both market risk and operating risk can be evaluated at the same time), needless to say that a successful implementation of the internal model depends on the bank's ability to collect its key data.However difficult or costly this task may be,it is not impossible.Once the techniques of risk quantification and adjustment have been well-mastered, not only does the bank understand its current risk level,it will also have taken one giant step towards establishing an Internal Ratings Based Approach.
首先,新巴塞爾資本協定(BaselⅡ)便是世界金融機構的統一規範,所訂實施日程,各國雖有不同,但也不過是近幾年的事,其規範內容,主要以信用風險爲主,其次爲作業風險、市場風險,主要風險獲得妥善解決後,次要風險也就不難處理,所以,新巴塞爾資本協定與信用風險模型作爲本文的開端。
信用風險模型不僅作爲放款決策的參考,更是創造股東價值的關鍵,因此,選擇適當的風險模型,加以效力檢測;信用評級系統也是評估信用風險的重要依據,以定量、定性分析,產出評分評級,形成決策。這兩項風險評估工具是未來風險量化、調整工程的重要參考數據(內部評級與外部評級適當連結,非常重要)。
中小企業銀行融資管理機制裡,以信用評級、信用風險模型、經濟資本及風險調整資本報酬法(RAROC)爲風險評量工具:至於「融資流程及管理」除涵蓋「授信流程及管理」:徵信、審查、覆審外,增加營業、…、資產、風險及資訊科技等事項;並提出旋迴管理法(Gyratory Management Technique)整合其流程及管理。關於融資管理實證方面,分爲:消費金融、信保基金及融資評價等三個層次,進行分析。
銀行的潛在損失,分爲預期損失、末預期損失及異常損失。預期損失以備抵呆帳抵充,經濟資本(風險值)係依信賴水準之下的未預期損失倍數計算以自有資本因應。在風險調整績效評量的架構下,風險調整資本報酬法的方程式:分子,風險調整報酬;分母,經濟資本。這可視爲銀行的內部模型(市場風險及作業風險,可同時納入評量)。當然'內部模型運作成敗和銀行蒐集必要資訊的能力有關,這項工作雖然不容易,成本也相當可觀,但並非不可能任務。第經解開這些風險量化以及調整技術後,不僅銀行可以明瞭目前的風險地位,並可在建置內部模型法(IRB)時,邁出了必要的一大步。
Small and Medium Enterprise Banking is a specialized sector that offers financial services to small and medium size enterprises.The scale of their services are on a par with Commercial Banks.Not only do they require help from other credit guarantee institotions to share some of the risks,most of their customers are financially harder and less technologically advanced than small and medium enterprises. Furthermore,they are also being pressured by the globalization and liberalization of the banking industry;and their best strategy is to adapt to upcoming trends and embrace the new era of finance.
First and foremost,the new Basel Capital Accord(BaselⅡ) is the unified international standard for all banks around the world. However different the dates of compliance may be for every country, they all fall within the next few years.The standard itself focuses primarily on managing credit risk,followed by operational risk and market risk.Once the primary risk has been well-managed, secondary risks are no longer a difficult issue;therefore this article begins with a discussion on BaselⅡand Credit Risk Models.
Not only do credit risk models provide a useful guideline for lending decisions,they are also the key for creating shareholder value; hence the credit risk models need to be revised and tested for effectiveness regularly.Credit rating systems are also important for credit risk evaluation;through quantitative and qualitative analyses they generate credit ratings for lending decisions.These will be the tools that provide the useful statistics for future risk quantification and adjustment(the link between internal and external ratings is especially important)
In a mechanism management loans for Small and Medium Enterprise Bank which include credit ratings,credit risk models, economic profit,and risk-adjusted return on capital is to be risk assessment.This article will also cover the workflow and management of the loan process,including stages such as credit inquiry,approval,review,maximizing sales and marketing revenue……as well as the management of assets,risk and information technology.Therefore we will put to use Gyratory Management Technique to conform workflow and management. And so as the empirical management loans divide into three levels: there are consummer finance,crdit guarantee fund and loans assessment to analyze
Potential losses to a bank can be categorized into expected losses, unexpected losses,and extraordinary losses.Expected losses are charged off against provision for doubtful debts.Economic Capital is calculated based on the unexpected loss multiples within the confined confidence intervals;unexpected losses are charged off against equity.Under Risk-Adjusted Performance Measurement,the Risk-Adjusted Return on Capital is defined as:
The Risk-Adjusted Return on Capital is calculated by placing Risk-Adjusted Return as the numerator,and Economic Capital as the denominator.
This can be viewed as an internal model for a bank(both market risk and operating risk can be evaluated at the same time), needless to say that a successful implementation of the internal model depends on the bank's ability to collect its key data.However difficult or costly this task may be,it is not impossible.Once the techniques of risk quantification and adjustment have been well-mastered, not only does the bank understand its current risk level,it will also have taken one giant step towards establishing an Internal Ratings Based Approach.
引文
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