摘要
科学合理地确定授信额度是商业银行信贷管理的一项重要工作,改进其确定方法的准确度有利于提高商业银行的经营业绩并降低其承担的风险。针对现有商业银行授信额度确定模型的不足,本文从最大化商业银行的风险调整资本收益(RAROC)出发,构建授信额度确定模型。在此基础上,运用沪深两市上市商业银行以及其他上市公司2010年的相关数据对上述模型进行检验。实证研究表明,在一定贷款利率、银行资金成本率、经营费用率和违约损失率的条件下,上市公司的股权市场价值与股权市场价值波动率构成商业银行的授信额度边界;商业银行应给予公司客户的授信额度随公司客户的股权市场价值及股权市场价值波动率的增加而呈上升趋势。然而,商业银行应给予公司客户的授信额度并不是无条件的随股权市场价值波动率的增大而提高,还需要其股权市场价值相应地增加。同时,在给定的授信额度下,公司客户的股权市场价值与股权市场价值波动率具有一定的可替代性。
Commercial banks are profitable enterprises engaging in deposit, loan and other intermediary busi- ness. Managing and controlling the credit business is a basic job for commercial banks＇ operation management and risk management. However, there are some problems in the process of commercial banks＇ carrying out credit busi- ness, such as a great many of non-performing loans, bad money and widely centralized credit and so on. Such problems are usually resulted from commercial banks＇ inability or unreasonable to determine loan limitation that they should give to a certain single company. Therefore, scientifically and rationally determining the loan limitation is one of important contents for commercial banks＇ carrying out credit management. Improving the accuracy of the loan limitation measurement model is conducive to increase the operating performance of commercial banks and reduce their risk exposure. As the most important customers, companies can exert a vital effect on banks＇ deposit, loan and intermediary business. Therefore, it attracts more and more attention from academy and industry circles. Nowa- days, most of commercial banks adopt the asset-liability ratio method to determine the loan limitation. However, such a method has some drawbacks owing to its only considering customers＇ asset-liability ratio. Apart from the as- set-liability ratio method, scholars also have developed other models to measure loan limitation based on the infor- mation asymmetry between commercial banks and customers, the credit rating＇s nonlinear effect on loan limitation and the customers＇ capital needs. Based on reviewing the existing relevant literatures, the paper finds that there are still some deficiencies in the existing models as follows. Firstly, most of the models determining loan limitation only consider the credit rate, asset quality, financial conditions and capital need of company customers without paying attention to commercial banks＇ earnings and risk. Secondly, although some studies construct loan limitation models which consider to maximize the commercial bank returns, they just research how commercial banks to determine the loan limitation for group customers while they do not study the single company customer＇ loan limitation. Aiming at the deficiencies in the existing models for commercial banks to determine loan limitation, the paper constructs the loan limitation model from the view of maximizing the commercial bank risk-adjusted returns. The paper constructs the loan limitation model following this process. Firstly, the paper firstly describes the default rate of company cus- tomers. Secondly, the paper establishes a function： PD = f（L）. There, the paper use PD and L to represent the default rate of company customers and loan limitation respectively. Thirdly, the paper puts the function ＂PD = f （L）＂ into the RAROC model and computes the loan limitation under the given conditions to maximize the commer- cial bank risk-adjusted returns. Then, the paper uses the 2010 yearly relevant data of companies listing in the Shanghai Stock Exchange and Shenzhen Stock Exchange to test the model built in the paper. The empirical results show that under the given lending rate, cost rate of bank capital, operating expenses rate and default loss rate, eq- uity market value and equity market value volatility composite the boundary of loan limitation： loan limitation that should be given to the company customers by commercial banks increases with the increase of their equity market value or their volatility of equity market value. However, the loan limitation that should be given to the company customers is not unconditionally increases with the increase of equity market value volatility, and it needs that equi- ty market value increases correspondingly. Under the given loan limitation, there exists a certain degree of substi- tutability between equity market value and its volatility, in other words, a company with relative smaller equity mar- ket value and a relative larger equity market value volatility can get a similar loan limitation with that of a company with a relative larger equity market value and a relative smaller equity market value volatility. The results of the pa- per offer some valuable suggestions to commercial banks when they determine the loan limitation which should be given to a single company customer.
出处
《经济管理》
CSSCI
北大核心
2012年第12期111-119,共9页
Business and Management Journal ( BMJ )
基金
国家自然科学基金创新研究群体科学基金项目(71221001)
国家软科学研究计划项目(2010GXS5B141)
教育部创新群体项目(IRT0916)
