在監(jiān)管過(guò)程中創(chuàng)新使用信用登記數(shù)據(jù)-意大利銀行的案例

USINGCREDITREGISTERDATAINTHESUPERVISORYPROCESS在監(jiān)管過(guò)程中使用信用登記數(shù)據(jù)ThecaseoftheBankofItaly意大利銀行的案例

PaoloMarulloReedtzBancad’Italia意大利銀行BankingandFinancialSupervision銀行及金融監(jiān)管“PublicPolicyforCreditReportingSystems〞Beijing,September28-30,2004征信體系的公共政策北京，2004年9月28日—30日TheviewsespressedarethoseoftheauthorsanddonotinvolvetheBankofItaly作者觀點(diǎn)與意大利銀行無(wú)關(guān)Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MAINTASKSOFTHECREDITREGISTER信用登記的主要任務(wù)Forthebanks:abetterassessmentofcreditrisk對(duì)銀行而言：更好地衡量信用風(fēng)險(xiǎn)monthlyreturnonreportedborrowers;報(bào)告借款人的月度還款額adhocrequestforinformationoncreditapplicants;對(duì)信用申請(qǐng)人信息的特定要求disseminationofdataonamonthly/quarterlybasis.按月度\季度分發(fā)數(shù)據(jù)FortheSupervisor:對(duì)監(jiān)管者而言：improvingtheassessmentofthequalityofloanportfoliosinthecontextofthesupervisoryprocess;

在監(jiān)管過(guò)程中改善對(duì)貸款組合質(zhì)量的評(píng)估方法improvingmacroprudentialanalysis.提高總體審慎分析質(zhì)量

Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Reportinginstitutions:

報(bào)告機(jī)構(gòu)Italianbanks;意大利各銀行ForeignbranchesofItalianbanks;意大利銀行在國(guó)外的分支機(jī)構(gòu)Italianbranchesofforeignbanks;國(guó)外銀行在意大利的分支機(jī)構(gòu)Financialintermediariesrecordedinaspecialregister;在特別登記簿有記錄的金融中介機(jī)構(gòu)Financialintermediariesbelongingtoabankinggroup.隸屬于銀行集團(tuán)的金融中介機(jī)構(gòu)Reportingthreshold:

報(bào)告起點(diǎn)：€75,000;七萬(wàn)五千歐元Noneforbaddebts無(wú)壞賬Reportingfrequency:monthly

報(bào)告頻度：月度InterestRateSurvey:onbothcreditlinesanddepositsatanindividuallevel(quarterlydata).利率測(cè)算：在個(gè)人層面上，采用季度數(shù)據(jù)，測(cè)算信貸額度和存款利率

Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK監(jiān)控信用風(fēng)險(xiǎn)1.Monitoringoverallcreditquality監(jiān)控總體信貸質(zhì)量2.Estimatingtheprobabilitiesofdefault(PDs)ofItaliannon-financialfirms估計(jì)意大利非金融企業(yè)的違約概率3.EvaluatingtheeffectsoftheBasel2Accordonthefinancingofthecorporatesector評(píng)價(jià)新巴賽爾協(xié)議對(duì)公司融資的影響4.Assessingtheimpactofamacro-economicshock(“StressTest〞)估計(jì)宏觀經(jīng)濟(jì)狀況的突然變動(dòng)造成的影響〔壓力測(cè)試〕Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK監(jiān)控信用風(fēng)險(xiǎn)Somekeyvariables:關(guān)鍵變量badloans,asashareoftotalloans;不良貸款額占總貸款額的比例adjustedbaddebts(*),asashareof(a)totalloans;(b)accountingbaddebts;調(diào)整后壞賬額占(1)總貸款額的比例(2)帳面壞賬額的比例flowsofnewadjustedbadloans,asashareofperformingloans(mortalityrates);新的調(diào)整后不良貸款占正在產(chǎn)生效益貸款的比例〔死亡率〕revokedloans;drawnamount/grantedamount;overdrafts(amounts,frequencyetc.)撤銷貸款；提取額/允諾額；投資〔額，頻度等?！?*)Adjustedbadlons=accountingbadloans+loanstoborrowersclassifiedasinsolventbyasignificantnumberofotherbanksorforasignificantshareoftheiroverallexposure.(*)調(diào)整后不良貸款＝帳面不良貸款＋向被一定數(shù)量銀行認(rèn)定或是根據(jù)其總敞口的一定比例確定為資不抵債的借款人提供的貸款Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Industrialfirms工業(yè)企業(yè)Total總體LOANSNEWLYCLASSEDASBADDEBTS新增壞賬(asaratiotooutstandingperformingloansatthestartoftheyear)占未償貸款總額的比重〔年初數(shù)據(jù)〕Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.EstimatingthePDs估算違約概率(PDs)Thesources:(i)theCompanyAccountsRegister;(ii)theCreditRegister.來(lái)源：(1)公司帳戶登記機(jī)構(gòu)(2)信用登記機(jī)構(gòu)

Thesample:180,000firmsclassifiedintofoursectors:manufacturing,trade,construction,andservices.范例：將十八萬(wàn)企業(yè)分成四類：制造業(yè)、商業(yè)、建筑業(yè)及效勞業(yè)Theprocedure:4logitregressionsforeachsectorinordertodistinguishsoundfrominsolventfirms.步驟：對(duì)各類進(jìn)行l(wèi)ogit回歸，據(jù)此區(qū)分健康公司與問(wèn)題公司Theexplanatoryvariables:profitability;productivity;liquidity;financialstructure;tensionincreditrelationships,etc.解釋變量：利潤(rùn)率；生產(chǎn)率;流動(dòng)性；金融結(jié)構(gòu)；信貸關(guān)系緊張度等。Theperformanceoftheregressions:(i)Correctclassificationrate:74percentout-of-sample;(ii)AccuracyRatiobetween65and67percent.回歸表現(xiàn)：(1)正確分類率：樣本的74%(2)準(zhǔn)確比率介于65%和75%之間Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.EstimatingthePDs估算違約概率(PDs)Inparticular,balancesheetdataintheyear2000andCreditRegisterinformationfor2001areusedtoassesstheprobabilityofeachfirmofbeingrecordedasdefaultedintheyear2002.特別指出，在估計(jì)每家2002年被記錄為違約企業(yè)的違約概率時(shí)，使用了2000年的資產(chǎn)負(fù)債表數(shù)據(jù)以及2001年的信用登記信息。SincethisworkhasbeendoneinconjunctionwiththedatastemmingfromtheInterestRateSurvey,werestrictourselvesto104,300corporateborrowersandto255,000creditrelationships.由于此項(xiàng)工作要與利率測(cè)算工程的數(shù)據(jù)配合，所以我們將范圍限制在104,300家企業(yè)借款人和255，000項(xiàng)信貸往來(lái)。TheaveragevalueofthePDs,weight違約概率，權(quán)數(shù)的均值edbytheamountoflending,turnsouttobe0.93percent,asagainst1.3percentforallcorporateborrowersin2002.根據(jù)借款數(shù)額，最終違約概率測(cè)算為0.93%,而2002年所有公司借款人的違約概率為1.3%.Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Table表1Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.THESAMPLE:NUMBEROFFIRMSANDBANKDEBTBYRISKBUCKETS樣本：企業(yè)數(shù)量及銀行債務(wù)〔按風(fēng)險(xiǎn)量計(jì))Figure2圖2Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.PDsandloanrates違約率和貸款利率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Ingeneralterms,thepricingofbankloansreflects:(i)bothfinancialandoperatingcosts;(ii)ariskpremiumcomputedbythebankaccordingtoitsinternalprocedures,(iii)themarketpowerofthebank.總體來(lái)看，銀行貸款定價(jià)反映了(i)財(cái)務(wù)本錢和操作本錢；(ii)銀行根據(jù)其內(nèi)部程序計(jì)算的風(fēng)險(xiǎn)升水；(iii)銀行的市場(chǎng)力量WefocusontheoverallriskinessoflendingoperationswithinafoundationIRBapproach,asdefinedby:我們通過(guò)根底內(nèi)部評(píng)級(jí)法〔foundationIRBapproach〕重點(diǎn)關(guān)注借款的總體風(fēng)險(xiǎn)，這一方法定義如下：OverallRiskComponent(ORC):EL+k(REQ-EL)總體風(fēng)險(xiǎn)構(gòu)成〔ORC〕：EL+k(REQ-EL)其中：EL=ExpectedLoss預(yù)期損失REQ=capitalrequirementaccordingtoCP3根據(jù)新巴塞爾協(xié)議草案第三版〔CP3〕確定的資本金要求K=rateofreturnonbankcapital銀行資本收益率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Ourstatisticalexercisesgothroughvariousstages:統(tǒng)計(jì)工作需要經(jīng)歷假設(shè)干階段：InordertoestimateboththeELandtheREQunderthefoundationIRBapproach(CP3),weneedthePDofeachbankborrower;為了通過(guò)根底內(nèi)部評(píng)級(jí)法(CP3)來(lái)估計(jì)預(yù)期損失和資本金要求，我們需要每個(gè)銀行借款者的違約率。InordertoassesstherelationbetweentheORCandthebanks'ownriskassessmentweneedtheinterestrateschargedbyeachbanktoeachlendingoperation;為了估計(jì)總體風(fēng)險(xiǎn)構(gòu)成和銀行自身風(fēng)險(xiǎn)之間的關(guān)系，我們需要各家銀行對(duì)每筆借款征收的利率。Inordertoperformastresstestexerciseweneedtoestablishthecriteriaforsimulatingasuddendeteriorationinthefinancialsituationofthecorporatesector.為了進(jìn)行壓力測(cè)試，我們需要建立一系列標(biāo)準(zhǔn)來(lái)重振公司財(cái)務(wù)狀況急劇下滑的情況。Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Table2表2Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure5圖5Interestrates(netoftherateonrisk-freeassets)利率〔無(wú)風(fēng)險(xiǎn)資產(chǎn)的凈利率〕ORC總體風(fēng)險(xiǎn)構(gòu)成CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS總體風(fēng)險(xiǎn)構(gòu)成和利率相對(duì)于風(fēng)險(xiǎn)量的變化Totalsales>€50million總銷售額>€5000萬(wàn)ChangesinORCsandinterestrates總體風(fēng)險(xiǎn)構(gòu)成和利率的變化riskbuckets風(fēng)險(xiǎn)籃Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure6圖6CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS總體風(fēng)險(xiǎn)構(gòu)成和利率相對(duì)于風(fēng)險(xiǎn)量的變化Interestrates(netoftherateonrisk-freeassets)利率〔無(wú)風(fēng)險(xiǎn)資產(chǎn)的凈利率〕ORC總體風(fēng)險(xiǎn)構(gòu)成Totalsales€5-50million總銷售額為€

500－5000萬(wàn)ChangesinORCsandinterestrates總體風(fēng)險(xiǎn)構(gòu)成和利率的變化riskbuckets風(fēng)險(xiǎn)量Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure9圖9(Source:CentraledeiBilanci)INDUSTRIALANDCOMMERCIALFIRMS:ACCOUNTINGRATIOS

工業(yè)和商業(yè)企業(yè)：會(huì)計(jì)比率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Stresstesting

Byusingthebalancesheetsofthecorporateborrowersandtheircreditrelationshipsin1993,wesimulateasuddendeteriorationoftheItaliancorporatesectortothesituationexperiencedin1993-94.Wecompute:壓力測(cè)試?yán)?993年公司債務(wù)人的財(cái)務(wù)報(bào)表和它們的信用關(guān)系，我們模擬了1993－94年間意大利企業(yè)財(cái)務(wù)狀況急劇惡化的情況。我們計(jì)算了：

(a) thePDsofindividualfirmsconsistentwithsuchasituation;(b) thecorrespondingcapitalrequirementsaccordingtoCP3;thecorrespondingORCofeachcreditrelationship.與該情況相一致的單個(gè)公司的違約率與CP3相應(yīng)的資本金要求相應(yīng)信用關(guān)系中的總體風(fēng)險(xiǎn)構(gòu)成TheincreaseoftheORCwithrespecttothepresentsituationprovidesaproxyoftheincreaseweshouldexpecttoobserveintheinterestrate(netoftherateonarisk-freeasset)chargedoneachcreditrelationship.目前風(fēng)險(xiǎn)種類的增加表示我們對(duì)每筆信貸事項(xiàng)所征收的利率〔無(wú)風(fēng)險(xiǎn)利率根底上的凈利率〕也應(yīng)當(dāng)增加。Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.ProcedureforstresstestingSample:188,000firmsfor2000-01;150,000for1993;64,000firmsinbothperiodsCalculation:(i)for64,000firms(56%ofbankloans),substitutionof1993valuesforthoseof2000-01;(ii)for124,000firms,adjustmenttoreproduce1993averagesbysector,area,sizeoffirms.壓力