商業(yè)銀行系統(tǒng)的不良貸款率模型：意大利效率性和效益性有關(guān)的信貸風(fēng)險(xiǎn)【外文翻譯】

1、商業(yè)銀行系統(tǒng)的不良貸款率模型：意大利效率性和效益性有關(guān)的信貸風(fēng)險(xiǎn)【外文翻譯】 外文翻譯原文modelling non-performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in italymaterial source: springer-verlag 2010author: bernardo maggi ? marco guida abstract in this article, we model the effec

2、t of the non-performing loans on the cost structure of the commercial banking system. with this aim, we comment on an increase in the non-performing loans by studying the consequences of such a change on the cost function and compute the probability of failure of maintaining a performing loan as suc

3、h. in doing so, we are convinced that geography does matter and evaluate the risk propensity of the bank towards the non-performing loans accordingly. we ?nally stress that traditional ef?ciency indicators of cost elasticity do not ?t properly with such a problem and propose a measure based on the c

4、osts for managing and monitor- ing the loans which, according to the related density function, will reveal effectively as non performing. introduction this article deals with the problem of loans that do not perform npl from now on. though such a problem is dated back in the literature on banking sy

5、stems, little space has been given to it for the dif?culty both to obtain the necessary data and to embed it appropriately in the methodology till now developed on the bank ef?ciency. as for the former, acknowledged data bases reveal the absence of information on the most important variable for this

6、 study, i.e. the bad loans. as for the latter, the question is how to account for the bad loans in a speci?c function to obtain reasonable results from the ef?ciency point of view. the puzzle is that, as argued in berger and de young 1997, there exists a simultaneity between npl and inef?ciency but

7、the link represented by bad loans is to be excluded from the explicative variables of the function used to avoid diminishing the inef?ciency measured in the regression residuals, in the case of bad loans not due to internal factors. in this respect, the attempts to address the problem,such as that o

8、f hughes and mester 1993, though pioneering, fail in that npl are included as a whole in cost function without distinguishing between bad loans due to bad management and those due to external factors which, not depending on the bank, should not be counted in the inef?ciency. as a consequence, only t

9、he former effect should be included in the cost function speci?cation. from their side, berger and de young 1997 focused on this problem but without modeling the npl in the cost function, rather they use the cost function only to compute the inef?ciency and then leaving to a causality analysis the j

10、ob of explaining their relationship. however,the conclusions from this method, though correct, are not exhaustive in that: ?rst state only gross statistical association and secondly are general, i.e. are not referable to a speci?c bank. only pastor 1999, 2002 and pastor and serrano 2005 face frontal

11、ly the problem and distinguish between npl deriving from internal and external causes,calculating ef?ciency accordingly. however, pastor 1999, 2002 uses a non parametric approach with the caveats implied for the deterministic techniques, that do not allow inference on the functions for the bank mana

12、gement. he uses a dea analysis at several stages to evaluate the composition of problem loans in conjunction with the two mentioned causes pictured by apposite variables. pastor and serrano 2005for ?rst used a parametric approach. they skip the problem of simultaneity recurring to ad hoc instrumenta

13、l variables to represent the internal and external causes of npl and then inef?ciency. as a consequence, the evaluation of the cost of the non-performing loans, as well as the structure of the cost function, is strongly affected by the discretion both in the choice of such instruments and in the use

14、 of their possible combinations. then, the two authors do not enter in the cost structure questions and jump straightly to the use of the cost and pro?t function as a frontier for the measurement of the ef?ciency. other recent researches started studying this problem but with particular reference to

15、 both developing countries and emergent economies hauner and peiris2005; matthewes et al. 2007, for the implications?due to the insolvency of the banking sector?on the economic growth and the performance of the banks, respectively. such studies consist either in netting the loans of the non performi

16、ng part or in considering npl as an exogenous variable useful to pick downward shifts in the profits. we go more into depth and propose a theoretical and empirical analysis to place the problemof the non-performing loans in the cost ef?ciency framework.we develop an analysis based on the probability

17、 on npl to occur, governed by some parameters representing the structural and local factors both exogenous that concern our problemwhile the internal factors depend on the aimof the bank of capturing loans. in such a way our methodology is easily interpretable and more quickly applicable given that

18、the effects of the exogenous factors are represented by the just mentioned parameters.our intention is to gauge how much of the efforts in managing and monitoring loans succeed in preserving the bank from the non-performing loans. in order to answer this question, we formalize a general methodology,

19、 independently of the contextual economic situation of the country and capable to capture the linkage between npl and cost structure of the commercial banking system. we refer to the widest european bank and, specifically, to the italian case where problem loans did matter. we take into consideratio

20、n the marginal effect of the non-performing loans on the operating costs by using and estimating a transformation function, that connects loans with npl. by exploiting this indirect relationship we also show a possible way out of the dilemma of the simultaneous estimation between the cost function a

21、nd npl which,though logic in principle, would alter the analysis with an overestimated ef?ciency for the additional variable npl in the cost function berger and de young 1997. we represent the link between loans and non-performing loans by stressing the role of the geographical position of the bank.

22、1 such a choice is also motivated by the importance that the economic speci?cities, associated to the geographical localization of the loans, experimented especially by the us, played in the banking sector recent international ?nancial crises of 2007 and 2008. in doing so, we evaluate and use the de

23、nsity function of a loan to become non performing and another measure of probability that connects loans with the more general concept of uncertain loans.we then study where, on average, a bank is positioned with respect to the imum sustainable level of npl thus evaluating the propensity of the bank

24、 to protect itself fromthe credit risk. finally, we conclude by proposing an index?that summarizes the issues stemming from the question we moved from?of ef?ciency and effectiveness,related, respectively, to the management of the loans and to the capacity to prevent non-performing loans, according t

25、o the mentioned probability. alternative ways to measure the effect of npl may be found in the ef?ciency lit-erature of the undesired outputs. in such a context, the problem becomes to ?nd the correspondent npl shadow price following pittman 1983 and fare et al. 1993. the two authors, propose a dete

26、rministic approach solving a imization problem for, respectively, a pro?t and a revenue function de?ned in terms of the distance function. in the ?rst case, shadow prices derive from apposite constraints representing the regulation, and in the second case shadow prices derive directly from the imi-

27、zation problem exploiting shephards dual lemma and assuming that, for marketable outputs, market and shadow prices are the same. our choice fell on the indirect cost function approach for preference of the parametric approach as argued above and for the additional information from the npl probabilit

28、y this article is organized as follows. in the second section, we present the basic theoretical relationships to which we refer for the estimation. in the third section, we reason on the variables to include in the cost function in connection with the scope of our analysis and describe our data set.

29、 in the fourth section,we present the econometric analysis of such a function according to the literature of the ?exible functional forms. in the ?fth section, where the focus is centered on the problemof the npl, we estimate their trade-off with loans and evaluate the attitude to the credit risk of

30、 the bank. the sixth section reports the ?nal calculation of the effect of npl on the marginal cost and some other ef?ciency and effectiveness indicators. the seventh section concludes. conclusions and further remarks in this study, we move from the consideration of the lack, in the literature of ef

31、?ciency in the banking sector, of an accurate dealing with the npl. we formalize a model for the placement of the npl in the cost function thus trying to ?ll somehow the hiatus in this respect and giving further potential to the tools so far available.we answer the question of how much of the effort

32、s in terms of costs for managing and monitoring loans succeed in preserving the bank from the non-performing loans i.e. we measure the change in the cost function due to new incoming l and select, proportionally, the expenses associated with the generated npl. our framework is based on the considera

33、tion that npl is not directly an item of the cost function but can be viewed as a transformation of the loans that stands for the banks trade-off between these two. from this representation we derive the density function of a loan to become non performing which gives the possibility to study how, on

34、 average, the bank is positioned with respect to the imum sustainable level of npl and to evaluate the propensity of the bank to protect himself from the credit risk. this is done by assigning a particular role to the geographical aspects that are found to be relevant both in the transformation and

35、cost function estimation. this allows for the possibility to make considerations on the ef?ciency and effectiveness of the costs management referred to both loans and non-performing loans and, consequently, to control costs with reference to the regions considered.we ?nd that traditional output-elas

36、ticity indicators do not ?t properly with the problem of npl and propose more representative measures. we ?nd that the effect of a change in the probability of an uncertain loan to become non performing is extremely costly for the banking system thus further encouraging the research in this ?eld wit

37、h an analysis that, from the one hand, disentangles the speci?c categories of loans and their degree of risk and, from the other hand, could test the effectiveness of such credit policies.譯文商業(yè)銀行系統(tǒng)的不良貸款率模型:意大利效率性和效益性有關(guān)的信貸風(fēng)險(xiǎn) 資料來(lái)源:施普林格出版社2010年 作者:貝爾納多?馬貴大馬吉 摘要 在本文中,我們模擬不良貸款對(duì)商業(yè)銀行系統(tǒng)成本結(jié)構(gòu)的影響。本著這一目標(biāo),我們通過(guò)研究成

38、本函數(shù)的變化結(jié)果評(píng)論不良貸款的增加,并計(jì)算出維持這樣的一個(gè)不良貸款的失效概率。如此一來(lái),我們認(rèn)為區(qū)域因素對(duì)銀行不良貸款的風(fēng)險(xiǎn)傾向有一定的影響。最后,我們強(qiáng)調(diào)的是,傳統(tǒng)的成本彈性效益指標(biāo)不是很適合這個(gè)問(wèn)題,基于管理和監(jiān)測(cè)的貸款的成本提出措施,并根據(jù)相關(guān)的密度函數(shù),有效地揭示不良貸款。 引言 這篇文章主要處理不良貸款問(wèn)題。雖然這個(gè)問(wèn)題在銀行系統(tǒng)文獻(xiàn)中有記載,但直到銀行業(yè)高效發(fā)展的今天,由于我們?cè)讷@取必要的數(shù)據(jù)并采取適當(dāng)?shù)姆椒ǚ矫孢€存在一定的困難,因此還是一片空白。至于前者,確認(rèn)的數(shù)據(jù)庫(kù)顯示了本研究最重要的變量信息缺失,即不良貸款。而對(duì)于后者,問(wèn)題是如何解釋在一個(gè)特定函數(shù)下的不良貸款,從效率的角度以

39、獲取合理的結(jié)果。讓人不解的是,在伯杰和代揚(yáng)(1997)認(rèn)為:在不良貸款和低效率之間存在同時(shí)性,但以不良貸款為代表的聯(lián)系同時(shí)性將被排除在函數(shù)解釋性變量之外,在不良貸款形成原因不是內(nèi)部因素的情況下,該函數(shù)用來(lái)避免減少回歸誤差測(cè)量的低效。在這一領(lǐng)域,許多學(xué)者都做過(guò)研究,hughes 和mester1993也曾作過(guò)研究,但他們沒(méi)有將由管理不善引起的和由外部因素引起的不良貸款做出區(qū)別,而是將他們作為一個(gè)整體在成本函數(shù)中計(jì)算,這些外部因素,不是銀行自身問(wèn)題引起的,不應(yīng)計(jì)算在內(nèi)。因此,只有前者的影響應(yīng)包括在成本函數(shù)中。依他們看來(lái),伯杰和代揚(yáng)(1997)也關(guān)注過(guò)此問(wèn)題,但沒(méi)有在成本函數(shù)模型中考慮不良貸款,他們

40、運(yùn)用成本函數(shù)只是為了計(jì)算低效和利用因果分析解釋他們之間的關(guān)系。然而,這種方法的結(jié)論,雖然正確,但并不詳盡:第一,只有總的數(shù)據(jù)聯(lián)系;第二,只是一般概括性的,沒(méi)有參考具體的某家銀行。只有pastor 1999, 2002和pastor and serrano 2005正視了此問(wèn)題,區(qū)分了不良貸款產(chǎn)生的內(nèi)因和外因,并據(jù)此計(jì)算相應(yīng)的效率。其中,pastor 1999, 2002使用了一種具有確定性的非參數(shù)方法,其不允許參考銀行管理的函數(shù)。他在幾個(gè)階段使用數(shù)據(jù)包絡(luò)分析來(lái)評(píng)價(jià)問(wèn)題貸款的構(gòu)成,以及由兩個(gè)適當(dāng)變量描述兩個(gè)提及的因素。pastor and serrano 2005第一次使用參數(shù)方法。他們跳過(guò)同時(shí)

41、性問(wèn)題,循環(huán)的特設(shè)工具變量來(lái)表示不良貸款的內(nèi)外因以及低效。因此,不良貸款成本的評(píng)價(jià)以及成本函數(shù)的結(jié)構(gòu),其深受工具的選擇以及他們可能的組合使用的判斷力的影響。那么,兩個(gè)作者沒(méi)有涉及成本函數(shù)問(wèn)題而直接使用成本和利潤(rùn)函數(shù)來(lái)對(duì)效率的測(cè)量。其他最近的研究開(kāi)始研究此問(wèn)題但偏向于參考發(fā)展中國(guó)家以及新興經(jīng)濟(jì)體hauner 和peiris2005; matthewes et al. 2007作為參考-由于銀行的破產(chǎn)-分別在經(jīng)濟(jì)增長(zhǎng)和銀行的性能上。此研究包括不良貸款部分的靜賺資產(chǎn)或考慮不良資產(chǎn)作為外部因素,該因素在利潤(rùn)上對(duì)重整下滑趨勢(shì)有利。我們深入剖析以及提出理論研究與實(shí)證分析來(lái)提出在成本框架上不良貸款的問(wèn)題。基于要發(fā)生的不良貸款可能性的分析,我們提出分析,該分析由一些參數(shù)支配,這些參數(shù)代表結(jié)構(gòu)和當(dāng)?shù)氐囊蛩?都是外部的)和我們的問(wèn)題相關(guān)同時(shí)內(nèi)部因素決定銀行截獲貸款的目的。這樣,我們的方法容易解釋且更加便捷適用,只要外部因素的影響有以上提及的參數(shù)來(lái)表示。我們的目的是測(cè)量管理和監(jiān)控貸款付出的努力,成功保護(hù)貸款免受不良貸款。為了回答這個(gè)問(wèn)題,我們正式提出一種普遍的方法,獨(dú)立于國(guó)家的情景經(jīng)濟(jì)環(huán)境并且能夠捕獲不良貸款和商業(yè)融資系統(tǒng)成本函數(shù)的