在監(jiān)管過程中創(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作者觀點與意大利銀行無關Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MAINTASKSOFTHECREDITREGISTER信用登記的主要任務Forthebanks:abetterassessmentofcreditrisk對銀行而言：更好地衡量信用風險monthlyreturnonreportedborrowers;報告借款人的月度還款額adhocrequestforinformationoncreditapplicants;對信用申請人信息的特定要求disseminationofdataonamonthly/quarterlybasis.按月度\季度分發(fā)數(shù)據(jù)FortheSupervisor:對監(jiān)管者而言：improvingtheassessmentofthequalityofloanportfoliosinthecontextofthesupervisoryprocess;

在監(jiān)管過程中改善對貸款組合質量的評估方法improvingmacroprudentialanalysis.提高總體審慎分析質量

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

報告機構Italianbanks;意大利各銀行ForeignbranchesofItalianbanks;意大利銀行在國外的分支機構Italianbranchesofforeignbanks;國外銀行在意大利的分支機構Financialintermediariesrecordedinaspecialregister;在特別登記簿有記錄的金融中介機構Financialintermediariesbelongingtoabankinggroup.隸屬于銀行集團的金融中介機構Reportingthreshold:

報告起點：€75,000;七萬五千歐元Noneforbaddebts無壞賬Reportingfrequency:monthly

報告頻度：月度InterestRateSurvey:onbothcreditlinesanddepositsatanindividuallevel(quarterlydata).利率測算：在個人層面上，采用季度數(shù)據(jù)，測算信貸額度和存款利率

Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK監(jiān)控信用風險1.Monitoringoverallcreditquality監(jiān)控總體信貸質量2.Estimatingtheprobabilitiesofdefault(PDs)ofItaliannon-financialfirms估計意大利非金融企業(yè)的違約概率3.EvaluatingtheeffectsoftheBasel2Accordonthefinancingofthecorporatesector評價新巴賽爾協(xié)議對公司融資的影響4.Assessingtheimpactofamacro-economicshock(“StressTest〞)估計宏觀經濟狀況的突然變動造成的影響〔壓力測試〕Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK監(jiān)控信用風險Somekeyvariables:關鍵變量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);新的調整后不良貸款占正在產生效益貸款的比例〔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.(*)調整后不良貸款＝帳面不良貸款＋向被一定數(shù)量銀行認定或是根據(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.來源：(1)公司帳戶登記機構(2)信用登記機構

Thesample:180,000firmsclassifiedintofoursectors:manufacturing,trade,construction,andservices.范例：將十八萬企業(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：對各類進行l(wèi)ogit回歸，據(jù)此區(qū)分健康公司與問題公司Theexplanatoryvariables:profitability;productivity;liquidity;financialstructure;tensionincreditrelationships,etc.解釋變量：利潤率；生產率;流動性；金融結構；信貸關系緊張度等。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，在估計每家2002年被記錄為違約企業(yè)的違約概率時，使用了2000年的資產負債表數(shù)據(jù)以及2001年的信用登記信息。SincethisworkhasbeendoneinconjunctionwiththedatastemmingfromtheInterestRateSurvey,werestrictourselvesto104,300corporateborrowersandto255,000creditrelationships.由于此項工作要與利率測算工程的數(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項信貸往來。TheaveragevalueofthePDs,weight違約概率，權數(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〔按風險量計)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.總體來看，銀行貸款定價反映了(i)財務本錢和操作本錢；(ii)銀行根據(jù)其內部程序計算的風險升水；(iii)銀行的市場力量WefocusontheoverallriskinessoflendingoperationswithinafoundationIRBapproach,asdefinedby:我們通過根底內部評級法〔foundationIRBapproach〕重點關注借款的總體風險，這一方法定義如下：OverallRiskComponent(ORC):EL+k(REQ-EL)總體風險構成〔ORC〕：EL+k(REQ-EL)其中：EL=ExpectedLoss預期損失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)計工作需要經歷假設干階段：InordertoestimateboththeELandtheREQunderthefoundationIRBapproach(CP3),weneedthePDofeachbankborrower;為了通過根底內部評級法(CP3)來估計預期損失和資本金要求，我們需要每個銀行借款者的違約率。InordertoassesstherelationbetweentheORCandthebanks'ownriskassessmentweneedtheinterestrateschargedbyeachbanktoeachlendingoperation;為了估計總體風險構成和銀行自身風險之間的關系，我們需要各家銀行對每筆借款征收的利率。Inordertoperformastresstestexerciseweneedtoestablishthecriteriaforsimulatingasuddendeteriorationinthefinancialsituationofthecorporatesector.為了進行壓力測試，我們需要建立一系列標準來重振公司財務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〔無風險資產的凈利率〕ORC總體風險構成CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS總體風險構成和利率相對于風險量的變化Totalsales>€50million總銷售額>€5000萬ChangesinORCsandinterestrates總體風險構成和利率的變化riskbuckets風險籃Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure6圖6CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS總體風險構成和利率相對于風險量的變化Interestrates(netoftherateonrisk-freeassets)利率〔無風險資產的凈利率〕ORC總體風險構成Totalsales€5-50million總銷售額為€

500－5000萬ChangesinORCsandinterestrates總體風險構成和利率的變化riskbuckets風險量Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure9圖9(Source:CentraledeiBilanci)INDUSTRIALANDCOMMERCIALFIRMS:ACCOUNTINGRATIOS

工業(yè)和商業(yè)企業(yè)：會計比率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Stresstesting

Byusingthebalancesheetsofthecorporateborrowersandtheircreditrelationshipsin1993,wesimulateasuddendeteriorationoftheItaliancorporatesectortothesituationexperiencedin1993-94.Wecompute:壓力測試利用1993年公司債務人的財務報表和它們的信用關系，我們模擬了1993－94年間意大利企業(yè)財務狀況急劇惡化的情況。我們計算了：

(a) thePDsofindividualfirmsconsistentwithsuchasituation;(b) thecorrespondingcapitalrequirementsaccordingtoCP3;thecorrespondingORCofeachcreditrelationship.與該情況相一致的單個公司的違約率與CP3相應的資本金要求相應信用關系中的總體風險構成TheincreaseoftheORCwithrespecttothepresentsituationprovidesaproxyoftheincreaseweshouldexpecttoobserveintheinterestrate(netoftherateonarisk-freeasset)chargedoneachcreditrelationship.目前風險種類的增加表示我們對每筆信貸事項所征收的利率〔無風險利率根底上的凈利率〕也應當增加。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