本刊专稿
中国房地产业发展趋势与商业银行的长期策略
中国工商银行城市金融研究所课题组 (5)
The Development Trend of Chinese Real Estate Industry and Commercial Bank's Long-Term Strategy The Study Group of ICBC Urban Finance Research Institute (5)
理论研究
价值管理视角下的商业银行资产负债模型
于东智 胡 庆 (12)
Asset and Liability Models of Commercial Banks from the Perspective of Value Management
YU Dong-zhi HU Qing (12)
限额存款保险与中国银行业的市场约束
马草原 李运达 (20)
The Part Deposit Insurance and the Market Discipline of Chinese Banking
Ma Cao-yuan Li Yun-da (20)
股票价格对信贷冲击的动态影响
张 鹏 孔德婧 (28)
The Dynamic Impact of Stock Prices on Bank Credit
ZHANG Peng KONG De-jing (28)
应用研究
DDM模型不确定性与银行投资者关系管理
吕 宇 吕 超 (35)
The Uncertainties of DDM Approach and Bank's Investor Relations Management
LV Yu LV Chao (35)
关系型借贷与中小企业融资
苏 峻 刘红晔 何 佳 (41)
Relationship Lending and SME Finance
Su Jun Liu Hong-ye He Jia (41)
贷款减值的理论基础与减值会计模型
许志胜 (47)
The Theoretical Basis and Accounting Model of Loan Impairment
Xu Zhi-sheng (47)
业务探讨
集团关联企业信用风险的财务监测
徐程兴 郑允弢 (56)
A Study on Financial Early-Warning of Group Customer's Credit Risk
XU Cheng-xing ZHENG Yun-tao (56)
企业授信方案在银行信贷结构调整中的应用
唐小梅 李成青 (63)
The Application of Enterprise Credit Granting Program in the Structural Adjustment of Bank's Credit TANG Xiao-mei Li Cheng-qing (63)
后金融危机时代中国信用卡产业的发展
魏 鹏 (69)
The Development of China's Credit Card Industry in Post-Crisis Era
WEI Peng (69)
低碳经济与商业银行业务模式的转变
张 弢 范龙振 (76)
Low-Carbon Economy and the Change of Commercial Bank's Business Model
Zhang Tao FAN Long-zhen (76)
中国房地产业发展趋势和商业银行的长期策略
中国工商银行城市金融研究所课题组
［摘 要］ 目前房地产已成为中国经济的支柱产业，同时资金流量分析表明房地产又不应成为主导产业。长期来看，城市化、人口增长和存量需求释放等刚性和扩张需求，将推动中国房地产行业持续发展，短期内价格暴涨和长时间涨速过快是不合理的。中国房地产市场短期内出现严重衰退的可能性不大，银行面对的风险仍然可控，但仍需注意政策调整的风险。商业银行仍应将房地产市场作为重要业务领域，有重点、有区别拓展；适度控制房地产贷款增速、总量及占比；建立对房地产贷款的全过程监管制度；探索房地产贷款以外的金融创新形式。
［关键词］ 房地产业；商业银行；房地产贷款；风险防范
［Abstract］ Currently, real estate becomes a pillar industry in China's economy, while the analysis of fund flow shows that it should not be a leading industry. In the long term, the rigid and expansing needs, resulting from the urbanization, the growth and stock of population, will promote the continuous development of Chinese real estate industry. Price inflation in a short time and price rising too fast in a long time are unreasonable. In the short term, it is unlikely that Chinese real estate market will experience a serious recession. The risk faced by bank is still controllable, but the risk of policy change should be paid attention to. Commercial banks should still regard the real estate market as important business and implement focused and differentiated development. Commercial banks should also appropriately control the growth, total amount and proportion of real estate loan, establish the monitoring system of the whole process of real estate loan, and explore financial innovation other than real estate loan.
［Key words］ real estate industry; commercial bank; real estate loan; risk prevention
价值管理视角下的商业银行资产负债模型
于东智 胡 庆
［摘 要］ 以价值管理为核心的商业银行资产负债模型将资产负债管理相关要素纳入统一的分析框架内，实现了价值创造和风险控制的有机结合，促使银行资产负债管理行为与银行价值最大化的基本目标协同一致。基于价值管理的资产负债理论模型为中国银行业在内部资金转移定价、贷款定价及利率风险计量等资产负债管理核心领域的实践提供了有益的参考。推进中国银行业资产负债管理向价值管理转型还必须从银行内外部同时着手，在银行内部积极吸收借鉴国外成熟的理论模型，加快开发资产负债决策支持系统，同时，大力推进金融市场和金融基础设施建设。
［关键词］ 资产负债管理；价值创造；商业银行；风险控制
［Abstract］ Asset and liability models of commercial bank, value management as their cores, bring relevant elements of asset and liability management (ALM) into a unified framework of analysis. It achieves the organic integration of risk control with value creation and keeps ALM behavior consistent with the fundamental goal of maximizing bank's value.Asset and liability models based on value management will provide a useful reference for the practice of core areas of ALM such as the funds transfer pricing, the loan pricing and the measurement of interest rate risk in Chinese banks. The transition from ALM to value management should be promoted inside and outside Chinese banks. Chinese banks should actively learn foreign mature theoretical model and accelerate the development of decision support systems of ALM. At the same time, Chinese banks should vigorously promote the construction of financial market and infrastructure.
［Key words］ asset and liability management (ALM)； value creation； commercial bank； control of risk
限额存款保险与中国银行业的市场约束
马草原 李运达
［摘 要］ 一般认为，限额存款保险制度让存款人的资产部分地暴露于风险之中，从而市场约束虽然比无保险状态下较弱但仍然有效，因此世界上实行存款保险制度的国家多采用限额保险。本文认为，中国银行业特殊的股权结构，以及长期以来政府对大银行的资金支持形成了存款人“规模偏好”和银行“大而不倒”（too big to fail）的预期；这一预期特征必将异化市场约束，进而导致银行陷入无序的规模竞争并激励其风险承担；如果单纯实施限额存款保险制度，非但不能修正中国商业银行市场约束的异化问题，而且将强化公众的“大而不倒”预期，使市场约束面临更严重的扭曲。
［关键词］ 限额存款保险；隐性保险； 规模偏好；市场约束
［Abstract］ A general view is that part deposit insurance system makes depositor's property be partially exposed in risk, thereby market discipline is weaker than it on the non-insurance condition but still effective and most countries that implement deposit insurance system adopt part deposit insurance. The paper argues that the special ownership structure of Chinese banking industry and the government's financial support to big banks result in the expectations “scale preference” and “too big to fail”. The expectations will break the market discipline, which leads bank into disorderly scale competition and stimulates bank to risk. If only the implementation of part deposit insurance system, the breaking of the Chinese commercial bank's market discipline can not be amended, the expectation “too big to fail” will also be strengthened and the market discipline will be more seriously distorted.
［Key words］ part deposit insurance； implicit insurance； scale preference； market discipline
股票价格对信贷冲击的动态影响
张 鹏 孔德婧
［摘 要］ 本文使用基于马尔科夫区制转移方法的协整模型（MS-ECM和MS-VECM），以长期信贷需求方程为基础，研究了我国信贷市场的稳定状态与非稳定状态。实证结果显示：在信贷市场的非稳定状态中，我国股票价格变化对信贷冲击形成了较为明显的动态影响。这种动态影响的出现除了与西方学者所关注的信贷配给效应有关以外，还与信贷资金流入股市有着密切联系。另外，实体经济与信贷的动态互动可以显著增加信贷冲击的持续性。基于以上结论，本文提出我国应该整合各种监管资源和政策工具，对股票价格变动引起持续性信贷冲击的现象进行动态预防和监控。
［关键词］ 银行信贷；信贷市场；信贷配给效应；股票价格；区制转移模型
［Abstract］ On the basis of long-term credit demand equation, this paper uses Markov Regime-Switching cointegration models (MS-ECM and MS-VECM) to analyze the steady state and unsteady state of Chinese credit market. The empirical result shows that changes of stock prices have significant disturbances on bank credit and causes credit shocks when credit market is in an unsteady state. Such dynamic impact results from both credit rationing effect, which attracts wide attention of western scholars, and the entrance of credit funds to stock market. Moreover, the interaction between real economy and the credit can significantly increase the persistence of credit shocks. Then the paper proposes that China should comprehensively utilize various supervision resources and policy tools to dynamically monitor and guard against persistent credit shocks originating from changes of stock prices.
［Key words］ bank credit; credit market; credit rationing effect; stock prices; Markov Regime-Switching Model
DDM模型不确定性与银行投资者关系管理
吕 宇 吕 超
［摘 要］ 对银行股基本价值的判断是银行投资者关系管理部门与投资者沟通的基础。目前全球投资者通用三阶段DDM现金流折现模型进行银行股估值，该模型是通过预测银行未来现金流和终值折现加总后得到银行内在价值的分析方法。在实际应用中，对折现率、每年现金流、终值和银行ROE等不确定性变量的预测影响着对银行长期价值的判断。投资者关系管理部门应在经济运行和银行客观经营基础上，理解银行估值模型的不确定性，从而与投资者进行有效沟通，保持资本市场对这些不确定性因素的合理判断，引导资本市场从长期价值投资角度理解银行。
［关键词］ 投资者关系管理；DDM现金流折现模型；折现率；现金流
［Abstract］ The judgment on the value of a bank's shares is the foundation for a bank's IRs team to communicate with investors. At present, global investors commonly apply a three-stage DDM (Dividend Discount Model) approach to forecast a bank's value, a model that obtains a bank's internal value by adding the present values of the bank's future cash flows and terminal value. The forecasting result through this model is practically subject to some variables such as discounted rate, annual cash flows, terminal value and the bank's ROE. A bank's IRs team should fully understand the uncertainties of DDM on the basis of economy mechanisms and a bank's operation situation to effectively communicate with investors, contribute to the rational judgment of capital market on the uncertainties and instruct capital market to understand the value of banks from the perspective of long-term value investment philosophy.
［Key words］ investor relations management； Dividend Discount Model； discounted rate； cash flow
关系型借贷与中小企业融资
苏 峻 刘红晔 何 佳
［摘 要］ 基于三家国内股份制银行中小企业客户的随机调查结果，本文验证了关系型借贷已经成为中小企业与银行之间信贷的一般方法。股份制银行已经超过国有商业银行成为中小企业银行借贷的主体，这证明了“小银行优势假说”在中国的适用。本研究证明中小企业的最大贷款金额基本上是在企业规模基础上，由企业自身的情况和企业与银行的关系共同决定的，与银行的关系越紧密，获得的贷款额度越高,价格越便宜。国家应在政策方面支持中小型银行的发展及对银行关系型借贷产品的开发,以在最短时间、最大程度上满足中小企业的融资需求。
［关键词］ 关系型借贷；中小企业融资；小银行优势假说；股份制银行
［Abstract］ Based on the random survey of three domestic joint-stock banks' SME clients, this paper verifies that relationship lending has become a general method of lending between SMEs and banks and joint-stock banks have surpassed state-owned banks as the main SMEs lending banks, which proves that the “ small bank advantage hypothesis” can be applied in China. This study proves that the maximum amount of loans to SMEs is, essentially based on the size of the enterprise, jointly determined by the enterprise's own situation and the relationship with bank. The closer the relationship with bank is, the larger the maximum loan amount and the price will be cheaper. To meet the financing needs of SMEs in the shortest time and to the maximum extent, state policy should support the development of small and medium sized banks and relationship lending products.
［Key words］ relationship lending; SME finance; small bank advantage hypothesis; joint-stock bank
贷款减值的理论基础与减值会计模型
许志胜
［摘 要］ 贷款减值理论基础可以从资产内涵、会计目标、稳健主义和风险量化管理理论四个维度来分析。贷款减值不仅是一项会计实践，也事关金融监管与稳定。现行已发生损失减值模型同现代企业估值模型具有内在一致性，但减值确认存在滞后性。预期损失模型旨在前瞻性确认贷款预期损失，消除亲周期性影响。研究表明：预期损失模型对预期改变非常敏感，也无法彻底解决现行模型的亲周期问题；中国目前的信贷商业环境尚不支持预期损失模型的理论构建基础。预期损失模型仍未覆盖贷款利率风险的隐性损失，未来预期会被以公允价值为基础的贷款定价模型所取代。
［关键词］ 贷款减值；已发生损失模型；预期损失模型；公允价值模型
［Abstract］ The theoretical basis of loan impairment can be analyzed from four dimensions: asset definition, accounting objective, prudent principle and quantitative risk management theory. Loan impairment is not only an accounting practice, but also related to financial supervision and stability. The existing The Incurred Loss Impairment Model is internally consistent with modern business pricing model, but the affirmation of impairment lags. The aim of the Expected Loss Approach (ELA) is to confirm the expected loss of loan proactively and eliminate pro-cyclical impact. The results show that ELA is very sensitive to expected changes and it can not completely solve the pro-cyclical problem of current models. In China, current business environment does not yet support to build the theoretical basis of ELA. The ELA does not cover the implicit loss of interest rate risk and, in the future, it will be expectedly replaced by the loan pricing model based on the fair value.
［Key words］ loan impairment; incurred loss model; Expected Loss Approach (ELA); fair value model
集团关联企业信用风险的财务监测
徐程兴 郑允弢
［摘 要］ 从财务的角度预警集团客户的信用风险可以使商业银行防患于未然，减少资产损失。基于授信业务实践中的集团客户是由核心企业、紧密层企业、半紧密层企业和松散层企业四个不同层次所组成的联合体，本文从商业银行信用风险管控的角度，提出对于集团客户应对合并会计准则为依据所编制的合并财务报表进行调整，即应将非完全集团成员企业与完全集团成员企业之间的关联交易所产生的财务影响纳入到合并财务报表。本文还结合全国主要商业银行信用风险的管理经验，论述了集团客户的财务预警方法，重点阐述了集团客户表内项目分析中的财务比率分析方法。
［关键词］ 集团客户；信用风险；财务预警；合并报表
［Abstract］ Giving early-warning from perspective of finance on group customer--s credit risk can help commercial banks take preventive measures against possible trouble and reduce potential asset loss. A group customer is an association of core enterprise, closely related enterprises, semi-closely related enterprises and loosely related enterprises, four different hierarchies. From the angle of commercial bank's credit risk control, the paper puts forward that group customer--s consolidated financial statements based on consolidated accounting rules should be adjusted. In other words, the financial influence brought by related party transactions between incomplete group members and complete group members should be included in group customer--s consolidated financial statements. Combining with the experience of main domestic commercial banks in credit risk management, the paper also expounds possible financial early-warning approaches aiming at group customers, especially the financial ratio analysis of group customer--s on-financial statement items.
［Key words］ group customer; credit risk; financial early-warning; consolidated statements
企业授信方案在银行信贷结构调整中的应用
唐小梅 李成青
［摘 要］ 授信方案管理是授信额度管理的发展和深化，其不仅能有效防范企业的信贷风险，更能在银行信贷结构调整中发挥重要作用，主要体现在如下方面：变事后调整为事前控制，化被动调整为主动调整，化刚性调控为柔性策略，变额度管理为方案服务，实现信贷资产的流动性管理。文章结合不同企业的案例，提出了建立授信方案的相关建议：树立为防范风险和增加收益服务的理念；建立客户经理团队和风险经理团队共同参与的贷前平行作业机制；建立预警与反应机制，提高对客户风险的敏感性；加强授信方案的执行力度及检查工作。
［关键词］ 商业银行；授信管理；授信方案；信贷结构；结构调整
［Abstract］ The management of credit granting program is the development and deepening of the management of credit granting amount. It can not only effectively prevent enterprise's credit risk, but also, in the structural adjustment of bank's credit, play an important role mainly in the following: to change the adjustment after the event for the adjustment before the event, the passive adjustment for the active adjustment, the rigid regulation for the flexible strategies, the amount management for the program services and to realize the liquidity management of credit assets. In combination with different business cases, the paper gives suggestions to make credit program: setting the concept to service controlling risks and increasing benefits, building the parallel and pre-loan operation mechanism in which the team of customer manager and the team of risk management manager participate, establishing the early-warning and response mechanism, increasing the sensitivity to customer risk, strengthening the enforcement and inspection of credit granting programs.
［Key words］ commercial bank; credit granting manage; credit granting program; credit structure; structural adjustment
后金融危机时代中国信用卡产业的发展
魏 鹏
［摘 要］ 信用卡资产证券化对美国信用卡危机的爆发起到了推波助澜的作用。与美国相比，我国信用卡产业总体运行状况良好，并未受到国际金融危机的严重冲击，市场拓展速度不断加快，风险控制要求更高，外包经营需求显现。但由于多种不稳定因素依然存在，产业发展之路并不平坦。各银行在后金融危机时代的信用卡业务发展中，要平衡市场拓展与风险管理之间的关系，在转型中谋发展，适时调整经营策略，注重产品与业务创新，密切加强与有关部门的交流与合作，从各个环节实施更为严格的风险管理措施，借助后台业务外包加速产业价值链整合，促进国内信用卡产业健康发展。
［关键词］ 后金融危机时代；信用卡资产证券化；信用卡产业；产业价值链；业务外包
［Abstract］ The asset securitization of credit card aids the outbreak of credit card crisis in the United States. Compared with the United States, Chinese credit card industry is running in good condition in general, and has not been seriously impacted by the international financial crisis. Chinese credit card industry is accelerating market development, requiring a higher demand for risk control and revealing the need for outsourcing. However, due to many uncertainties, the development path of credit card industry is not smooth. To develop credit card business in post-crisis era, banks should strike a balance between market development and risk management, adjust business strategy in the process of transition and development, attach importance to the innovation of product and business, strengthen the exchanges and cooperation with relevant departments, implement more stringent risk management in all aspects, accelerate the integration of the industry value chain with the back counter outsourcing and promote the healthy development of Chinese credit card industry.
［Key words］ post-crisis era; asset securitization of credit card; credit card industry; industry value chain; outsourcing
低碳经济与商业银行业务模式的转变
张 弢 范龙振
［摘 要］ 商业银行将在发展低碳经济过程中，包括在节能、减排和清洁能源方面大有作为。商业银行应积极转变和调整业务模式，利用商业银行信贷政策的调控手段，通过信贷供给的杠杆导向作用，引导产业结构的调整，促使产业发展走上良性轨道。业务模式的转变与调整包括绿色信贷政策创新，实行区域化与差别化的信贷政策，再造商业银行产品服务模块，实行“1+X”综合营销运作模式，与社会各职能部门高度合作，商业银行卖出部分资产并对增量和存量进行调整，激活商业银行的营运资金，为发展低碳经济储备信贷资金。
［关键词］ 低碳经济；商业银行；业务模式；信贷政策
［Abstract］ In the process of developing a low carbon economy, commercial banks will play important roles in many fields, including energy saving, emission reduction and clean energy. Commercial bank should actively change and adjust business model, utilize the regulation means of commercial bank's credit policy and the leverage and guide functions of credit supply, to lead the adjustment of industrial structure and promote industrial progress in a healthy track. The change and adjustment of business model include the innovation of green credit policy, the regionalization and differentiation of the credit policy, the re-construction of commercial bank's products and services modules, the implementation of “1 + X” integrated marketing operation, the close cooperation with various social functional departments, the sale of partial assets, the adjustment of the increments and stock assets, the activation of commercial bank's operational capital and the reservation of credit funds for the development of low-carbon economy.
［Key words］ low-carbon economy; commercial bank; business model; credit policy