在监管过程中创新使用信用登记数据-意大利银行的案例

USINGCREDITREGISTERDATAINTHESUPERVISORYPROCESS在监管过程中使用信用登记数据ThecaseoftheBankofItaly意大利银行的案例

PaoloMarulloReedtzBancad’Italia意大利银行BankingandFinancialSupervision银行及金融监管“PublicPolicyforCreditReportingSystems〞Beijing,September28-30,2004征信体系的公共政策北京，2004年9月28日—30日TheviewsespressedarethoseoftheauthorsanddonotinvolvetheBankofItaly作者观点与意大利银行无关Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MAINTASKSOFTHECREDITREGISTER信用登记的主要任务Forthebanks:abetterassessmentofcreditrisk对银行而言：更好地衡量信用风险monthlyreturnonreportedborrowers;报告借款人的月度还款额adhocrequestforinformationoncreditapplicants;对信用申请人信息的特定要求disseminationofdataonamonthly/quarterlybasis.按月度\季度分发数据FortheSupervisor:对监管者而言：improvingtheassessmentofthequalityofloanportfoliosinthecontextofthesupervisoryprocess;

在监管过程中改善对贷款组合质量的评估方法improvingmacroprudentialanalysis.提高总体审慎分析质量

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

报告机构Italianbanks;意大利各银行ForeignbranchesofItalianbanks;意大利银行在国外的分支机构Italianbranchesofforeignbanks;国外银行在意大利的分支机构Financialintermediariesrecordedinaspecialregister;在特别登记簿有记录的金融中介机构Financialintermediariesbelongingtoabankinggroup.隶属于银行集团的金融中介机构Reportingthreshold:

报告起点：€75,000;七万五千欧元Noneforbaddebts无坏账Reportingfrequency:monthly

报告频度：月度InterestRateSurvey:onbothcreditlinesanddepositsatanindividuallevel(quarterlydata).利率测算：在个人层面上，采用季度数据，测算信贷额度和存款利率

Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK监控信用风险1.Monitoringoverallcreditquality监控总体信贷质量2.Estimatingtheprobabilitiesofdefault(PDs)ofItaliannon-financialfirms估计意大利非金融企业的违约概率3.EvaluatingtheeffectsoftheBasel2Accordonthefinancingofthecorporatesector评价新巴赛尔协议对公司融资的影响4.Assessingtheimpactofamacro-economicshock(“StressTest〞)估计宏观经济状况的突然变动造成的影响〔压力测试〕Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.MONITORINGCREDITRISK监控信用风险Somekeyvariables:关键变量badloans,asashareoftotalloans;不良贷款额占总贷款额的比例adjustedbaddebts(*),asashareof(a)totalloans;(b)accountingbaddebts;调整后坏账额占(1)总贷款额的比例(2)帐面坏账额的比例flowsofnewadjustedbadloans,asashareofperformingloans(mortalityrates);新的调整后不良贷款占正在产生效益贷款的比例〔死亡率〕revokedloans;drawnamount/grantedamount;overdrafts(amounts,frequencyetc.)撤销贷款；提取额/允诺额；投资〔额，频度等。〕(*)Adjustedbadlons=accountingbadloans+loanstoborrowersclassifiedasinsolventbyasignificantnumberofotherbanksorforasignificantshareoftheiroverallexposure.(*)调整后不良贷款＝帐面不良贷款＋向被一定数量银行认定或是根据其总敞口的一定比例确定为资不抵债的借款人提供的贷款Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Industrialfirms工业企业Total总体LOANSNEWLYCLASSEDASBADDEBTS新增坏账(asaratiotooutstandingperformingloansatthestartoftheyear)占未偿贷款总额的比重〔年初数据〕Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.EstimatingthePDs估算违约概率(PDs)Thesources:(i)theCompanyAccountsRegister;(ii)theCreditRegister.来源：(1)公司帐户登记机构(2)信用登记机构

Thesample:180,000firmsclassifiedintofoursectors:manufacturing,trade,construction,andservices.范例：将十八万企业分成四类：制造业、商业、建筑业及效劳业Theprocedure:4logitregressionsforeachsectorinordertodistinguishsoundfrominsolventfirms.步骤：对各类进行logit回归，据此区分健康公司与问题公司Theexplanatoryvariables:profitability;productivity;liquidity;financialstructure;tensionincreditrelationships,etc.解释变量：利润率；生产率;流动性；金融结构；信贷关系紧张度等。Theperformanceoftheregressions:(i)Correctclassificationrate:74percentout-of-sample;(ii)AccuracyRatiobetween65and67percent.回归表现：(1)正确分类率：样本的74%(2)准确比率介于65%和75%之间Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.EstimatingthePDs估算违约概率(PDs)Inparticular,balancesheetdataintheyear2000andCreditRegisterinformationfor2001areusedtoassesstheprobabilityofeachfirmofbeingrecordedasdefaultedintheyear2002.特别指出，在估计每家2002年被记录为违约企业的违约概率时，使用了2000年的资产负债表数据以及2001年的信用登记信息。SincethisworkhasbeendoneinconjunctionwiththedatastemmingfromtheInterestRateSurvey,werestrictourselvesto104,300corporateborrowersandto255,000creditrelationships.由于此项工作要与利率测算工程的数据配合，所以我们将范围限制在104,300家企业借款人和255，000项信贷往来。TheaveragevalueofthePDs,weight违约概率，权数的均值edbytheamountoflending,turnsouttobe0.93percent,asagainst1.3percentforallcorporateborrowersin2002.根据借款数额，最终违约概率测算为0.93%,而2002年所有公司借款人的违约概率为1.3%.Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Table表1Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.THESAMPLE:NUMBEROFFIRMSANDBANKDEBTBYRISKBUCKETS样本：企业数量及银行债务〔按风险量计)Figure2图2Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.PDsandloanrates违约率和贷款利率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Ingeneralterms,thepricingofbankloansreflects:(i)bothfinancialandoperatingcosts;(ii)ariskpremiumcomputedbythebankaccordingtoitsinternalprocedures,(iii)themarketpowerofthebank.总体来看，银行贷款定价反映了(i)财务本钱和操作本钱；(ii)银行根据其内部程序计算的风险升水；(iii)银行的市场力量WefocusontheoverallriskinessoflendingoperationswithinafoundationIRBapproach,asdefinedby:我们通过根底内部评级法〔foundationIRBapproach〕重点关注借款的总体风险，这一方法定义如下：OverallRiskComponent(ORC):EL+k(REQ-EL)总体风险构成〔ORC〕：EL+k(REQ-EL)其中：EL=ExpectedLoss预期损失REQ=capitalrequirementaccordingtoCP3根据新巴塞尔协议草案第三版〔CP3〕确定的资本金要求K=rateofreturnonbankcapital银行资本收益率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Ourstatisticalexercisesgothroughvariousstages:统计工作需要经历假设干阶段：InordertoestimateboththeELandtheREQunderthefoundationIRBapproach(CP3),weneedthePDofeachbankborrower;为了通过根底内部评级法(CP3)来估计预期损失和资本金要求，我们需要每个银行借款者的违约率。InordertoassesstherelationbetweentheORCandthebanks'ownriskassessmentweneedtheinterestrateschargedbyeachbanktoeachlendingoperation;为了估计总体风险构成和银行自身风险之间的关系，我们需要各家银行对每笔借款征收的利率。Inordertoperformastresstestexerciseweneedtoestablishthecriteriaforsimulatingasuddendeteriorationinthefinancialsituationofthecorporatesector.为了进行压力测试，我们需要建立一系列标准来重振公司财务状况急剧下滑的情况。Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Table2表2Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure5图5Interestrates(netoftherateonrisk-freeassets)利率〔无风险资产的净利率〕ORC总体风险构成CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS总体风险构成和利率相对于风险量的变化Totalsales>€50million总销售额>€5000万ChangesinORCsandinterestrates总体风险构成和利率的变化riskbuckets风险篮Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure6图6CHANGESINORCsANDINTERESTRATESBYRISKBUCKETS总体风险构成和利率相对于风险量的变化Interestrates(netoftherateonrisk-freeassets)利率〔无风险资产的净利率〕ORC总体风险构成Totalsales€5-50million总销售额为€

500－5000万ChangesinORCsandinterestrates总体风险构成和利率的变化riskbuckets风险量Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Figure9图9(Source:CentraledeiBilanci)INDUSTRIALANDCOMMERCIALFIRMS:ACCOUNTINGRATIOS

工业和商业企业：会计比率Evaluationonly.CreatedwithAspose.Slidesfor.NET3.5ClientProfile.Copyright2004-2021AsposePtyLtd.Stresstesting

Byusingthebalancesheetsofthecorporateborrowersandtheircreditrelationshipsin1993,wesimulateasuddendeteriorationoftheItaliancorporatesectortothesituationexperiencedin1993-94.Wecompute:压力测试利用1993年公司债务人的财务报表和它们的信用关系，我们模拟了1993－94年间意大利企业财务状况急剧恶化的情况。我们计算了：

(a) thePDsofindividualfirmsconsistentwithsuchasituation;(b) thecorrespondingcapitalrequirementsaccordingtoCP3;thecorrespondingORCofeachcreditrelationship.与该情况相一致的单个公司的违约率与CP3相应的资本金要求相应信用关系中的总体风险构成TheincreaseoftheORCwithrespecttothepresentsituationprovidesaproxyoftheincreaseweshouldexpecttoobserveintheinterestrate(netoftherateonarisk-freeasset)chargedoneachcreditrelationship.目前风险种类的增加表示我们对每笔信贷事项所征收的利率〔无风险利率根底上的净利率〕也应当增加。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.压力