摘要
国际会计准则委员会(IASB)在新会计准则IFRS9中提出了与现行的资产减值准备计提方式存在巨大差异的预期信用损失模式,要求前瞻性地计提金融资产的减值准备。本文构建了符合IFRS9要求的金融资产减值损失计量模型,使用某银行个人住房按揭贷款真实数据进行回测,探讨了IFRS9对银行拨备计提的影响。研究发现:预期信用损失模式计提的拨备比例虽与经济周期同步波动,但是波动幅度较小,且不落后于经济周期;但与主流结论不同的是,IFRS9下个人住房按揭贷款拨备计提的比例较旧准则下更低,这是现行的迁移率模型过多地计提了高房价城市的拨备所造成的。本文认为,IFRS9的实施可以在一定程度上缓解拨备的顺周期效应,但不能完全避免顺周期效应的影响;此外商业银行需要根据不同的资产类别单独分析,从而有针对性地应对新规则所带来的冲击。
International Accounting Standards Board(IASB)developed and published new international accounting standards"International Financial Reporting Standards 9"(IFRS 9),demands banks to calculate provision prospectively,which is significantly different from the current calculation method of provision.In this article we establish a theoretical model of expected credit loss according to IFRS 9 criterion.Furthermore,this paper use sample from personal home mortgage loans data of one Chinese commercial bank to study the impact of the expected credit loss model on the bank impairment provision from the perspective of quantitative analysis.The results show that the fluctuation ratio of provision based on Expected Credit Loss Model is lower than that based on Incurred Loss Model while it has weaker hysteresis with the macroeconomic cycle,which means the pro-cyclical effect will be weakened by IFRS9.In addition,different from the mainstream opinion,the provision of personal home mortgage loans based on Expected Credit Loss Model is lower than that based on Incurred Loss Model,which is because the current used migration model calculates too much provision on cities with higher real-estate price.The conclusion is that the implementation of IFRS9 will weaken the pro-cyclical effect of banks’provision binged by Incurred Loss Model,but can’t eliminate it.Commercial banks should analyze the out coming of IFRS9 differently base on different assets,so they can deal with the impact specifically.
作者
胡辰
李心丹
Hu Chen;Li Xindan
出处
《南京社会科学》
CSSCI
北大核心
2019年第12期24-33,共10页
Nanjing Journal of Social Sciences
