银行风险监管能力的工具.ppt

Credit Registers:a Tool for Improved Bank Risk Regulation and Supervision.信用登记：提高银行风险监管能力的工具 Jerry Caprio The World Bank世界银行.BejingSeptember 29,2004北京2004年9月29日Outline of the presentation讲演大纲1.Credit Registers are tools intended to broaden the access to credit markets 2.信用登记着眼于拓宽信贷市场进入渠道信用登记着眼于拓宽信贷市场进入渠道3.2.making possible better risk assessments on the part of the banks.4.使银行部门可能更好地进行风险评估使银行部门可能更好地进行风险评估3.in addition they may be a tool for more advanced risk based supervision 4.此外还有利于开展高级风险性监管此外还有利于开展高级风险性监管 4.as in the case of the assessment of bank capital requirements.5.同银行资本金要求的评估相似同银行资本金要求的评估相似.5.but important challenges lie ahead!.6.但面临着重大的挑战但面临着重大的挑战!.2022/12/62CR&Access to credit market信用登记与信贷市场准入 Banks often do not lend to individual customers lacking“physical collateral”银行通常不向缺少实物担保的个人提供贷款银行通常不向缺少实物担保的个人提供贷款 and therefore restrict their credit to their wealthiest customers.因此他们向最富有客户的信贷受到了限制因此他们向最富有客户的信贷受到了限制 A good credit record represents an alternative and“wealth free”collateral:a“reputation collateral”良好的信用记录反映了另一种非财产担保的方式：信誉担保良好的信用记录反映了另一种非财产担保的方式：信誉担保.that allows banks to lend to all customers independently from their wealth.这就使银行可向所有客户贷款而不需考虑他们的财产状况这就使银行可向所有客户贷款而不需考虑他们的财产状况2022/12/63CR&Access to credit market信用登记与信贷市场准入 World Bank research shows that lending may increase substantially,without increasing the risk exposure,when banks supplement their own information with that provided by Credit Registers(Majnoni et al.2004).世行研究表明，若银行将已有信息同信用登记所提供的信息结合起世行研究表明，若银行将已有信息同信用登记所提供的信息结合起来，信贷大幅增长的同时不会带来风险敞口的扩大来，信贷大幅增长的同时不会带来风险敞口的扩大(Majnoni et al.2004)。Evidence from Argentina and Brazil shows:阿根廷和巴西的经验证明：阿根廷和巴西的经验证明：that a small bank,when adding CR data in its creditworthiness assessment,could increase its lending up to 30%without increasing its risk;小型银行若在对信用可靠度进行评估时添加信用登记提供的数据，小型银行若在对信用可靠度进行评估时添加信用登记提供的数据，可以增加高达可以增加高达30%的贷款而不至增加风险；的贷款而不至增加风险；gains are higher for smaller banks.对小型银行而言收益更高。对小型银行而言收益更高。2022/12/64From Access to Credit to Credit Risk Management 从信贷市场准入到信贷风险管理Credit information sharing by improving banks risk assessment helps banks:通过改善银行风险评估的信贷信息共享有助于银行：通过改善银行风险评估的信贷信息共享有助于银行：to extend credit to new previously rationed but creditworthy customer.By affecting credit origination CRs improve the access to bank credit.向新的客户提供信贷向新的客户提供信贷,这些新客户之前得不到足够的贷款但却具这些新客户之前得不到足够的贷款但却具有良好信用度。通过影响信用机构，信用登记可以提高银行信有良好信用度。通过影响信用机构，信用登记可以提高银行信贷的可得性。贷的可得性。to measure the aggregate risk of their loan portfolios improving risk management.提高风险管理能力，衡量贷款组合的总体风险提高风险管理能力，衡量贷款组合的总体风险 Market Access and Risk Management are in fact two faces of the same coin.市场准入和风险管理是一枚硬币的正反两面。市场准入和风险管理是一枚硬币的正反两面。2022/12/65CR&Credit Risk Management信用登记与信用风险管理 World Bank research shows that risk can decrease substantially,at any level of lending,when banks supplement their own information with that provided by Credit Registers(Majnoni et al.2004).世行研究表明，若银行将已有信息同信用登记所提供的信息结合起来，世行研究表明，若银行将已有信息同信用登记所提供的信息结合起来，在任意给定的信贷水平上，风险可以大幅降低。在任意给定的信贷水平上，风险可以大幅降低。(Majnoni et al.2004)。Evidence from Argentina and Brazil shows that a banks who on average accepts 60%of its loan applicants can decrease its default risk by 30%by using CR data in addition to his own information.阿根廷和巴西的经验证明，一家平均放贷率为阿根廷和巴西的经验证明，一家平均放贷率为60%的银行，若在对信的银行，若在对信用可靠度进行评估时添加信用登记提供的数据，可以减少用可靠度进行评估时添加信用登记提供的数据，可以减少30%的违约风的违约风险。险。2022/12/66CR&Credit Risk Management信用登记与信用风险管理Empirical evidence shows that the design of CRs affects the contribution that CR data may offer to risk management.Notably:经验证据表明，信用登记的设计会影响到信用登记数据对风险管理的经验证据表明，信用登记的设计会影响到信用登记数据对风险管理的贡献程度。主要表现在：贡献程度。主要表现在：the presence of positive information about borrowers increases precision of default estimates reducing the amount of risk for any lending level(to what extent banks may be willing to share positive information,though,is an open issue).借款人的正面信息提高了违约估计的准确性，也减少了任一借贷水借款人的正面信息提高了违约估计的准确性，也减少了任一借贷水平上的风险（但银行愿意在何种程度上分享正面信息的问题仍未得到平上的风险（但银行愿意在何种程度上分享正面信息的问题仍未得到解决）解决）appropriate historical length of credit records should be achieved.应有足够长的信贷历史记录。应有足够长的信贷历史记录。2022/12/67From Risk Management to Risk Based Supervision从风险管理到风险性监管What proves useful for Banks risk assessment is also useful for Supervisors control of banks risk exposures.Supervisors have used CR data for:被证明对银行风险评估有用的资料同样对监管者控制银行风险敞口有用。监被证明对银行风险评估有用的资料同样对监管者控制银行风险敞口有用。监管者已经在如下方面采用了信用登记的数据：管者已经在如下方面采用了信用登记的数据：on-site supervision(53 countries out of the 57 countries reviewed by the World Bank);现场监测（世行现场监测（世行review的的57个国家中的个国家中的53个国家采用）；个国家采用）；off-site supervision(49 countries out of 57);非现场监测非现场监测(57个国家中的个国家中的49个采用）；个采用）；control credit risk concentration.控制信贷风险的集中。控制信贷风险的集中。In addition,CRs favor competition and may help preventing the establishment of dominant positions in the banking market and in that of credit information.此外，信用登记鼓励竞争并将有助于防止银行市场和信贷信息上支配力量的此外，信用登记鼓励竞争并将有助于防止银行市场和信贷信息上支配力量的形成。形成。2022/12/68CR&Risk Based Supervision信用登记与风险性监管 The international trend toward a risk based bank supervision(i.e.an approach less based on administrative rules and more on a close monitoring of banks risk exposures)opens up a new role for CRs.向风险性监管转变的国际潮流使信用登记有了新作用。向风险性监管转变的国际潮流使信用登记有了新作用。Adequate credit risk databases for banks and bank supervisors are in fact a precondition for risk based regulation and supervision(together with adequate skills among bank supervisors,new effective monitoring procedures and sanctions).向银行和银行监管者提供的足够的信贷信息数据实际上是风险向银行和银行监管者提供的足够的信贷信息数据实际上是风险性监管的前提条件（还包括：监管者一定的能力，新的有效监性监管的前提条件（还包括：监管者一定的能力，新的有效监控程序和控程序和sanction)。2022/12/69CR&Risk Based Supervision信用登记与风险性监管The ongoing debate about the desirable bank capital regulation approach offer a useful example of the role that CR data may play in the definition of a risk based regulation in emerging countries.CR data may in fact help to solve a:一直以来关于一直以来关于理想的银行资本监管方法的讨论为信用登记数据在新兴国家对理想的银行资本监管方法的讨论为信用登记数据在新兴国家对风险性监管的定义方面所起的作用提供了有用的例子。信用登记数据实际上风险性监管的定义方面所起的作用提供了有用的例子。信用登记数据实际上将有助于解决一下问题：将有助于解决一下问题：measurement problem:quantifying the VaR for a banking system without using complex models;测算问题：不使用复杂的模型而能确定银行体系风险价值的大小；测算问题：不使用复杂的模型而能确定银行体系风险价值的大小；policy problem:indicating how VaRs can be split among Capital and Loan Loss Reserves(an area where Basel 2 does not provide guidance).政策问题：指出风险价值在资本和贷款损失准备之间是如何划分的（新巴赛政策问题：指出风险价值在资本和贷款损失准备之间是如何划分的（新巴赛尔协议未涉及此问题）尔协议未涉及此问题）2022/12/610CR&Bank Capital Regulation信用登记与银行资本金监管Recent research at the World Bank(Majnoni,Miller,Powell,2004)shows that countries with CRs,may apply simple statistical techniques to:世界银行最近研究世界银行最近研究(Majnoni,Miller,Powell,2004)表明，实行信用登记的国家可表明，实行信用登记的国家可能采用简单的统计技巧进行如下操作：能采用简单的统计技巧进行如下操作：Visualize the distribution of Credit Losses and the VaR without incurring into model or estimation errors.将信贷损失和风险价值的分布形象化，而无需使用模型或产生估计错误。将信贷损失和风险价值的分布形象化，而无需使用模型或产生估计错误。Split the VaR among Capital and LLR requirements.Selected results,presented in the following slides,show how accurate measures of the distribution of credit losses have been obtained from CR data with simple statistical procedures.在资本和贷款损失准备要求之间划分风险价值。接下来的幻灯片中我挑选了一在资本和贷款损失准备要求之间划分风险价值。接下来的幻灯片中我挑选了一些结果，它们表明了利用信用登记数据和简单的统计程序，得到的信贷损失的些结果，它们表明了利用信用登记数据和简单的统计程序，得到的信贷损失的分布是相当准确的。分布是相当准确的。2022/12/611CR&Bank Capital Regulation信用登记与银行资本金监管Step 1:extract from the CR all the loans at time t and check how many have defaulted at t+12.第一步：从信用登记中选出在第一步：从信用登记中选出在t时的所有贷款，然后检查在时的所有贷款，然后检查在t+12时有多少起违约。时有多少起违约。Example:default frequency on 70017 loans from a CR例：某信用登记中例：某信用登记中70017笔贷款的违约频率笔贷款的违约频率2022/12/612CR&Bank Capital Regulation信用登记与银行资本金监管Step 2:Simulate a bank portfolio by drawing randomly 500 loans for many(20,000)times.第二步：通过随机抽取第二步：通过随机抽取500笔贷款模拟一种银行贷款组合，重复多次（笔贷款模拟一种银行贷款组合，重复多次（20,000）。）。Example:distribution median value is US$215 mill.例：分布中位数为例：分布中位数为215百万美元百万美元2022/12/613CR&Bank Capital Regulation信用登记与银行资本金监管Step 3:find the loans that defaulted over 1 year and compute the losses for the 20,000 portfolios.第三步：找出违约超过第三步：找出违约超过1年的贷款，并计算年的贷款，并计算20,000种组合的损失。种组合的损失。Example:EL=4.8%and the UL(99%)=14.8%例：例：EL=4.8%,UL(99%)=14.8%2022/12/614CR&Bank Capital Regulation信用登记与银行资本金监管The previous chart(Step 3)deserves closer consideration for the following reasons:上图（第三步）值得进一步考虑，因为：上图（第三步）值得进一步考虑，因为：it is a snapshot of an“invisible”entity:the distribution of credit losses for loan portfolios;它是一种它是一种“不可见不可见”实体的直观印象：贷款组合的信用损失分布；实体的直观印象：贷款组合的信用损失分布；it allows to compute the value of the VaR at any level of confidence(95%,99%,99.9%)它可以计算任意置信度下（它可以计算任意置信度下（95%,99%,99.9%）的风险价值；）的风险价值；it shows how to split the VaR into loan loss reserves(equal to the value of EL)and capital (equal to the difference VaR-EL)thereby insuring consistency of LLR and capital rules.它显示了如何将风险价值分为贷款损失准备（等于它显示了如何将风险价值分为贷款损失准备（等于EL值）和资本金（等于值）和资本金（等于风险价值与风险价值与EL的差值），因而确保了贷款损失准备和资本金规则的一致性。的差值），因而确保了贷款损失准备和资本金规则的一致性。2022/12/615CR&Bank Capital Regulation信用登记与银行资本金监管Parameters from the distribution of credit losses from Mexico,Argentina,and Brazil CRs follows.以下是墨西哥、阿根廷和巴西信用登记中的信用损失分布的参数。以下是墨西哥、阿根廷和巴西信用登记中的信用损失分布的参数。Re-sampling UL and Basel UL(Year 2001)重复抽样重复抽样UL和巴塞尔和巴塞尔UL（2001年）年）2022/12/616CR:Open Challenges信用登记：充满未知的挑战CRs may continue to contribute to support risk based regulation and supervision but face important challenges.CRs need to consider:信用登记能够持续支持风险监管，但是面临重大的挑战。信用登记需要信用登记能够持续支持风险监管，但是面临重大的挑战。信用登记需要考虑：考虑：borrowers consolidated positions;借款人合并头寸；借款人合并头寸；exposures with foreign lenders;外国贷款人的敞口；外国贷款人的敞口；information of loans after default(such as data on losses given defaults);违约后的贷款信息（如既定违约下的损失数据）；违约后的贷款信息（如既定违约下的损失数据）；integration with private Credit Bureaus;与私人征信局相结合；与私人征信局相结合；loan classifications coherent with Basel regulatory schemes.贷款分级与巴塞尔规则一致。贷款分级与巴塞尔规则一致。2022/12/617CR:Open Challenges信用登记：充满未知的挑战I have highlighted with specific examples and figures how CR can offer a significant contribution,not only to widen the access to credit market,but also to improve risk monitoring by banks,bank regulators and supervisors.我用详细的实例和图表着重指出了信用登记如何对银行监我用详细的实例和图表着重指出了信用登记如何对银行监管者在拓宽信用市场的准入和改善银行风险监控方面的重管者在拓宽信用市场的准入和改善银行风险监控方面的重要贡献。要贡献。More to the point,I have illustrated how “wider market access”and“more effective risk monitoring”can be seen largely as different aspects of the same problem.需要强调的是，我举例说明的需要强调的是，我举例说明的“更宽泛的市场准入更宽泛的市场准入”和和“更有效的风险监控更有效的风险监控”能够在很大程度上被看作是同一问题能够在很大程度上被看作是同一问题的不同方面。的不同方面。2022/12/618CR:Open Challenges信用登记：充满未知的挑战 This perspective opens new important challenges a)for the development of new application of CR data and b)for the design of CR information databases.这一观点对于信用登记数据新应用的发展和信用登记信息数这一观点对于信用登记数据新应用的发展和信用登记信息数据库的设计是全新的重大的挑战。据库的设计是全新的重大的挑战。These perspectives add new and fascinating dimensions to the work that the World Bank,jointly with the national authorities,market practitioners,and academics,has undertaken to strengthen and develop credit information institutions.世界银行与各国当局、市场参与者和学术机构共同开展了发世界银行与各国当局、市场参与者和学术机构共同开展了发展信用信息机构的工作，而这些观点则为此项工作增添了全展信用信息机构的工作，而这些观点则为此项工作增添了全新而具有吸引力的因素。新而具有吸引力的因素。Thank You!谢谢谢谢!2022/12/619