在监管过程中使用信用登记数据.ppt

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1、 USING CREDIT REGISTER DATA IN THE SUPERVISORY PROCESS 在监管过程中使用信用登记数据 The case of the Bank of Italy 意大利银行的案例 Paolo Marullo Reedtz Banca dItalia 意大利银行 Banking and Financial Supervision 银行及金融监管 “Public Policy for Credit Reporting Systems” Beijing, September 28-30, 2004 征信体系的公共政策 北京， 2004年 9月 28日 30日 T

2、he views espressed are those of the authors and do not involve the Bank of Italy 作者观点与意大利银行无关 MAIN TASKS OF THE CREDIT REGISTER 信用登记的主要任务 For the banks: a better assessment of credit risk 对银行而言 ：更好地衡量信用风险 monthly return on reported borrowers; 报告借款人的月度还款额 ad hoc request for information on credit appl

3、icants; 对信用申请人信息的特定要求 dissemination of data on a monthly/quarterly basis. 按月度 季度分发数据 For the Supervisor: 对监管者而言： improving the assessment of the quality of loan portfolios in the context of the supervisory process; 在 监管过程中改善对贷款组合质量的评估方法 improving macroprudential analysis. 提高总体审慎分析质量 Reporting instit

4、utions: 报告机构 Italian banks; 意大利各银行 Foreign branches of Italian banks; 意大利银行在国外的分支机构 Italian branches of foreign banks; 国外银行在意大利的分支机构 Financial intermediaries recorded in a special register; 在特别登记簿有记录的金融中介机构 Financial intermediaries belonging to a banking group. 隶属于银行集团的金融中介机构 Reporting threshold: 报告

5、起点 ： 75,000; 七万五千欧元 None for bad debts 无坏账 Reporting frequency: monthly 报告频度： 月度 Interest Rate Survey: on both credit lines and deposits at an individual level (quarterly data). 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 MONITORING CREDIT RISK 监控信用风险 1. Monitoring overall credit quality 监控总体信贷质量 2. Estimating

6、the probabilities of default (PDs) of Italian non-financial firms 估计意大利非金融企业的违约概率 3. Evaluating the effects of the Basel 2 Accord on the financing of the corporate sector 评价新巴赛尔协议对公司融资的影响 4. Assessing the impact of a macro-economic shock (“Stress Test”) 估计宏观经济状况的突然变动造成的影响（压力测试） MONITORING CREDIT RIS

7、K 监控信用风险 Some key variables: 关键变量 bad loans, as a share of total loans; 不良贷款额占总贷款额的比例 adjusted bad debts(*), as a share of (a) total loans; (b) accounting bad debts; 调整后 坏账额占 (1)总贷款额的比例 (2)帐面坏账额的比例 flows of new adjusted bad loans, as a share of performing loans (mortality rates); 新的 调整后 不良贷款占正在产生效益贷

8、款的比例（死亡率） revoked loans; drawn amount / granted amount; overdrafts (amounts, frequency etc.) 撤销贷款；提取额 /允诺额；投资（额，频度等。） (*) Adjusted bad lons = accounting bad loans + loans to borrowers classified as insolvent by a significant number of other banks or for a significant share of their overall exposure.

9、 (*)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 Industrial firms 工业企业 Total 总体 LOANS NEWLY CLASSED AS BAD DEBTS 新增坏账 (as a ratio to outstanding performing loans at the start of the year) 占未偿贷款总额的比重（年初数据） 0 . 0 1 . 0 2 . 0 3 . 0 4 . 0 5 . 0 6 . 0 7 . 0 8 . 0 1991 1992 1993 1994 1995 1996 19

10、97 1998 1999 2000 2001 2002 N o rt h e rn a n d C e n t ra l re g i o n s 北部及中部地区 So u t h e rn re g i o n s 南部地区 LO A N S N E W LY C LA S S E D A S B A D D E B TS 新增坏账 (a s a ra t i o t o o u t s t a n d i n g p e rf o rm i n g l o a n s a t t h e s t a rt o f t h e y e a r) 占未偿贷款总额的比重（年初数据） Estima

11、ting the PDs 估算违约概率 (PDs) The sources: (i) the Company Accounts Register; (ii) the Credit Register. 来源： (1) 公司帐户登记机构 (2) 信用登记机构 The sample: 180,000 firms classified into four sectors: manufacturing, trade, construction, and services. 范例：将十八万企业分成四类：制造业 、 商业 、 建筑业及服务业 The procedure: 4 logit regression

12、s for each sector in order to distinguish sound from insolvent firms. 步骤：对各类进行 logit回归 ， 据此辨别健康公司与问题公司 The explanatory variables: profitability; productivity; liquidity; financial structure; tension in credit relationships, 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 。 The performance of the regressions

13、: (i) Correct classification rate: 74 per cent out-of-sample; (ii) Accuracy Ratio between 65 and 67 per cent. 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 Estimating the PDs 估算违约概率 (PDs) In particular, balance sheet data in the year 2000 and Credit Register information for 2001 are used to assess t

14、he probability of each firm of being recorded as defaulted in the year 2002. 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 。 Since this work has been done in conjunction with the data stemming from the Interest Rate Survey, we restrict ourselves to 104,300 corporate borrowers a

15、nd to 255,000 credit relationships. 由于此项工作要与利率测算项目的数据配合 ， 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 。 The average value of the PDs, weight 违约概率 ， 权数的均值 ed by the amount of lending, turns out to be 0.93 per cent, as against 1.3 per cent for all corporate borrowers in 2002. 根据借款数额 ， 最终违约概率测算为 0.93%, 而 2

16、002年所有公司借款人的 违约概率为 1.3%. Table 表 1 R ISK BU C K ETS ( P DS) No De b t No De b t No De b t No De b t No De b t 0 .0 0 -0 .1 5 % 1 1 .4 5 .2 7 .5 3 .5 5 .3 2 .5 3 .8 2 .2 5 .3 4 .0 0 .1 5 -0 .4 5 % 3 3 .4 3 5 .9 2 7 .0 2 3 .9 2 1 .8 1 7 .7 1 8 .5 1 4 .4 2 1 .9 2 7 .3 0 .4 5 -0 .7 0 % 2 6 .2 3 0 .3 2 5

17、 .4 2 5 .6 2 1 .9 1 8 .8 1 8 .7 1 5 .8 2 1 .5 2 5 .9 0 .7 0 -1 .0 0 % 1 8 .3 1 9 .5 2 2 .8 2 5 .5 2 3 .0 2 3 .5 2 0 .3 2 0 .8 2 1 .9 2 2 .5 1 .0 0 -2 .0 0 % 8 .0 6 .7 1 2 .8 1 6 .1 1 8 .1 2 3 .5 2 1 .0 2 4 .4 1 7 .9 1 3 .9 2 .0 0 -4 .0 0 % 1 .8 2 .0 2 .8 3 .5 5 .4 7 .3 8 .8 1 1 .1 6 .0 3 .9 4 .0 0 -

18、8 .0 0 % 0 .4 0 .2 1 .2 1 .2 2 .7 3 .7 5 .3 6 .6 3 .3 1 .5 8 % 0 .5 0 .2 0 .6 0 .7 1 .8 3 .2 3 .6 4 .7 2 .2 1 .1 N U MB ER O F FI R MS B A N K L OAN S A v e r a ge PD 1 9 5 ,0 9 3 1 ,9 1 5 2 0 ,0 7 8 4 5 ,9 3 5 3 6 ,3 8 1 1 0 4 ,3 0 9 7 9 ,6 0 5 7 1 ,8 0 2 3 6 ,3 5 4 7 ,3 3 3 0 .6 2 0 .8 9 1 .4 9 1

19、.9 1 0 .9 3 Sha r e sSha r e s Sha r e s Sha r e s Sha r e s TO TAL SA LES T HE SAMPL E: NUMBER O F F IRM S AND BANK DEBT BY RI SK BUCKE T S 5 0 m il li on 5 -5 0 m il li on 16 ,00 Risk Buck et s ( prob abil iti es of d ef ault) Lo an rate ( w eigh te d av er age ) we i gh ted a ve ra ge + we i gh t

20、ed a ve ra ge we i gh ted a ve ra ge - In general terms, the pricing of bank loans reflects: (i) both financial and operating costs; (ii) a risk premium computed by the bank according to its internal procedures, (iii) the market power of the bank. 总体来看，银行贷款定价反映了 (i) 财务成本和操作成本； (ii) 银行根据其内 部程序计算的风险升水

21、； (iii)银行的市场力量 We focus on the overall riskiness of lending operations within a foundation IRB approach, as defined by: 我们通过 基础内部评级法（ foundation IRB approach）重点关注借款的总体 风险，这一方法定义如下： Overall Risk Component (ORC) : EL + k(REQ-EL) 总体风险构成（ ORC）： EL+k(REQ-EL) 其中： EL = Expected Loss 预期损失 REQ = capital requ

22、irement according to CP3 根据新巴塞尔协议草案第三版（ CP3）确定的资本金要求 K = rate of return on bank capital 银行资本收益率 Our statistical exercises go through various stages: 统计工作需要经历若干阶段： 1 In order to estimate both the EL and the REQ under the foundation IRB approach (CP3), we need the PD of each bank borrower; 为了通过 基础内部评级

23、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 。 2 In order to assess the relation between the ORC and the banks own risk assessment we need the interest rates charged by each bank to each lending operation; 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 。 3 In order to perform a stress test exercise we need

24、 to establish the criteria for simulating a sudden deterioration in the financial situation of the corporate sector. 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 。 R ISK B U C K E TS E X P E CT E D LO S S E S CAP I TA L RE Q UI RE ME NT S RI S K CO MP O NE NT S Am ou nt % % % % 0 .0 0 -0 .1 5 % 7 ,7 2 9

25、4 .0 0 .0 4 2 .0 9 0 .2 5 0 .1 5 -0 .4 5 % 5 3 ,2 0 1 2 7 .3 0 .1 4 4 .0 6 0 .5 4 0 .4 5 -0 .7 0 % 5 0 ,5 0 2 2 5 .9 0 .2 6 5 .6 3 0 .8 2 0 .7 0 -1 .0 0 % 4 3 ,8 9 8 2 2 .5 0 .3 8 6 .4 1 1 .0 0 1 .0 0 -2 .0 0 % 2 7 ,2 0 1 1 3 .9 0 .5 8 7 .2 1 1 .2 6 2 .0 0 -4 .0 0 % 7 ,5 2 9 3 .9 1 .2 4 9 .2 7 2 .0

26、7 4 .0 0 -8 .0 0 % 2 ,8 5 3 1 .5 2 .5 0 1 1 .4 8 3 .4 3 8 % 2 ,1 8 0 1 .1 5 .5 8 2 2 .7 9 1 0 .3 8 TOTA L 1 9 5 ,0 9 3 1 0 0 .0 0 .4 2 5 .8 1 0 .9 7 EXPEC T ED L O SSES, CA PI T AL REQ UI REM ENT S, RI SK CO M PO NEN T S (WH OLE SA M P LE ) BANK LO ANS Table 2 表 2 Figure 5 图 5 Interest rates (net of

27、 the rate on risk-free assets) 利率（无风险资产的净利率） ORC 总体风险构成 CHANGES IN ORCs AND INTEREST RATES BY RISK BUCKETS 总体风险构成和利率相对于风险量的变化 0 . 0 0 0 . 5 0 1 . 0 0 1 . 5 0 2 . 0 0 2 . 5 0 3 . 0 0 3 . 5 0 4 . 0 0 4 . 5 0 5 . 0 0 0 , 0 0 -0 , 1 5 % 0 , 1 5 -0 , 4 5 % 0 , 4 5 -0 , 7 0 % 0 , 7 0 -1 , 0 0 % 1 , 0 0 -2

28、 , 0 0 % 2 , 0 0 -4 , 0 0 % 4 , 0 0 -8 , 0 0 % Total sales 50 million 总销售额 5000万 Chang es in ORCs and interest rates 总体风险构成和利率的变化 risk buckets风险篮 Figure 6 图 6 CHANGES IN ORCs AND INTEREST RATES BY RISK BUCKETS 总体风险构成和利率相对于风险量的变化 0 . 0 0 0 . 5 0 1 . 0 0 1 . 5 0 2 . 0 0 2 . 5 0 3 . 0 0 3 . 5 0 4 . 0 0

29、 4 . 5 0 5 . 0 0 0 , 0 0 -0 , 1 5 % 0 , 1 5 -0 , 4 5 % 0 , 4 5 -0 , 7 0 % 0 , 7 0 -1 , 0 0 % 1 , 0 0 -2 , 0 0 % 2 , 0 0 -4 , 0 0 % 4 , 0 0 -8 , 0 0 % Interest rates (net of the rate on risk-free assets) 利率（无风险资产的净利率） ORC 总体风险构成 Total sales 5-50 million 总销售额为 500 5000万 Ch an ges in ORCs and interest

30、rates 总体风险构成和利率的变化 risk buckets 风险量 Figure 9 图 9 (Source: Centrale dei Bilanci) INDUSTRIAL AND COMMERCIAL FIRMS: ACCOUNTING RATIOS 工业和商业企业：会计比率 0 , 0 1 0 , 0 2 0 , 0 3 0 , 0 4 0 , 0 5 0 , 0 6 0 , 0 7 0 , 0 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000

31、 2001 - 2 , 0 - 1 , 0 0 , 0 1 , 0 2 , 0 3 , 0 4 , 0 5 , 0 G r os s O p. P r of i t / V a l ue a dde d N e t F i n. C os t s / G r os s O p. P r of i t L e ve r a ge R O A ( r hs ) Stress testing By using the balance sheets of the corporate borrowers and their credit relationships in 1993, we simulat

32、e a sudden deterioration of the Italian corporate sector to the situation experienced in 1993-94. We compute: 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) the PDs of individual firms consistent with such a situation; (b) the corresponding capital requirements accord

33、ing to CP3; (c) the corresponding ORC of each credit relationship. 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 The increase of the ORC with respect to the present situation provides a proxy of the increase we should expect to observe in the interest rate (net of the rate on a risk-free asset) char

34、ged on each credit relationship. 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 （ 无风险利率基础上 的净利率 ） 也应当增加 。 Procedure for stress testing Sample: 188,000 firms for 2000-01; 150,000 for 1993; 64,000 firms in both periods Calculation: (i) for 64,000 firms (56% of bank loans), substitution of 1993 values for those of 2000-01

35、; (ii) for 124,000 firms, adjustment to reproduce 1993 averages by sector, area, size of firms. 压力测试步骤 样本： 2000 01年 188,000个公司； 1993年 150,000个公司； 其中同时存在于两个时期的 有 64,000个公司 计算： (i) 对于占了银行贷款 56%的 64,000个公司 ， 用 2000 01年的价值来代替 1993年的 价值； (ii) 对于剩下的 124,000个公司 ， 按部门 、 地区以及公司规模来调整 1993年的平均值 Results: The nu

36、mber of firms with PD not higher than 1 per cent decreases from 70.6 to 57 per cent of the total. The average PD for the whole sample increases from .93 to 1.33 per cent. The increase is sharper for smaller firms: (i) firms with total sales between 5 and 50 million: from 1.49 to 2.11 per cent; (ii)

37、firms in the retail portfolio: from 1.91 to 2.60 per cent. 结论： 违约率不超过 1 的公司数从 70.6%下降到 57 总体样本的平均违约率从 0.93%上升到 1.33% 小公司的违约率增长更快： (i) 销售额在 500 5000万之间的公司 ， 违约率从 1.49%上升 到 2.11% ; (ii) 零售公司违约率从 1.91%上升到 2.60%。 STRES S TEST: T RAN SITI ON M AT RIX F OR T HE WHOL E S AMPL E R I SK B U C K ETS ( s i m u

38、 l a te d 1 9 9 4 ) N u m b e r o f fi r m s i n s i m u l a te d 1994 R I SK B U C K ETS (2 0 0 2 ) No Shar e 0 , 0 0 - 0 , 1 5 % 0 , 1 5 - 0 , 4 5 % 0 , 4 5 - 0 , 7 0 % 0 , 7 0 - 1 , 0 0 % 1 , 0 0 - 2 , 0 0 % 2 , 0 0 - 4 , 0 0 % 4 , 0 0 - 8 , 0 0 % 8,00 % T OT A L Shar e s 0 . 0 0 -0 . 1 5 % 5 . 5

39、 3 4 5 , 3 4 4 , 2 3 5 , 6 9 , 2 5 , 2 3 , 8 1 , 4 0 , 6 0 , 2 1 0 0 , 0 2 , 3 0 . 1 5 -0 . 4 5 % 2 2 . 8 2 1 2 1 , 9 - 5 6 , 2 2 5 , 3 8 , 9 5 , 9 2 , 3 1 , 0 0 , 4 1 0 0 , 0 1 4 , 2 0 . 4 5 -0 . 7 0 % 2 2 . 4 5 0 2 1 , 5 - - 5 5 , 3 2 8 , 8 1 0 , 1 3 , 4 1 , 8 0 , 6 1 0 0 , 0 1 7 , 9 0 . 7 0 -1 .

40、0 0 % 2 2 . 8 5 2 2 1 , 9 - - - 6 4 , 5 2 7 , 5 4 , 4 2 , 5 1 , 1 1 0 0 , 0 2 2 , 6 1 . 0 0 -2 . 0 0 % 1 8 . 7 0 1 1 7 , 9 - - - - 7 6 , 9 1 7 , 7 3 , 4 2 , 0 1 0 0 , 0 2 3 , 5 2 . 0 0 -4 . 0 0 % 6 . 2 5 8 6 , 0 - - - - - 7 3 , 9 2 2 , 7 3 , 4 1 0 0 , 0 9 , 9 4 . 0 0 -8 . 0 0 % 3 . 4 1 1 3 , 3 - - -

41、 - - - 7 9 , 9 2 0 , 1 1 0 0 , 0 5 , 8 8% 2 . 2 8 2 2 , 2 - - - - - - - 1 0 0 , 0 1 0 0 , 0 3 , 9 T OT A L 1 0 4 . 3 0 9 1 0 0 , 0 2 , 3 1 4 , 2 1 7 , 9 2 2 , 6 2 3 , 5 9 , 9 5 , 8 3 , 9 1 0 0 , 0 1 0 0 , 0 ( N umber of Fi rm s ) Table 3 表 3 Table 4 表 4 STRES S TEST: T RAN SITI ON M AT RIX F OR T HE

42、 WHOL E S AMPL E R I SK B U C K ETS ( s i m u l a te d 1 9 9 4 ) B a n k d e b t in s i m u l a te d 1994 R I SK B U C K ETS (2 0 0 2 ) A m o u n t Shar e 0 , 0 0 - 0 , 1 5 % 0 , 1 5 - 0 , 4 5 % 0 , 4 5 - 0 , 7 0 % 0 , 7 0 - 1 , 0 0 % 1 , 0 0 - 2 , 0 0 % 2 , 0 0 - 4 , 0 0 % 4 , 0 0 - 8 , 0 0 % 8,00

43、% T OT A L Shar e s 0 . 0 0 -0 . 1 5 % 7 , 7 2 9 4 . 0 3 5 . 0 4 4 . 5 1 3 . 3 2 . 6 2 . 8 1 . 6 0 . 2 0 . 1 1 0 0 . 0 1 . 4 0 . 1 5 -0 . 4 5 % 5 3 , 2 0 1 2 7 . 3 . 6 1 . 5 2 5 . 4 6 . 3 4 . 6 1 . 3 0 . 8 0 . 2 1 0 0 . 0 1 8 . 5 0 . 4 5 -0 . 7 0 % 5 0 , 5 0 2 2 5 . 9 . . 5 3 . 8 3 3 . 6 9 . 4 2 . 0

44、 1 . 1 0 . 2 1 0 0 . 0 2 1 . 4 0 . 7 0 -1 . 0 0 % 4 3 , 8 9 8 2 2 . 5 . . . 6 5 . 7 2 5 . 5 5 . 0 2 . 3 1 . 5 1 0 0 . 0 2 5 . 3 1 . 0 0 -2 . 0 0 % 2 7 , 2 0 1 1 3 . 9 . . . . 8 3 . 1 1 1 . 4 3 . 7 1 . 8 1 0 0 . 0 2 1 . 1 2 . 0 0 -4 . 0 0 % 7 , 5 2 9 3 . 9 . . . . . 8 0 . 5 1 6 . 4 3 . 1 1 0 0 . 0 6 . 8 4 . 0 0 -8 . 0 0 % 2 , 8 5 3 1 . 5 . . . . . . 8 4 . 8 1 5 . 2 1 0 0 . 0 3 . 4 8% 2 , 1 8 0 1 . 1 . . . . . . . . 1 0 0 . 0 2 . 1 T OT A L 1 9 5 , 0 9 4 1 0 0 . 0 1 . 4 1 8 . 5 2 1 . 4 2 5 . 3 2 1 . 1 6 . 8 3 . 4 2 . 1 1 0 0 . 0 1 0 0 . 0 ( Bank Debt )