分类号F275密级公开
收藏编号___________学号180727142
学校代码10386编号_____________
（案例分析）
预期信用损失模型在我国农商银行中的应
用研究——以常熟银行为例
研究方向：财务管理
研究生姓名：徐翔宇
指导教师、职称：王小英（副教授）
协助导师、职称：
所在学院：经济与管理学院
答辩委员会主席：
二〇二一年十二月
预期信用损失模型在我国农商银行中的模拟应用研究——以常熟银行为例
预期信用损失模型在我国农商银行中的应用研究
——以常熟银行为例
摘要
为了应对在2008年金融危机中爆发出来的原金融工具减值方法（已发生损
失法）的种种缺陷，国际上《国际财务报告准则第9号》和我国的《企业会计准
则第22号——金融工具确认和计量》相继发布实施，两者都规定了将预期信用
损失法作为金融工具的减值计提方法。并且我国要求企业自2018年起分批次执
行。金融资产是商业银行资产中最重要的组成部分，容易被准则变更所影响，基
于此背景，本文要解决的核心问题是应用预期信用损失模型对农商银行将会产生
的影响，细分至以下三个问题：（1）农商银行如何在现行风控政策下构建预期
信用损失模型，找出适用的计算公式和方法；（2）应用预期信用损失模型的影
响在案例银行财务表现、经营管理方面的具体体现；（3）新模型的使用对于减
值损失的波动性、前瞻性和顺周期性会产生怎样的效果，能否满足准则变革的初
衷。
本文将国内外有关金融资产减值的相关文献作为研究的理论基础，总结并比
较新旧减值方法的不同点。接着对我国A 股上市农商银行和常熟银行的金融资产
及其减值准备概况整理分析后，选择极具重要性的金融资产发放贷款及垫款作为
研究对象，使用常熟银行报表数据进行模拟应用预期信用损失模型，研究分为三
步展开：第一步，将银行划分的五级分类贷款转换为新准则适用的三阶段分类；
第二步，参考内部评级法构建预期信用损失模型，调整参数设定，计算三个阶段
的预期信用损失，总结计算结果并作简要分析；第三步，探究应用新模型可能带
来的各方面影响。
通过模拟计算分析，本文得到如下结论：（1）银行可通过修改参数设定的
方式，将内部评级法过渡至新模型；（2）第一、第三阶段是预期信用损失的主
要来源，这与贷款的结构以及风险特征相符；（3）新模型促使未来风险变动对
银行贷款减值损失的影响更加显著，但从长期来看利润并未因此受到很大影响，
并且会计信息质量特征得到一定程度的巩固；（4）银行需要更加完善的风险控
制系统来适应新模型的引进，如加强资本、业务和风险等方面的管理；（5）新
模型在提高减值计提的前瞻性、降低波动性和缓解顺周期性的方面具有积极的效
果。
关键词：预期信用损失模型；已发生损失模型；金融资产减值；农商银行
I
福州大学硕士学位论文
Research on Application of Expected Credit Loss
Model in Rural Commercial Bank of China
——Take Changshu Bank as an example
Abstract
In order to cope with the various deficiencies of the original financial instrument
impairment method (the incurred loss method)that broke out in the 2008financial
crisis,the international "International Accounting Standards No.9"and my country's
"Accounting Standards for Business Enterprises No.22-Financial "Instrument
Recognition and Measurement"has been issued and implemented one after another,
both of which stipulate that the expected credit loss method is used as the method of
impairment provision for financial instruments.And my country requires companies
to implement it in batches starting in 2018.Financial assets are the most important
component of commercial bank assets and are easily affected by changes in the
standards.Based on this background,the core problem to be solved in this article is
the impact that the application of the expected credit loss model will have on rural
commercial banks,which is broken down into the following three Questions:(1)How
does the rural commercial bank construct an expected credit loss model under the
current risk control policy,and find out the applicable calculation formulas and
methods;(2)The impact of the application of the expected credit loss model on the
financial performance and operation management of the case bank Specific
manifestations;(3)What effect will the use of the new model have on the volatility,
forward-looking and procyclicality of impairment losses,and whether it can meet the
original intention of the standard change.
This article takes the relevant literature on financial asset impairment at home
and abroad as the theoretical basis of the research,summarizes and compares the
differences between the old and new impairment methods.After analyzing and
analyzing the financial assets of my country’s A-share listed Rural Commercial Bank
and Changshu Bank and their depreciation reserves,the most important financial
assets are selected as the research object to issue loans and advances,and the
Changshu Bank report data is used for simulation application.The research on the
expected credit loss model is divided into three steps:the first step is to convert the
five-level classification of loans by banks to the three-phase classification applicable
to the new standard;the second step is to construct an expected credit loss model with
reference to the internal rating method and adjust the parameters Set,calculate the
II
预期信用损失模型在我国农商银行中的模拟应用研究——以常熟银行为例
expected credit loss in the three stages,summarize the calculation results and analyze
the characteristics;the third step is to explore the possible effects of applying the new
model.
Through simulation calculation and analysis,this article draws the following
conclusions:(1)Banks can transition the internal rating method to the new model by
modifying parameter settings;(2)The first and third stages are the main sources of
expected credit losses.It is consistent with the structure and risk characteristics of
loans;(3)The new model makes the impact of future risk changes on bank loan
impairment losses more significant,but in the long run,profits have not been greatly
affected by this,and the quality of accounting information has certain characteristics
(4)Banks need a more complete risk control system to adapt to the introduction of
new models,such as strengthening capital,business and risk management;(5)The
new model improves the forward-looking and reduces Volatility and mitigation of
procyclicality have positive effects.
Key words:Expected Credit Loss Model ;Incurred Loss Model ;
Financial Asset Impairment ;Rural Commercial Bank
III
目录
第一章引言...............................................................................................1
1.1研究背景和研究意义.......................................................................1
1.1.1研究背景.....................................................................................1
1.1.2研究意义.....................................................................................2
1.2国内外研究现状...............................................................................3
1.2.1国外研究现状.............................................................................3
1.2.2国内研究现状.............................................................................5
1.2.3文献评述.....................................................................................8
1.3论文结构安排...................................................................................9
1.4研究方法和技术路线.....................................................................10
1.4.1研究方法...................................................................................10
1.4.2技术路线...................................................................................11
1.5创新点.............................................................................................12
第二章研究内容与理论分析................................................................13
2.1研究内容.........................................................................................13
2.2金融资产减值模型的主要内容及变化........................................14
2.2.1已发生损失模型的内容及弊端...............................................14
2.2.2预期信用损失模型的内容介绍...............................................15
2.2.3两种减值模型的对比分析.......................................................17
2.3预期信用损失模型计量公式及参数............................................18
2.3.1预期信用损失模型的计量公式...............................................18
2.3.2预期信用损失模型相关参数计量...........................................18
第三章案例介绍....................................................................................21
3.1研究对象与案例银行选择思路....................................................21
3.2案例银行情况概述.........................................................................23
3.2.1常熟银行基本介绍...................................................................23
3.2.2常熟银行基本财务情况...........................................................24
3.2.3常熟银行金融资产结构...........................................................25
3.2.4常熟银行资产减值损失结构...................................................26
3.2.5常熟银行发放贷款及垫款分类...............................................26
第四章预期信用损失模型在常熟银行的模拟应用............................29
4.1原贷款减值准备计提办法............................................................29
4.2发放贷款及垫款三阶段划分........................................................30
4.3预期信用损失模型相关参数的计量............................................32