【作者】 程凤朝；

【导师】 陈收；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2005， 博士

【摘要】 商业银行存在大量的不良资产直接危及国家金融安全和社会稳定，各国政府都十分关心、高度重视。中国银行业不良资产问题也十分严重，截至2003年末，各商业银行和农村信用合作社有存量不良债权近4万亿(含已剥离给资产管理公司部分)。如何有效处置金融不良资产，成为世界金融领域研究和探索的紧迫课题。从世界各地及我国处置不良资产的实践看，在某些方面取得一些成功经验，但同时在处置过程中也都遇到一个共同难题，即如何运用评估技术确定不良资产的内在价值和出售价格，并有效地将市场价值转换成非市场价值?破解这个难题，对于债权人处置不良资产、最大限度的减少损失至关重要。为此，本文在探索金融不良资产一般理论的基础上着力研究其内在价值的评估理论和方法，以及金融不良资产价值变现的影响因素，并对不良资产市场价值向非市场价值转换的效率与效果进行了实证检验，以期填补国内外评估领域这块空白。 在基础理论层面，澄清了三方面的认识 一是，对金融不良资产价值的重新认识。认为金融不良资产对银行来说是价值受损的资产，但对投资者来说，却是极具投资价值的资产。因此，国家与金融机构不能简单地对其予以核销或做其他简单化处置，要以投资者的视角，努力挖掘不良资产的潜在价值，科学选择处置模式与方法，在有效化解金融风险的同时，实现不良资产价值回收的最大化。 二是，对金融不良资产评估的重新定位。针对实践中有关处置机构经历了一个由不重视评估到将评估结论作为资产处置的唯一定价依据的矫枉过正过程，并且已经和正在引发着为评估而评估、先定价后评估等不恰当行为，旗帜鲜明地指出错误性，并为金融不良资产评估进行了正确定位：评估是金融不良资产价值发现的技术过程，而处置是金融不良资产价值变现的市场行为，评估是不良资产处置定价的基本依据，但绝不是唯一的依据。 三是，对不良资产价值类型的重新定义。以往的资产评估都将评估价值作为资产的唯一价值，认为价值只有一个，而处置价格围绕这个价值上下波动。本文则认为，不良资产评估价值绝非一种价值类型。不良资产评估业务中常用的价值类型主要包括市场价值、在用价值、清算价值、投资价值、持续经营价值、残余价值等，评估机构在执行不良资产评估业务时应当根据评估目的和评估对象等具体情况明确价值类型，并给出所选择具体价值类型的定义。这一研究结论的前期成果已被中国资产评估协会完全吸收进了刚刚制定的《金融不良资产评估指导意金融不良资产评估方法与价值变现研究见》(征求意见稿)之中。 在评估技术与方法层面，探索和实践了五种适于不良资产形态和处置方式的评估方法 资产评估方法是实现评定估算资产价值的技术手段。而目前国内现有的各类评估论著基本都围绕着市场法、收益法、成本法三种方法进行表述和运用，但由于金融不良资产的特殊性，这些方法都不能拿来直接引用;国外的有关金融资产的评估方法(如典型的CAPM)也并不适合于金融不良资产的评估。吸收基本评估方法的思想，全面考虑金融不良资产的特点，本文系统总结提出了信用评价法、假设清算法、交易案例比较法、相关因素回归分析法和De!phi法等五种适于我国金融不良资产形态和处置方式的具体评估方法，并阐明了抵债资产评估的特殊性，结合案例说明了其使用条件和具体操作路线。当债务企业还处在持续经营状态下，且能提供经注册会计师审计的会计报表，如果债权人和债务人达成重组或转让意向，对其债权价值进行评估建议采用信用评价法;对债务人不具有持续经营能力，但尚能提供相关的、基本可信的财务资料，有偿还部分债务的愿望和资产、且能够积极配合评估，对其债权价值进行评估建议采用假设清算法;对单户纯信用债权(无抵押担保)或户数较少的债权包资产进行估值，在能够取得与拟处置债权基本要素相似的处置案例的前提下，建议采用交易案例比较法;对将一个地区、或一个行业的不良资产整体打包处置，且多数是信用债权，如果能够搜集到一定数量的、公开市场交易的案例，建议采用相关因素回归分析法;对难以取得债务人财务等相关资料和己出置类似交易案例的信用债权，建议采用DelPhi法，利用专家工作直接判断债权回收价值;对以资抵债资产要区分抵债时的评估和处置时的评估，在价值类型和评估方法方面予以特殊考虑。 在实证检验层面，进行了两方面的经验研究 一是，运用调查研究取得的252个样本资料，对不良资产价值变现的实现程度(回收率)的影响因素进行了分析。资产管理公司的主要目标是在规定的时间内，最大程度地回收不良债权。在该目标下，不良资产的价值变现的实现程度成为度量资产管理公司绩效的主要指标，同时也是对不良资产评估准确性的检验，即不良资产评估的技术过程应体现不良资产价值变现的市场因素。通过对资产管理公司处置不良资产价值变现的实现程度(用回收率度量)的影响因素进行的实证分析，研究结果发现企业总资产、偿债能力、贷款本金以及企业的所有制性质、行业分布、运行状况、贷款方式、处置方式都对不良资产的回收率有显著影响，而企业的资产负债率与?更多还原

【Abstract】 The non-performing loans (NPLs) in commercial banks will directly endanger financial safety and social stability. Great attention has been given by governments all over the world. It also seriously existed in commercial banks in china. Up to the end of 2003, the total amount of NPLs in the commercial banks and rural credit corporations had reached to RMB4,000 billion (including the amount stripped off to the assets management corporations). How to effectively dispose NPLs has become a topic to be urgently studied and explored in global financial field. Successful experiences have been gained in some aspects of disposition of NPLs in China and overseas. But common problems have also been met with, i.e., how to use evaluating technique to get internal value and sale price of NPLs; how to convert market value of NPLs to non-market value. It is most important for creditor to dispose NPLs and preserve the assets to the greatest possible extent. For this purpose, the paper will, on the basis of exploring the general theory of NPLs, focus on studying the evaluation theory and methods of internal value and on factors that influence the value-cashing and on test of the efficiency and effectiveness of the conversion from market value to non-market value to fill the gap in evaluating sector both at home and abroad.Clarifying understanding of basic theory on three aspectsFirst, re-understanding the value of NPLs.To the banks, NPLs are considered as assets that will suffer loss. But to the investors they are of great investment value. Therefore, the government and the financial institutions cannot simply write them off or dispose them in other simple ways. We should tap with efforts the potential value of NPLs and choose disposition models and methods to effectively dissolve financial risks while in the meantime, to maximize NPLs recovery value.Second, re-positioning evaluation of NPLs.Some disposition institutions have gone to an extreme by regarding the evaluating conclusion as the only basis for the disposition of assets from not paying attention to the evaluation, which has led and is now leading to improper ways of evaluating only for the purpose of evaluation and pricing before evaluation. The mistakes are pointed out definitely in this article and the recognition of evaluation of NPLs is suitably positioned. The article shows that evaluation is a technical process of discovering value of NPLs while disposition is a market action of value-cashing of NPLs.Evaluation is the fundamental basis of pricing on NPLs disposition, but not the only one basis.Third, re-defining the value type of NPLs.In the past, the evaluation value was the only one value for the assets and the disposition price would move round this value. This paper shows that the evaluation value of NPLs should not be limited to only one type. The main value types often used in the evaluation of NPLs are market value, in-use value, liquidation value, investment value, going concern value and salvage value. The evaluating agencies should clarify and define the value type according to the specific conditions such as purpose and object of the evaluation. This opinion has been fully absorbed in "The Guidance on Evaluation of NPLs(draft)" just finished by China Assets Evaluating Association.Explore and practice five evaluating methods suitable for different NPL types and different disposition meansEvaluation methods are technical means to realize the evaluation and estimation of the assets. Current essays and books on evaluation published in China only elaborate on three methods (market approach, earnings approach, cost approach) and their application. Due to the special character of NPLs, the above-mentioned approaches cannot be used directly. The evaluating methods from abroad (such as CAPM) are also not suitable for evaluating NPLs. By absorbing idea of basic evaluating methods and fully considering the characteristic of NPLs, the paper systematically summarizes and puts forward five methods (Credit Evaluation Appro更多还原