【作者】 郑宁；

【导师】 高小红；

【作者基本信息】 武汉大学 ， 金融学， 2004， 硕士

【摘要】 贷款分类方法主要分为：根据违约时间长短划分为不同贷款质量类别的贷款质量期限分类法、根据贷款归还的可能性划分强弱程度等级的贷款风险等级分类法和根据贷款预期损失计算风险价值大小的风险价值分类法。就我国目前的现实情况而言，实施贷款风险等级分类法是更好的也是更为现实的选择。尽管如此，贷款风险等级分类法在我国的推行并不是一蹴而就的，也经历了曲折迂回的过程。时至今日，虽然这一方法在我国商业银行已进入全面推广阶段，但在其应用实践中仍然暴露出很多的问题和不足。改善商业银行的信贷管理，建立以风险为基础的主流信贷文化的任务仍然十分艰巨。同时，从国际上看，实施贷款风险等级分类法的国家虽然很多，但在具体做法和内涵上，各国的差异仍然很大，统一的标准和体系有待形成。 对我国商业银行实施贷款五级分类法的情况进行实证分析有利于发现这一方法在实施过程中存在的问题和不足，促进贷款风险等级分类法在我国的更好推广。通过选取的几家上市的股份制商业银行公布的2002年、2003年的年度报告所提供的贷款五级分类的相关数据，分析了这几家银行不良贷款的总体质量，并比较了五级分类法与“一逾两呆”的四级分类法的结果的差异。同时也对这些银行在五级分类法下对贷款损失准备金的计提情况进行了分析。实证分析的结果表明，这几家上市的股份制商业银行贷款的总体质量较好，对贷款损失准备金的计提较为充分。但同国有商业银行一样，在应用贷款风险等级分类法的过程中都存在不同程度的困难和问题。 要充分发挥推行贷款风险等级分类法的建设性作用，减少因运用不当而带来的负面效应，就必须从现实出发，针对这些困难和问题，在实践中探索一套适合我国国情的贷款风险等级分类体系。按照国际通行的准则进行银行监管是我们提高银行业的国际竞争力，迎接金融业全面开放挑战的必然选择。但是，由于现实条件的局限，决定了我国银行业不可能直接采用巴塞尔新资本协议提出的内部评级法，而是要以改造和完善贷款风险等级分类法作为建立内部评级体系的切入点，并在此基础上逐步过渡到内部评级体系。针对我国目前五级分类法缺乏量化指标，分类弹性大，主观性强的现实问题，需要建立能够较好的反映贷款风险的真实状况的贷款风险分类量化模型。同样，针对在实施五级分类法过程中出现的其它问题和不足，也同样需要采取有针对性的对策措施。可以预见，随着我国商业银行市场化改革步伐的加快，一套适合我国国情的贷款风险等级分类体系必将对促进我国商业银行提高信贷管理水平，建立健康的信贷文化，实现稳健经营发挥积极而重要的作用。更多还原

【Abstract】 The main loan classification methods are: the term based loan classification method which divides different loan quality classification according time of breach, the risk based loan grade classification method which divides power degree according possibility of returning loan and the risk value classification method which calculates risk value according anticipated loan loss. As regards our country’s present reality, it is a more realistic and better choice to implement the risk based loan grade classification method. Even so, the implementation of the risk based loan grade classification method in our country is not in one move, but circuitous. Even to this day, though this method has already entered the stage of popularizing in an all-round way in the commercial banks of our country, still exposed a lot of questions and deficiencies in its application practice. The task of improving credit management of the commercial banks and setting up credit culture on the foundation of risk is still very arduous. Meanwhile, looking from world, though there are a lot of countries which implement the risk based loan grade classification method, the differences of concrete method and intension in various countries are still very great, unified standard and system await to take shape.The empirical analysis on the situations of implementing loan five grades classification method in commercial banks of our country is favorable to find existed question and insufficiency, and promote better popularization of the risk based loan grade classification method in our country. Through the data about loan five grades classification which is offered by 2002 , 2003 annual reports of four listing shareholding commercial banks , I has analyzed the overall quality of the loan of these banks, and has compared the difference of four grades classification and five grades classification, meanwhile, has analyzed the situation of loan provision in the loan five grades classification method. The result of the empirical analysis indicates that the overall quality of loan in these listing shareholding commercial banks is good, and the loan loss provision is comparatively abundant. But the same as state-run commercial banks, they exist the difficulty and question in various degree during theprocess of applying the risk based loan grade classification method.In order to adequately bring the constructive function of pushing the risk based loan grade classification method into play, reduce the negative effect because of using improperly, we should set off from reality to explore a set of system of the risk based loan grade classification which is suitable for the national conditions of our country in practice. To raise international competition of banking and meet the challenge of the opening of finance in an all-round way, it is our inevitable choice to supervise and administer bank according to current international criterion. However, because of the limitation of realistic condition, it is impossible for banking of our country to adopt directly the internal ratings based approaches of new Basel capital agreement. We should transform and perfect the risk based loan grade classification method which is the jumping-off of setting up internal ratings based approaches, and carry out the transition gradually to internal ratings based approaches on this basis. Aiming at the realistic problem of lacking the quantity index the large elasticity and the strong subjectivity in the loan five grades classification method in our country, it is dispensable to set up a improved quantization model of risk based loan grade classification which can better reflect the true status of the risk of loan. Similarly, it is necessary to adopt the pointed countermeasure and measure qually to other questions and deficiencies which appear in the course of implementing the loan five grades classification method .It is believed that a set of system of the risk based loan grade classification which is suitable for the situation of our country will play a positive and importa更多还原