金融资产减值模型与审慎监管要求的差异与协同——基于厦门辖内某中小城商行数据的经验分析

Impairment Models of Financial Assets and Principles of Prudential Supervision ——An Empirical Study Based on the Data of Small and Medium-sized Banks in Xiamen

2008年金融危机爆发之后,现行已发生损失模型因其减值确认的滞后性受到业界的质疑。国际会计准则委员会(IASB)适时推出预期损失模型,旨在前瞻性地确认贷款预期损失,缩小巴塞尔新资本协议监管标准与现行会计准则间的差异。本文分别从理论分析和实证检验两个维度对预期信用损失模型展开探讨。研究表明:预期损失模型在减值准备金确认时点上具有先行性优势;当金融资产存续时间达到一定长度、新增金融资产影响趋于稳定水平时,预期损失模型在减值准备金计提的总量上与现行已发生损失模型计提金额将趋于一致。

The incurred loss model had been widely criticized for its delayed recognitions of impairments since the global financial crisis in 2008. The International Accounting Standard Board （IASB） then proposed the expected credit loss model to recognize the expected credit loss more in advance in order to bridging the gap between Basel regulations and the current accounting standards. This paper discusses the expected credit loss model both qualitatively and quantitatively. We find that first the expected loss model recognize impairments of assets more timely; second the impairments of assets calculated according to expected loss model and incurred loss model are becoming equivalent when the maturities and growth rates of financial assets are becoming steady.