FRS9预期信用损失计算及其对银行的影响

《国际财务报告准则第9号——金融工具》（简称IFRS9）于2018年1月1日开始正式实施。本文基于IFRS9的要求，构建了预期信用损失的理论模型．利用某商业银行数据．从定量角度分析了预期信用损失模型应用对于商业银行减值准备的影响。研究结果表明，IFRS9准则下需计提的减值准备较IAS39准则下增加，增幅达到17．41％，主要原因是IFRS9要求对银行的表外业务也计提减值准备。本文还分析了IFRS9预期信用损失模型应用对商业银行的损益、资本、信贷管理、信息披露等方面的影响．并从金融机构和监管机构两个角度．提出政策建议。

The IFRS9 was implemented on January 1st, 2018. In this article, a theoretical model of expected credit loss was established according to IFRS9 criterion. And data of a commercial bank was used to study the impact of the expected credit loss model on the bank impairment provision from the perspective of quantitative analysis. This research showed that the loan impairment provisions based on IFRS9 was 17.41% higher compared to that in IAS39. This article also analyzed the effect of the application of expected credit loss model for commercial bank with respect to profit, capital, credit management and information disclosure. At last, this article gave some advises for both financial institutions and financial supervisors for the application of expected credit loss.