抵押物、银行监督与信贷风险

Collateral, Bank Supervision and Credit Risk

本文使用国内某商业银行2010—2015年的贷款数据,重点研究了抵押物在银行信贷风险管理中的作用。实证研究结果表明:抵押贷款对应更高的风险溢价和违约,银行将抵押物与事前风险绑定,抵押物成为控制贷款事前风险的一种手段。由于抵押物与贷款的事前风险绑定,无法直接测试出抵押物的风险治理作用,但是抵押物与银行监督具有替代关系,在银行监督较弱时,抵押物具有降低贷款违约的作用,抵押物能够成为控制贷款违约风险的一种工具。为了解决抵押物内生性问题,本文采取行业平均抵押物率作为工具变量的两阶段最小二乘法,进一步证实了抵押物能够降低贷款的事后违约。因此,本文具有使用抵押物降低贷款违约风险的政策内涵。

In our paper,we make use of bank loan data of a Chinese commercial bank from 2010 to 2015 in order to put our research focus on collateral and to shed light upon three aspects of this question:collateral and credit risk,risk management of collateral,collateral and bank risk policy.Based on our research,we get following empirical results:first of all,when issuing a loan,bank must bind collateral with ex ante risk,leading to ex post risk.Secondly,when bank monitoring is weak,collateral can reduce the ex post risk of loan.Thirdly,when changing risk policy and lowering standard of credit rating,collateral can reduce ex post risk of loan.In a nutshell,collateral plays an important role in risk management for bank loan.In order to solve the endogenous problem of collateral,this paper adopts the two-stage least squares method with the industry average collateral rate as a instrument variable,which further proves that collateral is negatively correlated with credit default risk.Therefore,we have a strong policy implication that bank should take advantage of collateral to control risk.