在监管过程中使用信用登记数据意大利银行的案例.ppt

MAIN TASKS OF THE CREDIT REGISTER 信用登记的主要任务 For the banks: a better assessment of credit risk 对银行而言：更好地衡量信用风险 monthly return on reported borrowers; 报告借款人的月度还款额 ad hoc request for information on credit applicants; 对信用申请人信息的特定要求 dissemination of data on a monthly/quarterly basis. 按月度\季度分发数据 For the Supervisor: 对监管者而言： improving the assessment of the quality of loan portfolios in the context of the supervisory process; 　在监管过程中改善对贷款组合质量的评估方法 improving macroprudential analysis. 　提高总体审慎分析质量 Reporting institutions: 报告机构 Italian banks; 意大利各银行 Foreign branches of Italian banks; 意大利银行在国外的分支机构 Italian branches of foreign banks; 国外银行在意大利的分支机构 Financial intermediaries recorded in a special register; 在特别登记簿有记录的金融中介机构 Financial intermediaries belonging to a banking group. 隶属于银行集团的金融中介机构 Reporting threshold: 报告起点： € 75,000; 七万五千欧元 None for bad debts 无坏账 Reporting frequency: monthly 报告频度： 月度 Interest Rate Survey: on both credit lines and deposits at an individual level (quarterly data). 利率测算：在个人层面上，采用季度数据，测算信贷额度和存款利率 MONITORING CREDIT RISK 监控信用风险 1. Monitoring overall credit quality 监控总体信贷质量 2. Estimating the probabilities of default (PDs) of Italian non-financial firms 估计意大利非金融企业的违约概率 3. Evaluating the effects of the Basel 2 Accord on the financing of the corporate sector 评价新巴赛尔协议对公司融资的影响 4. Assessing the impact of a macro-economic shock (“Stress Test”) 估计宏观经济状况的突然变动造成的影响（压力测试） MONITORING CREDIT RISK 监控信用风险 Some key variables: 关键变量 bad loans, as a share of total loans; 不良贷款额占总贷款额的比例 adjusted bad debts(*), as a share of (a) total loans; (b) accounting bad debts; 调整后坏账额占(1)总贷款额的比例(2)帐面坏账额的比例 flows of new adjusted bad loans, as a share of performing loans (mortality rates); 新的调整后不良贷款占正在产生效益贷款的比例（死亡率） revoked loans; drawn amount / granted amount; overdrafts (amounts, frequency etc.) 撤销贷款；提取额/允诺额；投资（额，频度等。） (*) Adjusted bad lons = accounting bad loans + loans to borrowers classified as insol