商業(yè)銀行系統(tǒng)的不良貸款率模型意大利效率性和效益性有關(guān)的信貸風(fēng)險(xiǎn)【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　Modelling non-performing loans probability in the commercial banking system: efficiency and effectiveness related to cr

2、edit risk in Italy</p><p>　　Material Source: Springer-Verlag 2010</p><p>　　Author: Bernardo Maggi · Marco Guida</p><p><b>　　Abstract</b></p><p>　　In th

3、is article, we model the effect of the non-performing loans on the cost structure of the commercial banking system. With this aim, we comment on an increase in the non-performing loans by studying the consequences of suc

4、h a change on the cost function and compute the probability of failure of maintaining a performing loan as such. In doing so, we are convinced that geography does matter and evaluate the risk propensity of the bank towar

5、ds the non-performing loans accordingly. We ?nally stre</p><p>　　Introduction</p><p>　　This article deals with the problem of loans that do not perform (NPL from now on). Though such a problem i

6、s dated back in the literature on banking systems, little space has been given to it for the dif?culty both to obtain the necessary data and to embed it appropriately in the methodology till now developed on the bank ef?

7、ciency. As for the former, acknowledged data bases reveal the absence of information on the most important variable for this study, i.e. the bad loans. As for the latter, th</p><p>　　Alternative ways to meas

8、ure the effect of NPL may be found in the ef?ciency lit-erature of the undesired outputs. In such a context, the problem becomes to ?nd the correspondent NPL shadow price following Pittman (1983) and Fare et al. (1993).

9、The two authors, propose a deterministic approach solving a maximization problem for, respectively, a pro?t and a revenue function de?ned in terms of the distance function. In the ?rst case, shadow prices derive from app

10、osite constraints representing the r</p><p>　　This article is organized as follows. In the second section, we present the basic theoretical relationships to which we refer for the estimation. In the third se

11、ction, we reason on the variables to include in the cost function in connection with the scope of our analysis and describe our data set. In the fourth section,we present the econometric analysis of such a function accor

12、ding to the literature of the ?exible functional forms. In the ?fth section, where the focus is centered on the problem</p><p>　　Conclusions and further remarks</p><p>　　In this study, we move f

13、rom the consideration of the lack, in the literature of ef?ciency in the banking sector, of an accurate dealing with the NPL. We formalize a model for the placement of the NPL in the cost function thus trying to ?ll some

14、how the hiatus in this respect and giving further potential to the tools so far available.We answer the question of how much of the efforts in terms of costs for managing and monitoring loans succeed in preserving the ba

15、nk from the non-performing loans i.e</p><p>　　We ?nd that the effect of a change in the probability of an uncertain loan to become non performing is extremely costly for the banking system thus further encou

16、raging the research in this ?eld with an analysis that, from the one hand, disentangles the speci?c categories of loans and their degree of risk and, from the other hand, could test the effectiveness of such credit polic

17、ies.</p><p><b>　　譯文</b></p><p>　　商業(yè)銀行系統(tǒng)的不良貸款率模型：意大利效率性和效益性有關(guān)的信貸風(fēng)險(xiǎn)</p><p>　　資料來(lái)源：施普林格出版社2010年 作者：貝爾納多·馬貴大馬吉</p><p><b>　　摘要</b></p&

18、gt;<p>　　在本文中，我們模擬不良貸款對(duì)商業(yè)銀行系統(tǒng)成本結(jié)構(gòu)的影響。本著這一目標(biāo)，我們通過(guò)研究成本函數(shù)的變化結(jié)果評(píng)論不良貸款的增加，并計(jì)算出維持這樣的一個(gè)不良貸款的失效概率。如此一來(lái)，我們認(rèn)為區(qū)域因素對(duì)銀行不良貸款的風(fēng)險(xiǎn)傾向有一定的影響。最后，我們強(qiáng)調(diào)的是，傳統(tǒng)的成本彈性效益指標(biāo)不是很適合這個(gè)問(wèn)題，基于管理和監(jiān)測(cè)的貸款的成本提出措施，并根據(jù)相關(guān)的密度函數(shù)，有效地揭示不良貸款。</p><p>

19、<b>　　引言</b></p><p>　　這篇文章主要處理不良貸款問(wèn)題。雖然這個(gè)問(wèn)題在銀行系統(tǒng)文獻(xiàn)中有記載，但直到銀行業(yè)高效發(fā)展的今天，由于我們?cè)讷@取必要的數(shù)據(jù)并采取適當(dāng)?shù)姆椒ǚ矫孢€存在一定的困難，因此還是一片空白。至于前者，確認(rèn)的數(shù)據(jù)庫(kù)顯示了本研究最重要的變量信息缺失，即不良貸款。而對(duì)于后者，問(wèn)題是如何解釋在一個(gè)特定函數(shù)下的不良貸款，從效率的角度以獲取合理的結(jié)果。讓人不解的是，在伯杰和

20、代揚(yáng)（1997）認(rèn)為：在不良貸款和低效率之間存在同時(shí)性，但以不良貸款為代表的聯(lián)系同時(shí)性將被排除在函數(shù)解釋性變量之外，在不良貸款形成原因不是內(nèi)部因素的情況下，該函數(shù)用來(lái)避免減少回歸誤差測(cè)量的低效。在這一領(lǐng)域，許多學(xué)者都做過(guò)研究，Hughes 和Mester(1993)也曾作過(guò)研究，但他們沒(méi)有將由管理不善引起的和由外部因素引起的不良貸款做出區(qū)別，而是將他們作為一個(gè)整體在成本函數(shù)中計(jì)算，這些外部因素，不是銀行自身問(wèn)題引起的，不應(yīng)計(jì)算在內(nèi)。因此

21、，只有前者的影響應(yīng)包括在成本函數(shù)中。依他們看來(lái)，伯杰和代揚(yáng)（1997）也關(guān)注過(guò)此問(wèn)題，但沒(méi)有在成本函數(shù)模型中考慮不良貸款，他們運(yùn)用成本函數(shù)只是為了計(jì)算低效和利用因果分析解釋他們之間的關(guān)系。然而，這種方法的結(jié)論，雖</p><p>　　我們可能會(huì)在沒(méi)有公開(kāi)的文獻(xiàn)中發(fā)現(xiàn)一些方法來(lái)測(cè)量模型因素對(duì)不良資產(chǎn)的影響。在這種情況下，按照Pittman (1983) 和 Fare et al. (1993)，問(wèn)題是發(fā)現(xiàn)客戶(hù)的不良

22、資產(chǎn)的影子價(jià)格。兩個(gè)作者，各自提出解決最大化問(wèn)題的確定性方法，利潤(rùn)和收益函數(shù)規(guī)定了函數(shù)功能。在第一種情況下，影子價(jià)格來(lái)源于代表?xiàng)l例的適當(dāng)?shù)南拗?。且在第二種情況下，影子價(jià)格直接來(lái)源于利用Shephard’雙重引理的最大化問(wèn)題并且認(rèn)為，對(duì)于市場(chǎng)化的輸出，市場(chǎng)和影子價(jià)格是一樣的。我們的選擇落到用于參考以上提出的參數(shù)方法以及來(lái)源于不良貸款可能性的附加信息的非直接成本函數(shù)方法上。</p><p>　　本文章結(jié)構(gòu)主要如下。在

23、第二部分，我們呈現(xiàn)基本理論關(guān)系，該關(guān)系我們喜歡評(píng)估。在第三階段，我們對(duì)變量作出推理，包括成本函數(shù)中的分析范圍和描述的數(shù)據(jù)集合。在第四階段，根據(jù)靈活函數(shù)的形式我們提出像此函數(shù)的計(jì)量經(jīng)濟(jì)分析。在第五階段，當(dāng)焦點(diǎn)落在不良貸款的問(wèn)題的地方，我們?cè)u(píng)價(jià)貸款的比較和評(píng)價(jià)銀行信用風(fēng)險(xiǎn)的態(tài)度。第6部分報(bào)告不良貸款的最后計(jì)算對(duì)邊際成本的影響以及一些其他的效率和效果的指數(shù)。第七部分得出結(jié)論。</p><p><b>　　結(jié)論

24、</b></p><p>　　在這項(xiàng)研究中，銀行部門(mén)文獻(xiàn)中缺少一種正確處理不良貸款的方法。我們建立了一個(gè)關(guān)于不良貸款的成本函數(shù)模型，并試圖去填補(bǔ)這方面的空白，為以后的研究提供依據(jù)。我們回答了要成功維護(hù)銀行不良貸款在管理和監(jiān)控上的成本所需付出的努力，即根據(jù)吸納新貸款所需的成本費(fèi)用和產(chǎn)生不良貸款的費(fèi)用之間按比例對(duì)成本函數(shù)的影響進(jìn)行測(cè)算。我們的模型考慮到不良貸款不是成本函數(shù)的直接影響因素，但它可以視為代表上

25、述兩者之間的權(quán)衡。通過(guò)這種表示，我們從貸款的密度函數(shù)衍生出不良貸款，它給出了有關(guān)不良貸款最大可持續(xù)和評(píng)估銀行免受信用危機(jī)傾向的可能性。通過(guò)在特定區(qū)域操作，發(fā)現(xiàn)地理位置的不同和成本函數(shù)的評(píng)估有一定的關(guān)聯(lián)。這使有關(guān)貸款和不良貸款的成本管理的效率和效果成為可能，從而控制有關(guān)區(qū)域的成本。我們發(fā)現(xiàn)傳統(tǒng)的產(chǎn)出彈性指標(biāo)不適宜不良貸款問(wèn)題，而提出更加有代表性的措施。</p><p>　　我們發(fā)現(xiàn)不確定貸款成為不良貸款對(duì)于銀行系統(tǒng)