【作者】 肖龄；

【导师】 陈耀先；

【作者基本信息】 西南财经大学 ， 金融学， 2008， 博士

【摘要】 准确评估不良贷款价值是我国不良贷款处置实践面临的一大挑战。不良贷款价值取决于可能实现的回收水平,因此,不良贷款回收策略及回收过程是评估不良贷款价值时必须考虑的关键因素。关于不良贷款估值的现有研究对贷款回收过程给予了一定程度的重视,然而,现有研究往往采用假设对回收过程进行简化,缺乏对回收过程的深入分析。以文献中比较常见的假设清算法为例,这种方法假设贷款回收通过企业清算得以实现,从而将违约贷款的回收简化为按照既定分配规则(如绝对优先规则)所进行的资产分配过程。本文的讨论与现有研究具有共同的基础,这个基础就是对贷款回收过程的分析,但是,本文对回收过程的分析相对于现有研究来说更为深入。针对实践中大量存在的谈判清收案例,本文首次明确提出了非强制回收的概念,即通过非强制性的手段实现贷款的回收,与非强制回收相对的概念是强制回收,所谓强制回收是指依靠强制性的追偿程序清收不良贷款,如诉讼执行程序或强制破产程序。通过非强制回收途径实现的贷款回收率称为非强制回收率,依靠强制回收途径得到的回收率称为强制回收率。不确定性是不良贷款回收过程的基本特征,本文与现有研究的另一个不同之处体现在对这种不确定性的处理上。国内的不良贷款估值研究没有将贷款回收的不确定性纳入分析框架,国内研究中最为常见的清算假设在很大程度上消除了回收过程的不确定性;国外关于现金流贴现法的研究在一定程度上考虑了未来现金流的不确定性,通过模拟等方法将不确定性和财务危机引入传统的现金流贴现分析框架,但是并没有针对贷款回收过程的不确定性提出系统的不良贷款估值框架。与国内外现有的研究不同,本文从回收途径的角度,将不确定性明确纳入不良贷款的价值评估。本文认为,在强制回收条件下,不确定性主要来自于法律规定本身以及执行法规的过程中,价值评估必须充分考虑这种不确定性;在非强制回收条件下,债务人的偿债意愿是影响贷款回收的关键因素之一,偿债意愿与非强制回收率是影响贷款回收的主要风险因子,此时的不良贷款价值评估其实是对偿债意愿和非强制回收率进行估计的过程。不良贷款价值评估的实质是对贷款回收过程中的不确定性进行识别和计量。本文提出了以不确定性为核心的不良贷款价值评估框架,这个框架的两个支柱是强制回收途径和非强制回收途径,在强制回收条件下,不良贷款价值评估转化为强制回收率估计,在非强制回收条件下,不良贷款价值评估转化为偿债意愿评估和非强制回收率估计。本文的结构如下:第一章介绍研究背景、意义和目的,说明研究思路与方法,分析研究中存在的问题和局限。第二章介绍关于不良贷款价值评估的主要研究文献。第三章介绍美国重整信托公司和联邦存款保险公司在不良资产评估方面的经验,分析我国不良贷款评估实践中存在的问题。第四章分析不良贷款回收的不确定性,讨论这种不确定性与信用风险的关系,提出不确定环境中的不良贷款价值评估思路。第五章从破产制度、民事责任制度和债的担保制度三个角度讨论旨在确保债务履行的强制性制度安排。第六章分析破产制度、担保物权制度对贷款回收的影响,讨论强制回收条件下的不良贷款估值思路。第七章讨论非强制回收途径,分析非强制回收条件下影响贷款回收的风险因素。第八章探讨非强制回收条件下不良贷款价值的评估思路。更多还原

【Abstract】 Non-performing loan valuation is a great challenge to China’s bad loan disposal. Value of non-performing loans depends on possible recovery of loans. Therefore, the process of non-performing loan workout is the critical factor to be considered for non-performing loan valuation.Research now available concerning non-performing loan valuation pays some attention to the process of defaulted loan workout. However, it doesn’t go deep into the analysis of workout process. It usually simplifies the workout process by hypothesis. For example, hypothetical liquidation method supposes that loan recovery be realized by liquidating debtors. This method viewes loan workout as a process of asset distribution according to certain rules, such as Absolute Priority Rule. This thesis is based on a study of loan workout process, too. However, loan workout is studied more deeply and systematically in this thesis. Considering many cases of workout by negotiation, this thesis introduces first the concept of non-compulsory workout that means loan servicing through non-compulsory measures. Compared with non-compulsory workout, compulsory workout means that defaulted loan is serviced depending upon compulsory procedures, such as litigation, enforcement and involuntary bankruptcy proceedings. Accordingly, non-compulsory workout recovery rates are called non-compulsory recovery rates, and compulsory workout recovery rates are called compulsory recovery rates.Uncertainty is the basic characteristics of defaulted loan workout. Another difference between this thesis and studies now available is treatment of uncertainty. Domestic relevant studies almost don’t consider uncertainty of loan workout. The hypothesis of compulsory liquidation removes uncertainty of workout to a large extent. Foreign research on Discounted Cash Flow Analysis takes account of uncertainty of cash flow in the future to some extent. Using Monte Carlo simulation, these studies introduce uncertainty and financial distress into traditional Discounted Cash Flow Analysis Framework. However, these studies don’t develop a systematic framework integrating uncertainty of workout for non-performing loan valuation. Unlike research now available, this thesis introduces clearly uncertainty of loan workout into defaulted loan valuation. According to this thesis, creditors will face uncertainty mainly resulting from relevant laws and the process of law enforcement if they intend to recover loans through compulsory workout. Defaulted loan valuation should pay enough attention to this type of uncertainty. In the situation of non-compulsory workout, debtors’willingness of repayment is one of the important factors which could influence loan recovery. The principal risk factors include debtors’willingness of repayment and non-compulsory recovery rates. Therefore, defaulted loan valuation under the condition of non-compulsory workout involves estimation to debtors’repayment willingness and non-compulsory recovery rates.In fact, non-performing loan valuation is the process of recognizing and measuring uncertainty of loan workout. This thesis develops a defaulted loan valuation framework integrating uncertainty. Compulsory workout and non-compulsory workout are two pillars of this framework. In the situation of compulsory workout, non-performing loan valuation converts into compulsory recovery rates estimation. In the situation of non-compulsory workout, defaulted loan valuation can be divided into two principal steps: (a) repayment willingness estimation, and (b) non-compulsory recovery rates estimation.This thesis is structured as follows: The background, motivation, methodology and limitation of this research are briefly outlined in section 1. The literature of non-performing loan valuation is examined in section 2. Section 3 discusses the experience of non-performing asset valuation owned by the Federal Deposit Insurance Corporation and the Resolution Trust Corporation, and the problems concerning China’s non-performing loan valuation experience. Section 4 analyzes uncertainty of loan workout and explores relationship between workout uncertainty and credit risk. Section 5 discusses compulsory system arrangement for performing debt obligations, including bankruptcy system, civil liability system, debt security system, and so on. Section 6 analyzes the influence of bankruptcy system and security real right system on loan workout, and explores the method for non-performing loan valuation under the condition of compulsory workout. Section 7 discusses non-compulsory workout and analyzes risk factors that influence loan recovery of non-compulsory workout. Finally, defaulted loan valuation under the condition of non-compulsory workout is discussed in section8.更多还原