Study On Drawing Loan Loss Provision And Methods For Commercial Bank Regulation

Commercial banks are the important part of finance industry under market economy environment. And regulations on commercial banks constitute an essential part of financial regulation. The academic world and financial regulation departments have paid more attention on the regulations on commercial banks as commercial banks develop globally and the world-famous bankruptcy cases of banks as well as financial crisis arose. Under the framework of three main points (the lowest capital demand, external regulation and market discipline) of new Basel Capital Accord, using matrix game theory, the drawing strategy of commercial bank's loan loss provision is studied; and the theories and methods of grey system theories, 2-tuple linguistic assessment method, annual neural network and case based reasoning is used for studying commercial bank spot regulation and off-site regulation. Summarily, conclusions of this paper are introduced briefly as follows.(1) The traditional system of provisions for bank loan loss is compared with the dynamic system of provisions for bank loss. We employ the matrix games to analyze the strategy for drawing the provisions for bank loan loss. Combining information's uncertainty and the characteristics of bank regulation data, we research the drawing strategy of bank loan loss provision based on interval grey number matrix game.(2) After analyzing America's CAMELS spot regulation model and China's commercial bank rating system, we build a model for the spot regulation on commercial banks based on grey cluster analysis and linguistic assessment method.(3) According to banks'non-spot regulation data, we study the rating method on commercial banks with the help of SOM neural network model. Considering such dot indices and period indices included in rating process, we regard the dot data within a period as a period number and propose the GSOM model as a kind of cluster analysis method to analyze the risk status of commercial banks.(4) We propose a new approach based on the absolute degree of grey incidence to calculate the degree of nearest-neighbor matching, use grey incidence order to priority analysis. The case which has the highest degree of grey incidence is the nearest neighbor case to the input case. When there is no case whose degree of grey incidence is higher than others on all attributes, use the integrated degree of grey incidence (weighted sum) to find the nearest-neighbor case. Thus the framework of grey CBR (GCBR) based on grey incidence analysis is built. We apply GCBR to the intelligence non-spot regulation on commercial banks.(5) With the panel data of 10 joint-stock commercial banks from 1998 to 2005 in China, we adopt the fixed-effect panel model to study the market discipline status of China's stock commercial banks. We then draw a conclusion that the above-said market discipline is comparatively weak and the market demands the stonger operation of the discipline.(6) According to the fact that"Financial Sector Option and Sector Supervision"in China, studied the coordination of three aspects: spot supervision and non-spot supervision; three main points of new Basel Capital Accord; and different financial departments. Built the framework of intelligent supervision system and the framework of integrate Financial Regulation Information Systems.