金融資產預期損失模型研究—基於普通債券減值研究

A Study on Expected Loss Model of Financial Assets Mainly Based on General Bonds

陳子慶(Zi-Qing Chen)

指導教授 ： 蔡彥卿

共同指導教授 ： 劉心才(Hsin-Tsai Liu)

國立臺灣大學/管理學院/會計學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201600877

摘要

2008年金融危機的爆發，現行金融資產減值的已發生損失模型廣受詬病。金融危機諮詢組在其報告中直接指出金融資產減值損失的延遲確認及不同資產減值方法差異是導致金融危機加劇的主要原因，建議考慮金融資產潛在風險的相關資訊進行減值處理。IASB與FASB將減值作為重要議題，試圖厘清金融資產減值的方法，提出了考慮資產未來信用損失的金融資產減值預期損失模型，取代現有旳已發生損失模型。之後，兩機構一直致力於提高模型的現實可行性，先後提出不同的方法並提交公眾討論。
自從2007年釆用與國際趨同的會計準則後，中國金融資產減值準則也存在相應問題。面對國際上的改革和中國的趨同策略，預期損失模型的產生與發展勢必會對中國金融資產減值的準則制定和會計實務產生巨大影響，體現了文章的研究價值。本文主要採用規範研究的方式，結合類比案例、統計分析和比較分析等方法對金融資產減值問題進行研究，依據國際上的最新研究成果，分析金融資產減值模型改革的原因和內容，並提出個人看法。
本文以提出問題、分析問題、解決問題的研究思路對金融資產減值模型問題進行剖析。提出問題部分包括本文的第一和第二章的內容。筆者通過第一章對研究背景和研究文獻整理以及第二章的理論基礎的回顧，引出本文的主要研究問題，整理本文的研究思路。分析問題部分主要體現在本文的第三章。筆者對金融資產減值模型的現狀與問題進行分析，總結己發生損失模型的缺陷，解釋為何需要對現有模型進行改革。解決問題部分包括第四章，第五章和第六章，第四章介紹的是國際上針對金融資產減值問題的改進研究，論述了金融資產減值模型的改革過程與現階段的成果。體現出了模型修行的從理想到實踐、從合作到分歧的過程。第五章主要以普通債券為模擬案例，將已發生損失模型和預期損失模型進行對比，揭示了預期損失模型的優缺點。第六章分析了預期損失模型在中國的應用局限，然後根據現有中國國情，提出中國應對金融資產減值模型改革的相關建議。
本文通過理論分析與模擬案例的結果來看，認為雖然預期損失模型存在著理論上的先進性，但是由於中國資本市場發達程度有限，風險管理和評級系統的欠缺，盲目實行還未成熟的預期損失模型將帶來巨大的實施成本，因此，面對IFRS9的改革，中國應當採取謹慎的應對態度。

關鍵字

金融資產減值 ； 已發生損失模型 ； 預期損失模型 ； 普通債券

並列摘要

The measurement of financial instrument confused scholars and accountants because of its complexity and diversity. Especially after 2008 financial crisis, it’s more and more necessary to modify the current impairment model to overcome its defects exposed in the crisis, among which deferred impairment loss recognition and pro-cyclical effect are the key problems. According to the research conducted in this paper, it is obvious to see that China's corresponding impairment standard has encountered the same problems as well after we follow the international accounting standard in 2007. Expected credit loss model will pose a great effect on China's accounting standard and practice. This paper deals with the problem of financial asset impairment model in a normative way, combined with simulation study, statistical analysis and comparative analysis, and analyzes the reasons and contents of the impairment reform on a basis of the latest international publication.
The research design of this paper is through the way of introducing topic, analyzing issue and solving problem. The topic-introducing section consists of the first and second chapters. The first chapter makes a general introduction of research background and reviews previous researches, the second explores the theoretical foundation of financial asset impairment study, and both of which draw forth the main topic of the paper and clarify the research line. The issue-analyzing section includes the chapter three, which analyses the current situation and existing problems of Incurred Credit Loss Model and explains the reasons of the reform. The problem-solving section is made up of the chapter four, five and six. The chapter four introduces the international moves on financial assets impairment，reform process, and current achievements, which reflects a process from ideal to practical, from cooperation to disagreement. The chapter five mainly simulate a case of bond, which compare the results between the Incurred Loss Model and Expected Loss Model. Meanwhile, revealing the advantages and disadvantages of Expected Loss Model. The chapter six illustrates the limitation on application of expected credit loss model in China and then provides advices.
Last, it can be concluded that expected credit loss model does have its advantages over the current model, but China’s current capital market, risk management and rating system limits the application of the new model, and will cause a large amount of implementation cost. Consequently, it’s necessary apply the new model discreetly.

並列關鍵字

Financial assets impairment ； Incurred loss model ； Expected loss mode ； general bonds

參考文獻

[1] IASB, DP, “Request for Information (‘Expected Loss Model’) Impairment of Financial Assets: Expected Cash Flow Approach,” June 2009, www.iasb.com.

[2] IASB, “Exposure Draft Financial Instruments: Amortized Cost and Impairment,” November 2009, http://www.ifrs.org/IFRSs/Pages/IFRS.aspx.

[3] FASB, “Supplement Financial Instruments: Impairment,” March 2010, www.fasb.com

[4] IASB, “Supplement Financial Instruments: Impairment,” January 2011, http://www.ifrs.org/pages/default.aspx.

[5] FASB, “Exposure Draft: Proposed Accounting Standards Update, Financial Instruments-Credit Losses,”December,2012, http://www.fasb.org.