中文摘要：

前瞻性贷款损失准备管理能够平滑银行信贷供给对宏观经济的顺周期影响,然而鲜有可经验估计的动态和前瞻性贷款损失拨备方法,从而限制了该宏观审慎政策工具的使用空间及其实施效果。文章在借款人资产增速服从均值回复随机过程的情景下,给出了借款人资产价值的动态随机运动规律,并在结构化模型框架内刻画了其信用风险要素和前瞻性拨备要求。与结构化模型不同的是,文章资产增速具有周期性和平稳性等特征,使之既能契合前瞻性拨备管理的内在要求,又有助于模型的经验估计和实施推广。基于工业部门1993-2013年的资产负债等数据,文章经验估计了该部门及其子行业未来的信用风险及前瞻性拨备要求,同时基于银发[2002]98号和银监发[2010]98号的有关规定估算了监管要求的前瞻性准备成分和银行实提的前瞻性准备成分,并根据它们理论映射的借款人目标杠杆和融资成本组合状态研判了其适当性。文章深入揭示了不同杠杆和融资成本约束下工业部门的信用风险及其演变趋势,回答了银行体系和监管要求的前瞻性拨备管理是否适当等热点问题。

英文摘要：

The forward-looking loan loss provisions management can smooth the procyclical impact of bank credit supply on macro-economy,but there are few empirically estimable loan loss provisions management approaches with dynamic and forward-looking characteristics,thus limiting the use and effect of this macro-prudential policy tool.In the case that the borrower＇s asset growth follows a mean reverting stochastic process,this paper derives the dynamic random motion of borrower＇s asset values and characterizes the credit risk factors and forward-looking provision requirement within the framework of structural credit risk model.Different from the structural model,the asset growth in this paper has the characteristics of periodicity and stationary,which is not only fit for the inherent requirement of the forward-looking provision management,but also contributes to the empirical estimation and implementation promotion of the model.Based on the assets and liabilities data of industrial sector from 1993 to 2013,this paper also empirically estimates future credit risks and forward-looking provision requirement of the industrial sector and its sub-industries.Meanwhile,it also estimates the forward-looking provision component of regulatory requirement and that of the actual provisions in the banking system based on the following two official documents：PBOC[2002]No.98 and CBRC[2010]No.98,and judges their appropriateness combining with the portfolio status of borrower target leverage and financing costs based on the theoretical model.This paper deeply reveals the credit risks and their evolution trends of the industrial sector at all levels under different leverage and financing costs,and answers the hot issues such as the appropriateness of forward-looking provision requirement of the actual situation in the banking system and that stipulated by the regulatory authorities.