本文選題：信貸資產(chǎn)證券化　切入點(diǎn)：信用風(fēng)險(xiǎn)　出處：《上海外國(guó)語(yǔ)大學(xué)》2012年碩士論文

【摘要】：資產(chǎn)證券化作為一項(xiàng)金融創(chuàng)新產(chǎn)品，在全世界的蓬勃開(kāi)展已經(jīng)經(jīng)歷了40年的歷程。它給金融市場(chǎng)帶來(lái)的極大的流動(dòng)性便利，以及有效分散和轉(zhuǎn)移發(fā)起人自身風(fēng)險(xiǎn)的特別機(jī)制，，使得這項(xiàng)業(yè)務(wù)很快得到了市場(chǎng)的肯定和追捧。我國(guó)目前正大力發(fā)展和完善資本市場(chǎng)，信貸資產(chǎn)證券化不僅有助于提高商業(yè)銀行的資產(chǎn)流動(dòng)性，改善資本負(fù)債結(jié)構(gòu)，而且有利于分散發(fā)起人的信用風(fēng)險(xiǎn)，我國(guó)目前客觀上存在著實(shí)行銀行信貸資產(chǎn)證券化的動(dòng)力因素。然而，2007年爆發(fā)的美國(guó)次貸危機(jī)卻給剛剛起步的中國(guó)資產(chǎn)證券化敲響了警鐘，這場(chǎng)危機(jī)以及接踵而來(lái)的“金融海嘯”使我們看到：金融創(chuàng)新帶來(lái)眾多經(jīng)濟(jì)效益和好處的同時(shí)，信用風(fēng)險(xiǎn)也更加集中化和復(fù)雜化。在積極推行信貸資產(chǎn)證券化的同時(shí)，如何系統(tǒng)地分析信用風(fēng)險(xiǎn)，審慎地對(duì)待信用風(fēng)險(xiǎn)的管理，無(wú)疑是非常有必要的。 信貸資產(chǎn)證券化作為資產(chǎn)證券化業(yè)務(wù)中開(kāi)展最長(zhǎng)久，規(guī)模占比最大的一種類型，信用風(fēng)險(xiǎn)蘊(yùn)含在所有的結(jié)構(gòu)化主體當(dāng)中，既包括各參與主體，也包括資產(chǎn)池中的資產(chǎn)組合。本文通過(guò)對(duì)銀行信貸資產(chǎn)證券化交易結(jié)構(gòu)、交易流程以及三大原理的定性分析，給出了銀行信貸資產(chǎn)證券化這項(xiàng)創(chuàng)新產(chǎn)品的整體面貌和運(yùn)作機(jī)制；通過(guò)對(duì)銀行信貸資產(chǎn)證券化過(guò)程中信用風(fēng)險(xiǎn)的特征、轉(zhuǎn)移機(jī)制的詳細(xì)闡述，指出資產(chǎn)池中的基礎(chǔ)資產(chǎn)是產(chǎn)生整個(gè)銀行信貸資產(chǎn)證券化信用風(fēng)險(xiǎn)的根源，同時(shí)明確了量化資產(chǎn)池信用風(fēng)險(xiǎn)的三大指標(biāo)：風(fēng)險(xiǎn)敞口、違約概率以及違約損失率。其中，由于違約概率是各大評(píng)級(jí)機(jī)構(gòu)進(jìn)行信用評(píng)級(jí)的客觀評(píng)價(jià)指標(biāo)，所以本文重點(diǎn)利用修正的KMV模型對(duì)銀行信貸資產(chǎn)證券化資產(chǎn)池的違約概率進(jìn)行了測(cè)算，并選取了我國(guó)國(guó)家開(kāi)發(fā)銀行“2008開(kāi)元1期”的信貸資產(chǎn)支持證券的數(shù)據(jù)作為模擬，驗(yàn)證了違約概率與聯(lián)合資信評(píng)估公司的評(píng)級(jí)結(jié)果。最后，本文在深刻討論了美國(guó)次貸危機(jī)的成因后，結(jié)合我國(guó)實(shí)際狀況，為我國(guó)繼續(xù)發(fā)展銀行信貸資產(chǎn)證券化提出了一些建設(shè)性的意見(jiàn)。
[Abstract]:As a financial innovation product, asset securitization has experienced 40 years of development in the world. It has brought great liquidity facilities to the financial market, as well as a special mechanism for effectively dispersing and transferring the risks of the sponsors themselves. China is now vigorously developing and perfecting the capital market. Credit asset securitization is not only helpful to improve the liquidity of commercial banks, but also to improve the structure of capital and liabilities. Moreover, it is beneficial to disperse the credit risk of promoters. At present, there are some motive factors of bank credit asset securitization in our country. However, the American subprime mortgage crisis in 2007 has sounded the alarm to the Chinese asset securitization that has just started. The crisis and the ensuing "financial tsunami" have shown us that while financial innovation brings a lot of economic benefits and benefits, credit risks are also more centralized and complicated. While actively promoting securitization of credit assets, It is necessary to analyze credit risk systematically and treat credit risk prudently. As a type of asset securitization, credit asset securitization has the longest development and the largest scale. Credit risk is contained in all the structured subjects, including all the participants. Through qualitative analysis of transaction structure, transaction process and three principles of bank credit asset securitization, this paper gives the whole appearance and operation mechanism of bank credit asset securitization, which is an innovative product. By expounding the characteristics and transfer mechanism of credit risk in the process of bank credit asset securitization, it is pointed out that the basic assets in the asset pool are the root of credit risk of the whole bank credit asset securitization. At the same time, three indexes of quantifying credit risk of asset pool are defined: risk exposure, default probability and default loss rate, among which, default probability is the objective evaluation index of credit rating by major rating agencies. Therefore, this paper mainly uses the modified KMV model to calculate the default probability of bank credit asset securitization asset pool, and selects the data of credit asset-backed securities of China Development Bank "2008 Kaiyuan 1" as simulation. Finally, after deeply discussing the causes of the subprime mortgage crisis in the United States, combining with the actual situation in China, the paper verifies the default probability and the rating results of the joint credit rating companies. Some constructive suggestions are put forward for our country to continue to develop the securitization of bank credit assets.
【學(xué)位授予單位】：上海外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.4;F832.51

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