本文選題：資產(chǎn)證券化 + 風(fēng)險(xiǎn)評(píng)價(jià)　； 參考：《太原理工大學(xué)》2013年碩士論文

【摘要】：資產(chǎn)證券化是經(jīng)濟(jì)高度發(fā)展的產(chǎn)物。作為一種重要的、創(chuàng)新的金融衍生工具,其在西方發(fā)達(dá)國(guó)家已經(jīng)非常普遍,并對(duì)經(jīng)濟(jì)發(fā)展有巨大的推進(jìn)作用。當(dāng)然,資產(chǎn)證券化和其它事物一樣,具有兩面性,在促進(jìn)經(jīng)濟(jì)發(fā)展的同時(shí),也會(huì)帶來風(fēng)險(xiǎn)。特別是2007美國(guó)金融危機(jī)的爆發(fā),使得如何控制資產(chǎn)證券化的風(fēng)險(xiǎn)顯得尤為重要。中國(guó)研究資產(chǎn)證券化已經(jīng)有近20年的歷史了,主要還是理論研究的比較多,實(shí)踐比較少。2005年,國(guó)家開發(fā)銀行和中國(guó)建設(shè)銀行分別發(fā)行了信貸資產(chǎn)證券化產(chǎn)品和抵押貸款證券化產(chǎn)品,這標(biāo)志著我國(guó)正式進(jìn)入了資產(chǎn)證券化試點(diǎn)階段。但是,美國(guó)次貸危機(jī)的爆發(fā),使我國(guó)不得不停止對(duì)資產(chǎn)證券化的試點(diǎn)。直到2012年,我國(guó)重啟資產(chǎn)證券化。正因?yàn)橘Y產(chǎn)證券化的風(fēng)險(xiǎn)使得我國(guó)監(jiān)管機(jī)構(gòu)非常謹(jǐn)慎,不能任由其發(fā)展。 資產(chǎn)證券化產(chǎn)品具有融資成本低、豐富金融市場(chǎng)產(chǎn)品、信用級(jí)別高及優(yōu)化資源配置等特點(diǎn)。從長(zhǎng)期來看,我國(guó)發(fā)展資產(chǎn)證券化是必然趨勢(shì)。在資產(chǎn)證券化發(fā)展過程中,必須注意其與我國(guó)的經(jīng)濟(jì)實(shí)體相適應(yīng),同時(shí)做好對(duì)資產(chǎn)證券化的風(fēng)險(xiǎn)控制和防范。 資產(chǎn)證券化過程中主要存在的風(fēng)險(xiǎn)：首先,資產(chǎn)證券化涉及的參與主體多,因此要建立有效的市場(chǎng)準(zhǔn)入機(jī)制,防止信用風(fēng)險(xiǎn)的發(fā)生。其次,資產(chǎn)證券化要求發(fā)行人表內(nèi)基礎(chǔ)資產(chǎn)的“真實(shí)出售”,把基礎(chǔ)資產(chǎn)從發(fā)行人的資產(chǎn)負(fù)債表中移除,從而真正實(shí)現(xiàn)“破產(chǎn)隔離”。這需要我國(guó)建立相關(guān)的法律法規(guī)保證“真實(shí)出售”。第三,評(píng)級(jí)機(jī)構(gòu)要切實(shí)做好評(píng)級(jí)工作,避免其參與資產(chǎn)證券化的交易,從而給其它參與主體帶來?yè)p失。第四,注意資產(chǎn)證券化交易中存在的信息不對(duì)稱風(fēng)險(xiǎn),即逆向選擇風(fēng)險(xiǎn)和道德風(fēng)險(xiǎn)。這就要求相關(guān)監(jiān)管機(jī)構(gòu)制定相應(yīng)的信息披露制度,保證證券化市場(chǎng)的公開、公平、公正。 正是基于上述資產(chǎn)證券化過程中的存在問題,筆者提出相應(yīng)的對(duì)策及建議。本文共分為六個(gè)部分。第一部分介紹了本文的選題依據(jù)、研究目的和意義、相關(guān)研究綜述以及研究的主要內(nèi)容和方法。第二部分對(duì)風(fēng)險(xiǎn)和資產(chǎn)證券化的概念進(jìn)行了界定,闡述了基礎(chǔ)資產(chǎn)現(xiàn)金流分析理論、資產(chǎn)重組理論、風(fēng)險(xiǎn)隔離理論、信用增級(jí)理論、委托代理理論及灰色系統(tǒng)理論六個(gè)與資產(chǎn)證券化風(fēng)險(xiǎn)評(píng)價(jià)有關(guān)的理論,為本文的研究提供了理論依據(jù)。第三部分把資產(chǎn)證券化風(fēng)險(xiǎn)分為系統(tǒng)風(fēng)險(xiǎn)和非系統(tǒng)風(fēng)險(xiǎn),詳細(xì)的分析了系統(tǒng)風(fēng)險(xiǎn)和非系統(tǒng)風(fēng)險(xiǎn)的構(gòu)成要素,為建立資產(chǎn)證券化風(fēng)險(xiǎn)指標(biāo)體系提供依據(jù)。第四部分闡述了灰色系統(tǒng)理論的風(fēng)險(xiǎn)評(píng)價(jià)程序,建立了資產(chǎn)證券化風(fēng)險(xiǎn)指標(biāo)體系,并且對(duì)資產(chǎn)證券化風(fēng)險(xiǎn)進(jìn)行了計(jì)量及分析。第五部分從微觀上和宏觀上分別針對(duì)資產(chǎn)證券化的風(fēng)險(xiǎn)提出了相關(guān)對(duì)策建議。第六部分總結(jié)本文研究結(jié)論,同時(shí)指出了本研究的局限與不足。
[Abstract]:Asset securitization is the product of high economic development.As an important and innovative financial derivative, it is very common in western developed countries and has a great role in promoting economic development.Of course, asset securitization, like everything else, has two sides and brings risks while promoting economic development.Especially with the outbreak of the American financial crisis in 2007, it is very important to control the risk of asset securitization.China has been studying asset securitization for nearly 20 years, mainly in theory and practice. In 2005,China Development Bank and China Construction Bank issued credit asset securitization products and mortgage securitization products respectively, which marks that China has formally entered the pilot stage of asset securitization.However, with the outbreak of the subprime mortgage crisis in the United States, China has to stop the pilot of asset securitization.Until 2012, our country restarts asset securitization.Because of the risk of asset securitization, China's regulators are too cautious to allow it to develop.Asset securitization products are characterized by low financing cost, rich financial market products, high credit level and optimized resource allocation.In the long run, the development of asset securitization in China is an inevitable trend.In the course of the development of asset securitization, we must pay attention to its adaptation to the economic entities of our country, and control and prevent the risk of asset securitization at the same time.The main risks in the process of asset securitization are: firstly, there are many participants in asset securitization, so it is necessary to establish an effective market access mechanism to prevent the occurrence of credit risk.Second, asset securitization requires the "real sale" of the underlying assets in the issuer's balance sheet and the removal of the underlying assets from the issuer's balance sheet, thus truly achieving "bankruptcy isolation".This needs our country to establish the relevant laws and regulations to guarantee the "real sale".Third, rating agencies should do a good job of rating to avoid their participation in asset securitization transactions, thus causing losses to other participants.Fourthly, attention should be paid to the risk of asymmetric information in asset securitization transactions, that is, adverse selection risk and moral hazard.This requires relevant regulators to establish the corresponding information disclosure system to ensure the openness, fairness and fairness of the securitization market.Based on the above problems in the process of asset securitization, the author puts forward the corresponding countermeasures and suggestions.This paper is divided into six parts.The first part introduces the basis, purpose and significance of this paper, and the main contents and methods of the research.The second part defines the concepts of risk and asset securitization, expounds the basic asset cash flow analysis theory, asset restructuring theory, risk isolation theory, credit enhancement theory,The principal-agent theory and the grey system theory are related to the risk evaluation of asset securitization, which provides the theoretical basis for the study of this paper.The third part divides the risk of asset securitization into systematic risk and non-systematic risk, and analyzes the constituent elements of system risk and non-system risk in detail, which provides the basis for establishing the risk index system of asset securitization.In the fourth part, the risk evaluation procedure of grey system theory is expounded, the risk index system of asset securitization is established, and the risk of asset securitization is measured and analyzed.In the fifth part, the author puts forward some countermeasures and suggestions on the risk of asset securitization.The sixth part summarizes the conclusions of this study, and points out the limitations and shortcomings of this study.
【學(xué)位授予單位】：太原理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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