本文選題：資產(chǎn)證券化 + 不良資產(chǎn)評估��； 參考：《云南財經(jīng)大學(xué)》2017年碩士論文

【摘要】：隨著我國經(jīng)濟“三期疊加”效應(yīng)的凸顯和供給側(cè)改革的深入推進(jìn),經(jīng)濟下行風(fēng)險不斷加大,商業(yè)銀行業(yè)的不良資產(chǎn)進(jìn)入加速爆發(fā)期,區(qū)域風(fēng)險和行業(yè)風(fēng)險逐漸暴露,不良貸款余額和不良貸款率呈現(xiàn)“雙升”趨勢。這嚴(yán)重危害了我國經(jīng)濟的健康發(fā)展和金融體系的穩(wěn)定,成為我們亟需解決的問題之一。資產(chǎn)證券化工具作為自20世紀(jì)70年代以來全球最為重要的金融產(chǎn)品創(chuàng)新之一,已經(jīng)成為商業(yè)銀行批量處置不良資產(chǎn)的有效途徑。在不良資產(chǎn)證券化業(yè)務(wù)實際推進(jìn)中,由于不良資產(chǎn)的回收存在較大不確定性,不良資產(chǎn)證券化定價問題成了當(dāng)前制約行業(yè)發(fā)展的主要瓶頸。不良資產(chǎn)證券化的定價涉及到兩個問題,一是不良資產(chǎn)基礎(chǔ)資產(chǎn)池估值問題;二是不良資支持證券定價問題。本文首先對我國在不良資產(chǎn)處置實踐中采用的處置方式及形成的不良資產(chǎn)評估方法做出評析。其次通過比較成熟市場采用的資產(chǎn)證券化定價模型,結(jié)合我國具體情況,提出不良資產(chǎn)證券化定價技術(shù)思路和定價模型。最后通過運用多因素線性回歸模型,結(jié)合不良資產(chǎn)歷史處置案例,建立回歸經(jīng)驗方程對不良資產(chǎn)證券化基礎(chǔ)資產(chǎn)池進(jìn)行預(yù)測。不良資產(chǎn)證券化定價問題是業(yè)界難題,目前國內(nèi)外均未形成較為成熟的定價模型。我國由于開展不良資產(chǎn)證券化業(yè)務(wù)的數(shù)量和時間有限,缺乏相關(guān)數(shù)據(jù)可資借鑒,有關(guān)不良資產(chǎn)證券化的定價研究仍處于探索階段。本文研究還有很多不足,許多方面還需補充和深化。寄希望于將來隨著我國不良資產(chǎn)證券化業(yè)務(wù)的廣泛開展,以及大數(shù)據(jù)平臺的持續(xù)建設(shè),能進(jìn)一步完善后續(xù)研究。
[Abstract]:With the highlight of the "three phases superposition" effect and the deepening of the supply-side reform, the downward risks of the economy are increasing, and the non-performing assets of the commercial banks are entering an accelerated outbreak period, and the regional risks and the industry risks are gradually exposed. The balance of non-performing loans and the ratio of non-performing loans showed a "double-liter" trend. This seriously endangers the healthy development of our economy and the stability of the financial system, and becomes one of the problems we urgently need to solve. As one of the most important innovations in financial products since 1970s, asset securitization tools have become an effective way for commercial banks to deal with non-performing assets in batches. In the actual promotion of non-performing asset securitization, due to the uncertainty of the recovery of non-performing assets, the pricing of non-performing assets securitization has become the main bottleneck restricting the development of the industry. The pricing of non-performing asset securitization involves two problems, one is the valuation of the base asset pool of non-performing assets, the other is the pricing of non-performing capital backed securities. In this paper, we first analyze the disposal methods and the evaluation methods of non-performing assets in the practice of non-performing assets disposal in our country. Secondly, by comparing the pricing model of asset securitization adopted in mature market and combining the concrete situation of our country, the paper puts forward the technical thinking and pricing model of non-performing asset securitization. Finally, by using the multi-factor linear regression model and combining with the case of historical disposal of non-performing assets, the regression empirical equation is established to predict the basic asset pool of non-performing asset securitization. The pricing of non-performing assets securitization is a difficult problem in the industry, and there is no mature pricing model at home and abroad. Due to the limited number and time of non-performing asset securitization in China and the lack of relevant data for reference, the pricing research of non-performing asset securitization is still in the exploratory stage. There are still many deficiencies in this study, and many aspects need to be supplemented and deepened. It is hoped that with the extensive development of non-performing asset securitization business in China and the continuous construction of big data platform, the follow-up research will be further improved in the future.
【學(xué)位授予單位】：云南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：2040969