【摘要】：中小企業(yè)是推動(dòng)國民經(jīng)濟(jì)發(fā)展、構(gòu)筑市場(chǎng)經(jīng)濟(jì)體系、促進(jìn)經(jīng)濟(jì)穩(wěn)定的重要力量,特別是在當(dāng)前為確保國民經(jīng)濟(jì)適度增長、緩解就業(yè)壓力、優(yōu)化經(jīng)濟(jì)結(jié)構(gòu)等方面發(fā)揮著重要作用。誠然如此,我國中小企業(yè)的發(fā)展受制于融資約束,這一問題已成為我國經(jīng)濟(jì)發(fā)展的頑癥,影響經(jīng)濟(jì)持續(xù)、健康發(fā)展。特別是在2008年金融危機(jī)后,中小企業(yè)日益旺盛的融資需求和金融資源的非平衡配置這一矛盾更加尖銳地暴露出來。 為解決中小企業(yè)融資難問題,2011年央行明確表示要積極推進(jìn)中小企業(yè)信貸資產(chǎn)證券化；2013年國務(wù)院常務(wù)會(huì)議決定進(jìn)一步擴(kuò)大信貸資產(chǎn)證券化試點(diǎn),盤活資金用于中小企業(yè)發(fā)展等。在國外,歐洲作為中小企業(yè)信貸資產(chǎn)證券化的主要市場(chǎng),從2000年至2007年,已累計(jì)發(fā)行中小企業(yè)抵押貸款證券1900億歐元。我國在2008年由浙商銀行發(fā)行了第一單中小企業(yè)信貸資產(chǎn)證券化產(chǎn)品。實(shí)踐結(jié)果表明,通過將中小企業(yè)的信貸資產(chǎn)證券化,提高了資產(chǎn)的流動(dòng)性,釋放了資本,銀行可以獲取更多用于專項(xiàng)扶持中小企業(yè)發(fā)展資金,為中小企業(yè)提供可持續(xù)的廣泛的金融支持,也有助于降低中小企業(yè)貸款成本。但是,中小企業(yè)貸款相對(duì)于大型企業(yè)貸款來說,是非“優(yōu)質(zhì)資產(chǎn)”,風(fēng)險(xiǎn)的不確定性更為復(fù)雜,客觀上對(duì)發(fā)行中小企業(yè)信貸資產(chǎn)支持證券機(jī)構(gòu)的風(fēng)險(xiǎn)控制提出了更高要求。區(qū)別于傳統(tǒng)金融機(jī)構(gòu)發(fā)行的中小企業(yè)信貸資產(chǎn)證券化產(chǎn)品,2013年由以阿里巴巴為代表的互聯(lián)網(wǎng)金融機(jī)構(gòu)發(fā)起國內(nèi)首單由券商作為發(fā)起人的中小微企業(yè)及網(wǎng)商個(gè)人創(chuàng)業(yè)者的無擔(dān)保信貸資產(chǎn)證券化產(chǎn)品,此單產(chǎn)品是繞過了銀行系統(tǒng)以互聯(lián)網(wǎng)為平臺(tái),利用大數(shù)據(jù)及云計(jì)算技術(shù)來甄別與研判貸款的信用風(fēng)險(xiǎn),這類風(fēng)險(xiǎn) 可能不同于傳統(tǒng)銀行機(jī)構(gòu)的信用風(fēng)險(xiǎn)轉(zhuǎn)移,并呈現(xiàn)出不同的特征。所以如何根據(jù)風(fēng)險(xiǎn)特點(diǎn)設(shè)計(jì)一整套可行有效的風(fēng)控制度,是實(shí)施中小企業(yè)信貸資產(chǎn)證券化的關(guān)鍵。 基于上述認(rèn)識(shí),本文采用理論分析和實(shí)證分析相結(jié)合的方法,對(duì)國內(nèi)外中小企業(yè)信貸資產(chǎn)證券化的現(xiàn)狀、市場(chǎng)環(huán)境、法律安排、發(fā)展模式進(jìn)行對(duì)比分析,明確我國未來發(fā)展思路,總結(jié)中小企業(yè)信貸資產(chǎn)證券化風(fēng)險(xiǎn)特點(diǎn)并提出相應(yīng)的風(fēng)控措施；在此基礎(chǔ)上探討中小企業(yè)信貸資產(chǎn)證券化帶來的信用風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)金融體系造成的影響,并以案例印證前述分析結(jié)論；最終提出我國中小企業(yè)信貸資產(chǎn)證券化發(fā)展及風(fēng)險(xiǎn)控制的政策建議。 全文共七章： 第一章對(duì)本文的研究思路、研究內(nèi)容、可能的創(chuàng)新點(diǎn)和不足做出說明。第二章對(duì)本文涉及的資產(chǎn)證券化基礎(chǔ)理論、商業(yè)銀行風(fēng)險(xiǎn)管理理論及信用風(fēng)險(xiǎn)轉(zhuǎn)移理論做了梳理。 第三章論述了國內(nèi)外信貸資產(chǎn)證券化現(xiàn)狀。首先對(duì)比了國內(nèi)外信貸資產(chǎn)證券化的發(fā)展現(xiàn)狀,詳細(xì)介紹了我國一波三折的信貸資產(chǎn)證券化的發(fā)展歷程,從SPV(特殊目的機(jī)構(gòu))的組織架構(gòu)形式和處理基礎(chǔ)資產(chǎn)的方式、資產(chǎn)證券化的發(fā)展模式選擇、資產(chǎn)證券化過程中的法律安排及資產(chǎn)證券化產(chǎn)品的市場(chǎng)交易量等幾方面詳盡對(duì)比了國內(nèi)外的異同點(diǎn)；其次,分析了我國信貸資產(chǎn)證券化市場(chǎng)環(huán)境與法律制度,肯定了相關(guān)部門自試點(diǎn)工作以來為信貸資產(chǎn)證券化發(fā)展所付出的努力；再次,基于信息不對(duì)稱與道德風(fēng)險(xiǎn)的視角分析了我國信貸資產(chǎn)證券化存在問題及其原因。第四章主要分析了中小企業(yè)信貸資產(chǎn)證券化的風(fēng)險(xiǎn)。首先分析了一般企業(yè)信貸資產(chǎn)證券化的風(fēng)險(xiǎn)；其次探討了中小企業(yè)信貸資產(chǎn)化的特有風(fēng)險(xiǎn),特別是探討了中小企業(yè)“兩權(quán)”質(zhì)押貸款與固定資產(chǎn)抵押貸款資產(chǎn)證券化風(fēng)險(xiǎn)；再次分析了中小企業(yè)信貸資產(chǎn)證券風(fēng)險(xiǎn)評(píng)估模型及度量；最后基于上述分析提出了中小企業(yè)信貸資產(chǎn)證券化的風(fēng)險(xiǎn)管理策略。 第五章分析中小企業(yè)信貸資產(chǎn)證券化信用風(fēng)險(xiǎn)轉(zhuǎn)移機(jī)制及影響。首先分析了銀行之所以能夠借助資產(chǎn)證券化將信用風(fēng)險(xiǎn)轉(zhuǎn)移至投資者處的原因,主要是依賴資產(chǎn)池的資產(chǎn)組合、SPV風(fēng)險(xiǎn)隔離及結(jié)構(gòu)轉(zhuǎn)換；其次是從三個(gè)角度分析了該類產(chǎn)品在證券化過程中的風(fēng)險(xiǎn)放大效應(yīng)。接著對(duì)國內(nèi)銀行通過發(fā)行理財(cái)、信托產(chǎn)品進(jìn)行信用風(fēng)險(xiǎn)轉(zhuǎn)移的數(shù)據(jù)建立面板數(shù)據(jù)進(jìn)行分析,考量銀行進(jìn)行信用風(fēng)險(xiǎn)轉(zhuǎn)移是否會(huì)導(dǎo)致銀行信貸規(guī)模擴(kuò)張、風(fēng)險(xiǎn)水平增加和收益水平改善；通過對(duì)上海清算所信貸資產(chǎn)支持證券發(fā)行、托管數(shù)據(jù)的統(tǒng)計(jì)分析來考察我國信貸資產(chǎn)證券化市場(chǎng)中的信用風(fēng)險(xiǎn)轉(zhuǎn)移水平、趨勢(shì)。上述分析目的是預(yù)估推行中小企業(yè)信貸資產(chǎn)證券化后對(duì)各類銀行行為、風(fēng)險(xiǎn)水平的影響。 第六章是在前面章節(jié)分析的基礎(chǔ)上,以案例形式分別分析了浙商銀行2008年第一中小企業(yè)信貸資產(chǎn)證券化產(chǎn)品(下稱浙元一期)、東證資管-阿里巴巴的專項(xiàng)計(jì)劃的中小微企業(yè)的信貸資產(chǎn)支持證券(下稱東證資管-阿里巴巴專項(xiàng)資產(chǎn)管理計(jì)劃),本章著重從基礎(chǔ)資產(chǎn)池情況、貸款組合情況分析了前者。其次,進(jìn)一步以浙元一期為例展開分析了產(chǎn)品的信用風(fēng)險(xiǎn)轉(zhuǎn)移的特征,該部分借鑒了產(chǎn)品評(píng)估報(bào)告中詳實(shí)的數(shù)據(jù),分析了信用風(fēng)險(xiǎn)在銀行機(jī)構(gòu)體系內(nèi)及跨部門轉(zhuǎn)移情況,使理論得到實(shí)踐的檢驗(yàn),進(jìn)一步深化了論文主題。 第七章為中小企業(yè)信貸資產(chǎn)證券化創(chuàng)新思考及政策建議。本章在總結(jié)上述六章分析的基礎(chǔ)上,肯定了我國建設(shè)信用風(fēng)險(xiǎn)轉(zhuǎn)移市場(chǎng)具有良好的環(huán)境,政府制定了對(duì)于信用風(fēng)險(xiǎn)轉(zhuǎn)移的支持政策,近十年開展了包括中小企業(yè)信貸資產(chǎn)證券化在內(nèi)的信用風(fēng)險(xiǎn)轉(zhuǎn)移試點(diǎn)工作,已經(jīng)顯現(xiàn)出了市場(chǎng)對(duì)信用風(fēng)險(xiǎn)轉(zhuǎn)移工具的巨大需求,以及我國為完善的金融市場(chǎng)環(huán)境所作出的努力。在看到市場(chǎng)巨大發(fā)展前景時(shí),我們也必須面對(duì)信用轉(zhuǎn)移工具發(fā)展中存在的問題,所以論文從從法律制度創(chuàng)新、參與者的組織創(chuàng)新及市場(chǎng)交易結(jié)構(gòu)創(chuàng)新等方面進(jìn)行了創(chuàng)新思考,以求為實(shí)踐提供理論指導(dǎo),當(dāng)然如何建設(shè)完善的信用風(fēng)險(xiǎn)轉(zhuǎn)移市場(chǎng)是任重而道遠(yuǎn)。本章就建立完善的CRT法律體系、培育充滿活力的信用風(fēng)險(xiǎn)轉(zhuǎn)移市場(chǎng)體系、完善產(chǎn)品定價(jià)、提升信用增級(jí)技術(shù)以及加快CRT市場(chǎng)監(jiān)管創(chuàng)新步伐等方面提出了相關(guān)政策建議。
[Abstract]:Small and medium-sized enterprises are important forces to promote the development of national economy, construct market economic system and promote economic stability, especially in order to ensure the moderate growth of national economy, relieve employment pressure and optimize economic structure. It is the stubborn disease of China's economic development, which affects the sustained and healthy development of the economy. Especially after the financial crisis in 2008, the contradiction between the increasingly vigorous financing needs of small and medium-sized enterprises and the unbalanced allocation of financial resources has become more acute.
In order to solve the financing difficulties of SMEs, the central bank made it clear in 2011 that it would actively promote the securitization of SMEs'credit assets; in 2013, the State Council executive meeting decided to further expand the pilot project of securitization of SMEs' credit assets and activate funds for the development of SMEs. From 2000 to 2007, a total of 190 billion Euros of SMEs mortgage securities have been issued. In 2008, Zhejiang Commercial Bank issued the first SMEs credit asset securitization product. The results show that by securitizing SMEs'credit assets, the liquidity of assets has been improved, and the capital has been released, and the banks can obtain it. It also helps to reduce the cost of loans for SMEs. However, SMEs'loans are non- "high-quality assets" compared with large-scale enterprises' loans, and the uncertainty of risks is more complex, which objectively affects the issuance of SMEs. Different from the SMEs'credit asset securitization products issued by traditional financial institutions, the Internet financial institutions represented by Alibaba launched the first domestic SMEs and Internet entrepreneurs sponsored by brokerages in 2013 without guarantee. Credit asset securitization products, this single product is to bypass the banking system on the Internet platform, the use of large data and cloud computing technology to identify and judge the credit risk of loans, such risks
It may be different from the traditional banking institutions in the transfer of credit risk, and presents different characteristics. So how to design a set of feasible and effective wind control system according to the risk characteristics is the key to the implementation of SMEs credit asset securitization.
Based on the above understanding, this paper uses the method of combining theoretical analysis with empirical analysis to make a comparative analysis of the status quo, market environment, legal arrangements and development model of SMEs'credit asset securitization at home and abroad, to clarify the future development ideas of China, to summarize the characteristics of SMEs' credit asset securitization risk and to propose corresponding measures for controlling the risk. On this basis, this paper discusses the impact of credit risk transfer on the financial system caused by SMEs'credit asset securitization, and verifies the above analysis conclusion with a case study. Finally, it puts forward policy recommendations for the development and risk control of SMEs' credit asset securitization in China.
The full text consists of seven chapters.
The first chapter explains the research ideas, contents, possible innovations and shortcomings of this paper. The second chapter combs the basic theory of asset securitization, the theory of risk management of commercial banks and the theory of credit risk transfer.
Chapter 3 discusses the current situation of credit asset securitization at home and abroad. Firstly, the paper compares the development status of credit asset securitization at home and abroad, and introduces the development process of credit asset securitization in China in detail, including the organizational structure of SPV (Special Purpose Organization) and the way to deal with basic assets, and the development model of asset securitization. Choice, the legal arrangement in the process of asset securitization and the market transaction volume of asset securitization products are compared in detail. Secondly, the market environment and legal system of credit asset securitization in China are analyzed, and the efforts of relevant departments for the development of credit asset securitization since the pilot work are affirmed. Thirdly, based on the perspective of information asymmetry and moral hazard, this paper analyzes the problems and causes of credit asset securitization in China. Chapter 4 mainly analyzes the risks of credit asset securitization in SMEs. Risk, especially the "two rights" mortgage loan and fixed assets mortgage asset securitization risk of SMEs are discussed. The risk assessment model and measurement of SMEs'credit asset securities are analyzed again. Finally, the risk management strategy of SMEs' credit asset securitization is put forward based on the above analysis.
The fifth chapter analyzes the credit risk transfer mechanism and its impact of SMEs'credit asset securitization. Firstly, it analyzes the reasons why banks can transfer credit risk to investors by means of asset securitization, mainly relying on asset pool portfolio, SPV risk isolation and structural transformation; secondly, it analyzes this kind of risk from three angles. Secondly, the paper analyzes the data of domestic banks'credit risk transfer by issuing financial management and trust products, and establishes panel data to consider whether the credit risk transfer will lead to the expansion of bank credit scale, the increase of risk level and the improvement of income level. The purpose of the above analysis is to predict the impact of SMEs'credit asset securitization on various bank behaviors and risk levels.
Chapter 6 is based on the analysis of the preceding chapters, and analyzes the credit asset-backed securities of SMEs (hereinafter referred to as SMEs Credit Asset Securitization Product No. 1 (hereinafter referred to as Zhejiang Yuan Phase I) and SMEs (hereinafter referred to as SMEs Credit Asset-backed Securities) of the East Securities Management-Alibaba Special Program (hereinafter referred to as East Secondly, taking Zheyuan Phase I as an example, the paper analyzes the characteristics of credit risk transfer of products. This part draws on the detailed data in the product evaluation report, analyzes the credit risk transfer in the banking system and inter-departmental situation, so as to make the theory. The examination of practice further deepened the theme of the paper.
Chapter 7 is the innovative thinking and policy suggestions of SMEs'credit asset securitization. On the basis of summing up the analysis of the above six chapters, this chapter affirms that China has a good environment for building credit risk transfer market, the government has formulated the support policy for credit risk transfer, and has carried out the credit asset securitization including SMEs in the past decade. The credit risk transfer pilot work, including the credit risk transfer, has shown the huge demand of the market for credit risk transfer tools, as well as China's efforts to improve the financial market environment. Innovation, participants'organizational innovation and market transaction structure innovation are innovative thinking in order to provide theoretical guidance for practice, of course, how to build a perfect credit risk transfer market is a long way to go. Some policy suggestions are put forward on pricing, upgrading credit enhancement technology and accelerating the pace of CRT market supervision innovation.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F276.3;F832.51

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3 本報(bào)見習(xí)記者 肖懷洋;信貸資產(chǎn)證券化謹(jǐn)慎前行 中行月末將發(fā)行31億元[N];證券日?qǐng)?bào);2012年

4 ;我國信貸資產(chǎn)證券化產(chǎn)品從未違約[N];中國保險(xiǎn)報(bào);2013年

5 本報(bào)記者 任曉　實(shí)習(xí)記者 毛萬熙;央行官員：推動(dòng)信貸資產(chǎn)證券化業(yè)務(wù)常規(guī)化[N];中國證券報(bào);2013年

6 本報(bào)記者 陳瑩瑩;信貸資產(chǎn)證券化將轉(zhuǎn)為常態(tài)[N];中國證券報(bào);2013年

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8 招銀國際資產(chǎn)管理有限公司投資董事 鄭磊;信貸資產(chǎn)證券化有三大“水土不服”[N];證券日?qǐng)?bào);2013年

9 記者 李靜瑕　洪偌馨;信貸資產(chǎn)證券化擴(kuò)容預(yù)期升溫：爭(zhēng)議“銀證合作”模式[N];第一財(cái)經(jīng)日?qǐng)?bào);2013年

10 王宇　王培偉;信貸資產(chǎn)證券化擴(kuò)容影響幾何[N];國際商報(bào);2013年

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1 楊光;CRT視角下中小企業(yè)信貸資產(chǎn)證券化研究[D];南開大學(xué);2014年

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5 周華;信貸資產(chǎn)證券化的理論與應(yīng)用研究[D];東北農(nóng)業(yè)大學(xué);2000年

6 張政;對(duì)信貸資產(chǎn)證券化中幾個(gè)問題的研究[D];南京農(nóng)業(yè)大學(xué);2000年

7 李剛;商業(yè)銀行信貸資產(chǎn)證券化分析與運(yùn)用[D];武漢大學(xué);2004年

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