【摘要】：信貸資產(chǎn)證券化將流動性較差的資產(chǎn)打包證券化并在公開交易的市場發(fā)行獲取流動性,是商業(yè)銀行解決資金不足等問題的方法之一。我國的資產(chǎn)證券化的發(fā)展經(jīng)歷了試點、暫停、重啟、爆發(fā)多個階段,自從2012年業(yè)務(wù)重啟以來,資產(chǎn)證券化產(chǎn)品的存量和發(fā)行量均不斷刷新紀錄,前景光明。但是資產(chǎn)證券化畢竟是金融衍生品,其本身也存在著風(fēng)險。2007年爆發(fā)的美國次貸危機,資產(chǎn)證券化產(chǎn)品的信用風(fēng)險其爆發(fā)是重要的導(dǎo)火索之一。因此,在不斷推進我國資產(chǎn)證券化進程的同時,應(yīng)對資產(chǎn)證券化產(chǎn)品蘊含的信用風(fēng)險需進行科學(xué)測度與計量。本文結(jié)構(gòu)分為五章:第一章主要介紹了相關(guān)的理論及研究成果;第二章分析了商業(yè)銀行所面臨的各類風(fēng)險,并對相關(guān)信用風(fēng)險計量模型進行分析;第三章論證了資產(chǎn)證券化的業(yè)務(wù)流程及其對商業(yè)銀行產(chǎn)生的效應(yīng);第四章運用模型對我國已發(fā)行上市交易的信貸資產(chǎn)支持證券產(chǎn)品進行實證檢驗,并與市場上認可度較高的評級機構(gòu)給出的評級結(jié)果對比,得出我國相關(guān)資產(chǎn)證券化產(chǎn)品的信用風(fēng)險程度;第五章總結(jié)理論和實證結(jié)果,針對我國商業(yè)銀行資產(chǎn)證券化產(chǎn)品的存在一些問題,分析相關(guān)原因并提出了政策建議。經(jīng)過對已發(fā)行的信貸資產(chǎn)證券化產(chǎn)品歷史估值數(shù)據(jù)進行實證檢驗,發(fā)現(xiàn)我國已經(jīng)發(fā)行的信貸資產(chǎn)支持證券信用風(fēng)險處于較低的水平,是安全可靠的投資標的,且相對收益也較可觀。與此同時,也發(fā)現(xiàn)銀行間市場交易不活躍,資產(chǎn)支持證券未全部實現(xiàn)風(fēng)險隔離等問題。因此,解決這些問題還需要我國不斷完善相關(guān)證券發(fā)行制度、開拓交易市場、擴大參與者群體,推進我國信貸資產(chǎn)證券化業(yè)務(wù)的深入開展。
[Abstract]:Credit asset securitization is one of the ways for commercial banks to solve the problem of shortage of funds by packaging and securitizing illiquid assets and issuing them in the publicly traded market. The development of asset securitization in our country has experienced pilot, suspended, restarted, and broke out many stages. Since the restart of business in 2012, the stock and circulation of asset securitization products have constantly set new records, and the prospects are bright. However, asset securitization is a financial derivative, and there are risks in itself. The credit risk of asset securitization products is one of the important triggers in the subprime mortgage crisis in the United States in 2007. Therefore, while continuously promoting the process of asset securitization in China, the credit risk contained in asset securitization products should be scientifically measured and measured. The structure of this paper is divided into five chapters: the first chapter mainly introduces the relevant theories and research results, the second chapter analyzes the various risks faced by commercial banks, and analyzes the relevant credit risk measurement model. The third chapter demonstrates the business process of asset securitization and its effect on commercial banks. The fourth chapter uses the model to test the credit asset-backed securities products which have been issued and traded in China, and compares them with the rating results given by the highly recognized rating agencies in the market. The degree of credit risk of securitization products in China is obtained. The fifth chapter summarizes the theoretical and empirical results, analyzes the relevant reasons and puts forward some policy recommendations in view of the problems existing in the asset securitization products of commercial banks in China. Through the empirical test on the historical valuation data of the issued credit asset securitization products, it is found that the credit risk of the issued credit asset backed securities in China is at a low level and is a safe and reliable investment target. And the relative income is also considerable. At the same time, we also find that the interbank market is not active, and the asset-backed securities are not completely risk-segregated. Therefore, to solve these problems, we still need to improve the relevant securities issuance system, open up the trading market, expand the group of participants, and promote the further development of credit asset securitization business in China.
【學(xué)位授予單位】：華中師范大學(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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