發(fā)布時(shí)間：2018-11-12 12:54

【摘要】：信貸資產(chǎn)證券化將流動(dòng)性較差的資產(chǎn)打包證券化并在公開(kāi)交易的市場(chǎng)發(fā)行獲取流動(dòng)性,是商業(yè)銀行解決資金不足等問(wèn)題的方法之一。我國(guó)的資產(chǎn)證券化的發(fā)展經(jīng)歷了試點(diǎn)、暫停、重啟、爆發(fā)多個(gè)階段,自從2012年業(yè)務(wù)重啟以來(lái),資產(chǎn)證券化產(chǎn)品的存量和發(fā)行量均不斷刷新紀(jì)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(xiǎn)。2007年爆發(fā)的美國(guó)次貸危機(jī),資產(chǎn)證券化產(chǎn)品的信用風(fēng)險(xiǎn)其爆發(fā)是重要的導(dǎo)火索之一。因此,在不斷推進(jìn)我國(guó)資產(chǎn)證券化進(jìn)程的同時(shí),應(yīng)對(duì)資產(chǎn)證券化產(chǎn)品蘊(yùn)含的信用風(fēng)險(xiǎn)需進(jìn)行科學(xué)測(cè)度與計(jì)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(xiǎn),并對(duì)相關(guān)信用風(fēng)險(xiǎn)計(jì)量模型進(jìn)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(duì)商業(yè)銀行產(chǎn)生的效應(yīng);第四章運(yùn)用模型對(duì)我國(guó)已發(fā)行上市交易的信貸資產(chǎn)支持證券產(chǎn)品進(jìn)行實(shí)證檢驗(yàn),并與市場(chǎng)上認(rèn)可度較高的評(píng)級(jí)機(jī)構(gòu)給出的評(píng)級(jí)結(jié)果對(duì)比,得出我國(guó)相關(guān)資產(chǎn)證券化產(chǎn)品的信用風(fēng)險(xiǎn)程度;第五章總結(jié)理論和實(shí)證結(jié)果,針對(duì)我國(guó)商業(yè)銀行資產(chǎn)證券化產(chǎn)品的存在一些問(wèn)題,分析相關(guān)原因并提出了政策建議。經(jīng)過(guò)對(duì)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(jìn)行實(shí)證檢驗(yàn),發(fā)現(xiàn)我國(guó)已經(jīng)發(fā)行的信貸資產(chǎn)支持證券信用風(fēng)險(xiǎn)處于較低的水平,是安全可靠的投資標(biāo)的,且相對(duì)收益也較可觀。與此同時(shí),也發(fā)現(xiàn)銀行間市場(chǎng)交易不活躍,資產(chǎn)支持證券未全部實(shí)現(xiàn)風(fēng)險(xiǎn)隔離等問(wèn)題。因此,解決這些問(wèn)題還需要我國(guó)不斷完善相關(guān)證券發(fā)行制度、開(kāi)拓交易市場(chǎng)、擴(kuò)大參與者群體,推進(jìn)我國(guó)信貸資產(chǎn)證券化業(yè)務(wù)的深入開(kāi)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(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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