發(fā)布時間：2018-07-15 18:00

【摘要】：從上個世紀七十年代開始,資產(chǎn)證券化就已經(jīng)在世界金融創(chuàng)新領(lǐng)域占有重要的位置。從宏觀或者微觀角度分析,資產(chǎn)證券化的重要性都毋庸置疑。從前者看,它具有優(yōu)化資源配置的優(yōu)點,進而提高效率,商業(yè)銀行的資金結(jié)構(gòu)也能在此基礎(chǔ)上得以改善,使投資者具有多樣化的投資選擇。在歐美等發(fā)達國家,論規(guī)模而言,資產(chǎn)證券化債券的融資規(guī)模已經(jīng)高于公司發(fā)行的債券,這表明證券化發(fā)展越來越成熟。在這種環(huán)境下,資產(chǎn)證券化也出現(xiàn)了一些不足之處,這使得創(chuàng)造者違背了初始動機,而且證券化產(chǎn)品的實際效應(yīng)也發(fā)生了變化。本文以我國商業(yè)銀行信貸資產(chǎn)證券化為研究對象,在現(xiàn)有研究的基礎(chǔ)之上,對資產(chǎn)證券化的相關(guān)概念進行了闡述,使用現(xiàn)金流分析原理、風險隔離原理、資產(chǎn)重組原理、信用增加原理等為理論基礎(chǔ),先從理論上分析了信貸資產(chǎn)證券化的效應(yīng)機制,總結(jié)了我國商業(yè)銀行信貸資產(chǎn)證券化的基礎(chǔ)資產(chǎn)特點,再選擇是否資產(chǎn)證券化作為被解釋變量,流動比率、存貸比、資本充足率等六個變量為解釋變量,銀行規(guī)模作為控制變量構(gòu)建了Probit模型,以半年為一個統(tǒng)計周期,選用我國9家商業(yè)銀行2011年-2015年的數(shù)據(jù)進行了實證分析,結(jié)果表明本次研究所選的解釋變量與商業(yè)銀行資產(chǎn)證券化行為的關(guān)系符合預(yù)期研究假設(shè),并給出了六點政策建議,這對我國資產(chǎn)證券化的發(fā)展有著重要的理論意義。
[Abstract]:Since the 1970s, asset securitization has occupied an important position in the field of financial innovation in the world. From the macro or micro point of view, the importance of asset securitization is beyond doubt. From the former, it has the advantages of optimizing the allocation of resources, and then improving the efficiency, the capital structure of commercial banks can also be improved on this basis, so that investors have a variety of investment options. In developed countries such as Europe and America, the financing scale of asset securitization bonds is higher than that of corporate bonds, which indicates that securitization is becoming more and more mature. In this environment, asset securitization also has some shortcomings, which makes the creator violate the initial motive, and the actual effect of securitization products has also changed. This paper takes the credit asset securitization of the commercial bank of our country as the research object, on the basis of the existing research, has carried on the elaboration to the asset securitization related concept, uses the cash flow analysis principle, the risk isolation principle, the asset reorganization principle, Based on the theory of credit increase, this paper first analyzes the effect mechanism of credit asset securitization, summarizes the basic asset characteristics of credit asset securitization of commercial banks in China, and then selects whether asset securitization is the explanatory variable. Six variables, such as current ratio, deposit / loan ratio and capital adequacy ratio, are used as explanatory variables. The probit model is constructed by using bank size as control variable. The data of 9 commercial banks in China from 2011 to 2015 are selected for empirical analysis. The results show that the relationship between the explanatory variables selected in this study and the behavior of asset securitization of commercial banks is in line with the expected research hypothesis, and six policy recommendations are given. This is of great theoretical significance to the development of asset securitization in China.
【學(xué)位授予單位】：遼寧大學(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：2124902