本文選題：中國(guó)信貸資產(chǎn)證券化　切入點(diǎn)：信用風(fēng)險(xiǎn)評(píng)估　出處：《上海交通大學(xué)》2013年碩士論文

【摘要】：隨著中國(guó)利率市場(chǎng)化的步步推進(jìn)，傳統(tǒng)的銀行信貸業(yè)務(wù)正受到越來(lái)越大的沖擊。如何轉(zhuǎn)型尋找新的利潤(rùn)增長(zhǎng)點(diǎn)，這是近年來(lái)許多銀行管理層都在思考的問(wèn)題，而信貸資產(chǎn)證券化，從長(zhǎng)期而言，定是這其中不可或缺的業(yè)務(wù)之一。 正是在此背景下，，2012年央行、銀監(jiān)會(huì)和財(cái)政部聯(lián)合發(fā)布了《關(guān)于進(jìn)一步擴(kuò)大信貸資產(chǎn)證券化試點(diǎn)有關(guān)事項(xiàng)的通知》，正式重啟信貸資產(chǎn)證券化業(yè)務(wù)。信貸資產(chǎn)證券化的重啟，對(duì)于商業(yè)銀行和金融市場(chǎng)而言，在提供了新的業(yè)務(wù)品種和投資產(chǎn)品的同時(shí)，也提出了新的問(wèn)題：未來(lái)如何為銀行信貸資產(chǎn)證券化產(chǎn)品定價(jià)，如何評(píng)估其信用風(fēng)險(xiǎn)等等,這些都會(huì)成為市場(chǎng)和社會(huì)公眾所關(guān)注的問(wèn)題，因此研究中國(guó)信貸資產(chǎn)證券化的信用風(fēng)險(xiǎn)問(wèn)題具有相當(dāng)大的現(xiàn)實(shí)意義。 本論文將中國(guó)與西方成熟市場(chǎng)的信貸資產(chǎn)證券化產(chǎn)品進(jìn)行比較，對(duì)中國(guó)信貸資產(chǎn)證券化的特點(diǎn)進(jìn)行詳盡地分析，在此基礎(chǔ)上，本文進(jìn)一步討論了CreditMetrics模型和KMV模型在中國(guó)資產(chǎn)證券化產(chǎn)品風(fēng)險(xiǎn)評(píng)估中的適用性，并根據(jù)中國(guó)金融市場(chǎng)的特點(diǎn)對(duì)模型進(jìn)行了微調(diào)，最后論文將微調(diào)后的模型套用到案例中進(jìn)行可行性的驗(yàn)證。本文對(duì)信貸資產(chǎn)證券化在中國(guó)市場(chǎng)環(huán)境中的風(fēng)險(xiǎn)評(píng)估和管理有一定參考價(jià)值。
[Abstract]:With the development of interest rate marketization in China, the traditional bank credit business is being impacted more and more.How to transform to find new profit growth is a problem that many bank management have been thinking about in recent years, and credit asset securitization is one of the indispensable business in the long run.It is against this background that the Central Bank, the Banking Regulatory Commission and the Ministry of Finance jointly issued the notice on further expanding the pilot projects of credit asset securitization in 2012 to formally restart the credit asset securitization business.The restart of credit asset securitization, for commercial banks and financial markets, not only provides new business and investment products, but also raises new problems: how to price bank credit asset securitization products in the future.How to evaluate its credit risk and so on, these will become the market and the social public concern question, therefore the research China credit asset securitization credit risk question has the considerable practical significance.This paper compares the credit asset securitization products between China and the western mature market, and analyzes the characteristics of China credit asset securitization in detail.This paper further discusses the applicability of CreditMetrics model and KMV model in the risk assessment of asset securitization products in China, and fine-adjusts the model according to the characteristics of Chinese financial market.Finally, the model after fine-tuning is applied to the case to verify the feasibility.This paper has some reference value for risk assessment and management of credit asset securitization in Chinese market environment.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.4;F832.51;F224

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