發(fā)布時間：2018-05-01 08:19

  本文選題：信用風險 + 貸款證券化　； 參考：《復旦大學》2013年碩士論文

【摘要】：2012年5月17日,財政部、人民銀行和銀監(jiān)會聯合發(fā)布了《關于進一步擴大信貸資產證券化試點有關事項的通知》,由于全球金融危機被叫停5年的貸款證券化業(yè)務試點重新開啟。貸款證券化業(yè)務從推出開始,就一直被認為是一種轉移信用風險的工具,對降低商業(yè)銀行信用風險能起到積極作用。但是,作為抵押支持債券的一種,信用違約掉期(Credit Default Swap, CDS)則被認為是導致全球金融危機的罪魁禍首。關于貸款證券化的文獻,也呈現很明顯的分化：2007年以前,支持貸款證券化的占大多數,2007年以后,反對貸款證券化的占大多數。那么,貸款證券化對化解商業(yè)銀行信用風險究竟是有利還是有害?中國重啟貸款證券化,是會成為商業(yè)銀行大發(fā)展的契機,還是導致新一輪的金融危機?本文試圖從理論和實證兩個方面,論述貸款證券化對商業(yè)銀行信用風險產生的影響,并根據實證分析結果,結合中國實際情況,探討推廣貸款證券化的政策建議。本文首先介紹了貸款證券化的歷史和特征,著重介紹了貸款證券化在中國的發(fā)展史,包括起源,發(fā)展階段及其里程碑。第二章對貸款證券化如何影響商業(yè)銀行信用風險進行了理論分析,從四個方面分析貸款證券化是如何化解商業(yè)銀行信用風險的：一、信用風險轉移從而降低不良貸款率；二、縮短貸款平均期限從而降低期限錯配；三、提高商業(yè)銀行資本充足率；四、強制要求商業(yè)銀行披露信息,倒逼商業(yè)銀行改善經營狀況,客觀上降低信用風險。第三章,通過對美國市場2000-2012年48個季度超過35000個樣本進行因果關系檢驗,驗證了貸款證券化規(guī)模增大會提高資本充足率和風險管理能力。接下來,對中國市場數據進行回歸分析,驗證了貸款證券化率對不良貸款比率呈反向關系,與不良貸款撥備覆蓋率呈正向關系,即,貸款證券化規(guī)模擴大,可以降低不良貸款比率,提高不良貸款撥備。最后,本文分析了我國商業(yè)銀行現存的信用風險問題,逐條分析通過貸款證券化來化解這些問題的可行性,并提出監(jiān)管與政策意見。本文的主要貢獻在于：結合中國實際,提出了貸款證券化對中國商業(yè)銀行信用風險的影響機制,對美國和中國市場進行了實證分析,并對分析的結果進行了驗證。本文的不足在于：由于國內市場缺乏數據,無法進行進一步的實證分析。
[Abstract]:On May 17, 2012, the Ministry of Finance, the people's Bank of China and the Banking Regulatory Commission jointly issued the notice on the further expansion of the pilot project of credit asset securitization, which was reopened because of the global financial crisis, when the pilot business of loan securitization was suspended for five years. Loan securitization has been regarded as a tool to transfer credit risk from the beginning of loan securitization, which can play a positive role in reducing credit risk of commercial banks. But credit default swap Credit Default Swapa, a mortgage-backed bond, is blamed for the global financial crisis. The literature on loan securitization also shows obvious differentiation: before 2007, the majority supported loan securitization, after 2007, the majority opposed loan securitization. So, loan securitization is beneficial or harmful to dissolving the credit risk of commercial bank. Will the resumption of loan securitization in China become an opportunity for the development of commercial banks or will it lead to a new round of financial crisis? This paper attempts to discuss the impact of loan securitization on the credit risk of commercial banks from both theoretical and empirical aspects, and based on the results of empirical analysis, combined with the actual situation in China, discusses the policy recommendations to promote loan securitization. This paper first introduces the history and characteristics of loan securitization, focusing on the development history of loan securitization in China, including the origin, development stage and milestone. The second chapter analyzes how loan securitization affects the credit risk of commercial banks theoretically, and analyzes how loan securitization can resolve the credit risk of commercial banks from four aspects: first, the transfer of credit risk to reduce the non-performing loan rate; second, Shortening the average term of loans to reduce term mismatch; third, raising the capital adequacy ratio of commercial banks; fourth, forcing commercial banks to disclose information, forcing commercial banks to improve their operating conditions, and objectively reducing credit risk. In chapter 3, the causality test of more than 35000 samples in 48 quarters from 2000 to 2012 proves that the increase of loan securitization scale will improve the capital adequacy ratio and risk management ability. Then, the regression analysis of the Chinese market data shows that the loan securitization rate has a reverse relationship with the non-performing loan ratio, and has a positive relationship with the non-performing loan provision coverage, that is, the scale of loan securitization is enlarged. It can reduce the non-performing loan ratio and raise the provision for non-performing loans. Finally, this paper analyzes the existing credit risk problems of commercial banks in China, analyzes the feasibility of solving these problems through loan securitization, and puts forward some suggestions on supervision and policy. The main contributions of this paper are as follows: combined with the reality of China, this paper puts forward the influence mechanism of loan securitization on the credit risk of Chinese commercial banks, makes an empirical analysis on the American and Chinese markets, and verifies the results of the analysis. The deficiency of this paper lies in: because the domestic market lacks the data, cannot carry on the further empirical analysis.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F832.33

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相關期刊論文 前1條

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本文編號：1828502