资产证券化信用风险影响因素研究

发布时间：2018-02-09 08:27

本文关键词： 资产证券化信用风险有限理性人政策风险影响因素　出处：《广东外语外贸大学》2013年硕士论文　论文类型：学位论文

【摘要】：资产证券化具有改善资本结构、提高流动性和分散风险的功能，是国际资本市场广泛采用的融资方式，但其信用风险的防范一直被忽略。在金融危机爆发后，资产证券化的信用风险得到了政府及学者的关注和研究。我国2005年逐步引入资产证券化进行金融创新，但是由于相应的法律法规尚未健全，金融市场制度仍待完善，，资产证券化的操作和运行都存在较大的信用风险。基于我国资产证券化是政府主导下进行的金融创新，在我国特殊国情下，哪些因素影响资产证券化的信用风险是本文的研究重点。本文在系统地分析了资产证券化及信用风险的内涵、资产证券化产品类型、制度设置及其发展的动因，在总结前人文献以及理论的基础上，引入“有限理性人”等理论，先后分析了影响资产证券化信用风险的普遍因素和影响我国资产证券化信用风险的特殊因素，认为影响资产证券化的信用风险的普遍因素包括：利率、信息不对称、发起人及评级机构道德风险、监管缺失、公允价值计量方法、资产证券化产品过度创新等；而政府过度干预市场行为而产生的政策风险、权力寻租行为是影响我国资产证券信用风险特殊因素。文章其次本文以“建元2005-1个人住房抵押贷款证券化”为案例，在规范分析相关影响住房抵押贷款证券化信用风险的基础上，通过多元线性回归模型对影响该住房抵押贷款证券信用风险的宏观因素进行分析，发现对于政府采用利率手段会使得借款人产生逆向选择，当期违约率与利率成负相关关系，而与滞后一期的利率成正相关关系，与通货膨胀状况呈正相关关系，而房地产发展状况成负相关关系。文章最后从政府层面提出防范信用风险的相关建议，如科学定位资产证券化监管工作中政府和监管部门的职责，借鉴巴塞尔信用评级制度，培育自主品牌评级机构，构建完善的信用评级体系，建立完善的个人征信体系，将政府的宏观调控政策纳入信用风险管理的范围，加强信息披露，改善资产证券化信息不对称局面。
[Abstract]:Asset securitization has the functions of improving capital structure, increasing liquidity and dispersing risk. It is widely used in international capital market, but its credit risk prevention has been ignored. The credit risk of asset securitization has been concerned and studied by the government and scholars. In 2005, our country gradually introduced asset securitization for financial innovation, but because the corresponding laws and regulations have not been perfected, the financial market system still needs to be perfected. The operation and operation of asset securitization have great credit risk. Based on the fact that asset securitization is a financial innovation under the guidance of the government in our country, What factors affect the credit risk of asset securitization is the focus of this paper. This paper systematically analyzes the connotation of asset securitization and credit risk, the types of asset securitization products, the system setting and the reasons for its development. On the basis of summarizing the previous literatures and theories, this paper introduces the theory of "limited rational person". This paper analyzes the common factors that affect the credit risk of asset securitization and the special factors that affect the credit risk of asset securitization in China. The author thinks that the common factors influencing the credit risk of asset securitization include interest rate, asymmetric information. Sponsors and rating agencies' moral hazard, lack of supervision, fair value measurement, excessive innovation of asset securitization products, and policy risks arising from excessive government intervention in market behavior, Power rent-seeking is a special factor that affects the credit risk of assets and securities in China. Secondly, this paper takes Jianyuan 2005-1 personal Mortgage Securitization as a case, and analyzes the credit risk of Mortgage Securitization on the basis of normative analysis. By using multiple linear regression model, this paper analyzes the macro factors that affect the credit risk of the mortgage-backed securities. It is found that the government adopts interest rate to make the borrower adverse selection, and the current default rate has a negative correlation with the interest rate. But it has a positive correlation with the interest rate in a lag period, a positive correlation with the inflation situation, and a negative correlation with the development of real estate. Finally, the paper puts forward some suggestions to prevent credit risk from the government level, such as scientifically positioning the responsibility of the government and the regulatory department in the supervision of asset securitization, drawing lessons from the Basel credit rating system, and cultivating the independent brand rating agencies. We should build a perfect credit rating system, establish a perfect personal credit system, bring the government's macro-control policy into the scope of credit risk management, strengthen information disclosure, and improve the asymmetric situation of asset securitization information.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

【相似文献】