资产证券化研究及其风险防范

发布时间：2018-03-25 23:21

本文选题：资产证券化　切入点：微观效应　出处：《江西财经大学》2012年硕士论文

【摘要】：资产证券化是推动经济金融发展的重要动力,是金融创新的重要成果。资产证券化作为一种创新,不仅促进了全世界的金融活动,也加快推进了全球金融一体化。资产证券化最传统的意义主要体现在对传统金融的改变,它促使金融中介向市场化转变,不仅拓宽了资金需求与供给渠道,还提高了资产的市场流动性。它丰富了投资品种,扩大了资本市场的规模,为银行等金融机构提供了多种风险转移工具与资产负债管理工具,将金融市场的运作效率再提升一个档次。经过40余年的发展,资产证券化正逐渐发展成为世界金融市场的主要构成力量。然而,本文研究发现,资产证券化从微观上会改变参与主体的激励机制和信息结构,并且从宏观上影响货币政策的传导并产生系统性风险,这些经济效应很可能产生不良后果,美国次贷危机的爆发正是受这些经济效应的影响而产生的。本文从宏观和微观两个角度对资产证券化风险进行研究和细化分析,为资产证券化的风险防范提供建议。本文的主要内容如下：第一,本文对参与资产证券化过程中的微观个体可能产生的风险进行研究,发现资产证券化会改变参与主体的激励机制。资产证券化产生后,银行的审查激励制度发生了改变,贷款模式从传统的“发起——持有”模式向“发起——销售”模式转变。传统的贷款模式就是银行将资金贷出,这一资产记录在资产负债表中,且不具有流动性；而资产证券化技术产生以后,银行可以先发放贷款,然后将这一资产卖给特殊目的机构收回资金,并且在卖出贷款的同时把信用风险也转移出去,从而形成所谓的“发起——销售”贷款业务模式,通过证券化处理,贷款不再出现在银行的资产负债表上,发起人不再承担借款人是否偿还贷款的风险。两种贷款业务模式的重大差异就表现在银行的贷款审查激励发生了改变,在知道自己发放的贷款可以卖出时,银行不仅没有动力去筛选资信好的借款人,甚至为了赚取收益,抢占市场,主动向资信不良的借款人提供贷款。第二,本文通过研究资产证券化对银行贷款的影响时发现,资产证券化可能使信贷扩张过度,超出政策制定者的预期。当中央银行采取紧缩政策时,资产证券化依然可以扩张信贷,使央行调控无法达到预期目标。另外,由于资产证券化极大的弱化了货币政策的传导效果,它会通过银行的资产负债表增加对于市场利率的冲击,从而导致较低的利率弹性。其次,资产证券化及其链条的拉长,容易造成信息的缺失和不透明,使整个金融体系复杂化,不仅催生了大批中介机构和盈利模式,而且催生了庞大的短期债务市场。显然,资产证券化在宏观方面对经济产生巨大的风险。第三,根据资产证券化在微观和宏观方面对经济产生的风险,笔者认为监管机构应该进行与之相关的一系列改革。首先我们必须增加交易信息的透明,尤其是资产池贷款构成和利息收取的状况,并根据实际情况增加商业银行表外业务的信息披露。在产品细节设计方面,在发行人发行的产品中规定将发行人加入到利益既得方中,增加这一条款的目的是为了防止商业银行在贷款发放过程中放松对被审查人资质的审核。在宏观方面,由于资产证券化的信贷创造功能弱化了货币政策效应,那么我国在推行资产证券化时,必须将其与利率市场化的改革相结合,在按照先贷款、后存款、逐步放开存贷款利率管制的既定路径稳步推进的同时,进一步完善和细化实施路线图。同时鼓励商业银行综合化经营,营造良好的市场氛围,促进商业银行加快转型发展。
[Abstract]:Asset securitization is an important driving force to promote the development of economy and finance, is an important achievement of financial innovation. The asset securitization is a kind of innovation, not only to promote the world's financial activities, also accelerate the integration of global finance. Asset securitization is the most traditional significance is mainly reflected in the traditional financial change, it encourages financial intermediaries to the market transformation, not only broadens the channels of capital supply and demand, but also improve the liquidity of the market. It enriches the variety of investment, expand the scale of the capital market, provide the risk transfer tools and asset liability management tool for banks and other financial institutions, the financial market efficiency to improve a grade after 40 years of development, asset securitization is becoming the main force of the world financial market. However, this study found that the asset securitization from the micro perspective will change The incentive mechanism and the information structure of participants, and the impact of monetary policy from the macro transmission and produce systemic risk, the economic effect is likely to have adverse consequences, the U.S. subprime mortgage crisis is affected by the economic effect produced. This paper analyzed and refined the risk of asset securitization from the macro and the micro two angles, for asset securitization risk prevention suggestions. The main contents are as follows:
First, this paper studied the risk may have on individuals involved in asset securitization, asset securitization that will change the incentive mechanism of participants. Asset securitization has changed after the review of incentive system of banks, loans from the traditional mode of "initiated hold" mode to "launch sales" mode. The traditional lending model is bank lending funds, the assets recorded in the balance sheet, and does not have the liquidity; after the asset securitization technology, banks can make loans, then the assets sold to the SPV to recover the funds, the credit risk is transferred out and at the same time selling loans, thus forming the so-called "launch sales" loan business model, through securitization, loans are no longer in the bank's balance sheet, The sponsors no longer bear the risk if the borrower to repay the loan. The major difference between the two kinds of loan business model is changed in reviewing incentive of bank loan, in that their loans could be sold, the bank not only has the power to select a good credit loan, even in order to earn income, to seize the market, take the initiative to provide bad credit loans to borrowers.
Second, this paper found that impact on bank loans through the study of asset securitization, asset securitization may lead to excessive credit expansion, beyond the policymakers expected. When the central bank tightening policy, asset securitization can still expand credit, make the central bank can not reach the expected goal. In addition, the conduction effect of asset securitization the great weakening of the monetary policy, it will increase the market interest rate shocks through the bank's balance sheet, which leads to lower rates of flexibility. Secondly, the asset securitization and its chain stretched, easy to cause the lack of information and opaque, so that the entire financial system is complicated, not only gave birth to a large number of intermediary institutions and the profit model, and spawned a huge short-term debt market. Obviously, asset securitization in macro aspects have a great risk to the economy.
Third, according to the risk of asset securitization on the economy in the micro and macro aspects, the author thinks that regulators should make a series of reforming. First we must increase transaction information transparency, especially the asset pool loans constitute and the condition of the charge interest, and increase business table information disclosure of commercial banks, according to the actual. In the product detail design, the provisions in the issuer's products issued by the issuer will be added to the interests of both parties, this provision increases the purpose is to prevent the commercial banks in the loan to the audit qualification examination people relax in the process. In the macroscopic aspect, because the asset securitization credit creation function the weakening of the effect of monetary policy, so in the implementation of China's asset securitization, it must be the reform and marketization of interest rate in accordance with the combination of the first loan, after the gradual liberalization of deposit Meanwhile, we must further improve and refine the implementation of the roadmap. At the same time, we encourage the comprehensive operation of commercial banks, create a good market atmosphere, and accelerate the transformation and development of commercial banks.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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