信用卡应收账款资产证券化交易结构及定价研究

发布时间：2018-04-20 01:30

本文选题：信用卡 + 应收账款　；参考：《复旦大学》2012年硕士论文

【摘要】：信用卡应收账款资产证券化在欧美目前已经成为仅次于住房抵押贷款证券化的产品,但在我国,有关信贷资产证券证券化的相关法规直至2005年才发布,此后,中国尚未来得及推出真正的信贷资产证券化产品,全球性的金融危机即告来袭。时至今日,金融危机虽然尚未走远,国内商业银行信用卡业务却迅速发展,大幅增加的信用卡发行量使得信用卡应收账款资产证券化变得逐渐迫切。本文首先回顾了金融资产证券化和信用卡应收账款资产证券化的理论基础、美国应收账款资产证券化的发展历程和次贷危机遭受的影响；然后分析了国内信用卡市场的现状以及推行信用卡应收账款资产证券化的可行性；最后分析了发行信用卡应收账款资产证券化的架构,从发起机构、资产池、特殊目的工具、发行收益凭证、现金流结构、信用增强与信用评级、投资人等层面一一剖析；特别是针对证券产品的定价,结合资本资产定价模型,提出了基于信用卡评分模型的CAPM模型风险因子贝塔值修正的定价方法。本文采用比较研究法、定性和定量相结合、理论研究和实证研究相结合、统计学等方法来开展信用卡应收账款资产证券化可行性分析,提出了具体实施的架构和定价方法及相关建议。
[Abstract]:Asset securitization of credit card accounts receivable has become second only to mortgage securitization in Europe and America at present. However, in China, the relevant laws and regulations on securitization of credit assets were not issued until 2005, since then, China has not had time to launch real credit asset securitisation products, the global financial crisis has hit. Up to now, although the financial crisis has not gone far, the domestic commercial bank credit card business has developed rapidly, and the credit card issuance volume has greatly increased, which makes the securitization of credit card accounts receivable assets become more and more urgent. Firstly, this paper reviews the theoretical basis of financial asset securitization and credit card receivable asset securitization, the development course of American accounts receivable asset securitization and the influence of the subprime mortgage crisis. Then it analyzes the current situation of domestic credit card market and the feasibility of implementing asset securitization of credit card accounts receivable. Finally, it analyzes the structure of issuing credit card receivable asset securitization, from the initiating agency, asset pool, special purpose tool. Issue income certificate, cash flow structure, credit enhancement and credit rating, investors and so on; especially for the pricing of securities products, combined with the capital asset pricing model, This paper presents a pricing method based on credit card scoring model for risk factor Beta correction in CAPM model. This paper uses comparative research, qualitative and quantitative analysis, theoretical and empirical research, statistics and other methods to carry out credit card accounts receivable asset securitization feasibility analysis. Put forward the specific implementation of the framework and pricing methods and related recommendations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.42;F832.51

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