我国银行信贷资产证券化信用风险分析与管理

发布时间：2018-03-24 03:01

本文选题：信贷资产证券化　切入点：信用风险　出处：《上海外国语大学》2012年硕士论文

【摘要】：资产证券化作为一项金融创新产品，在全世界的蓬勃开展已经经历了40年的历程。它给金融市场带来的极大的流动性便利，以及有效分散和转移发起人自身风险的特别机制，，使得这项业务很快得到了市场的肯定和追捧。我国目前正大力发展和完善资本市场，信贷资产证券化不仅有助于提高商业银行的资产流动性，改善资本负债结构，而且有利于分散发起人的信用风险，我国目前客观上存在着实行银行信贷资产证券化的动力因素。然而，2007年爆发的美国次贷危机却给刚刚起步的中国资产证券化敲响了警钟，这场危机以及接踵而来的“金融海啸”使我们看到：金融创新带来众多经济效益和好处的同时，信用风险也更加集中化和复杂化。在积极推行信贷资产证券化的同时，如何系统地分析信用风险，审慎地对待信用风险的管理，无疑是非常有必要的。信贷资产证券化作为资产证券化业务中开展最长久，规模占比最大的一种类型，信用风险蕴含在所有的结构化主体当中，既包括各参与主体，也包括资产池中的资产组合。本文通过对银行信贷资产证券化交易结构、交易流程以及三大原理的定性分析，给出了银行信贷资产证券化这项创新产品的整体面貌和运作机制；通过对银行信贷资产证券化过程中信用风险的特征、转移机制的详细阐述，指出资产池中的基础资产是产生整个银行信贷资产证券化信用风险的根源，同时明确了量化资产池信用风险的三大指标：风险敞口、违约概率以及违约损失率。其中，由于违约概率是各大评级机构进行信用评级的客观评价指标，所以本文重点利用修正的KMV模型对银行信贷资产证券化资产池的违约概率进行了测算，并选取了我国国家开发银行“2008开元1期”的信贷资产支持证券的数据作为模拟，验证了违约概率与联合资信评估公司的评级结果。最后，本文在深刻讨论了美国次贷危机的成因后，结合我国实际状况，为我国继续发展银行信贷资产证券化提出了一些建设性的意见。
[Abstract]:As a financial innovation product, asset securitization has experienced 40 years of development in the world. It has brought great liquidity facilities to the financial market, as well as a special mechanism for effectively dispersing and transferring the risks of the sponsors themselves. China is now vigorously developing and perfecting the capital market. Credit asset securitization is not only helpful to improve the liquidity of commercial banks, but also to improve the structure of capital and liabilities. Moreover, it is beneficial to disperse the credit risk of promoters. At present, there are some motive factors of bank credit asset securitization in our country. However, the American subprime mortgage crisis in 2007 has sounded the alarm to the Chinese asset securitization that has just started. The crisis and the ensuing "financial tsunami" have shown us that while financial innovation brings a lot of economic benefits and benefits, credit risks are also more centralized and complicated. While actively promoting securitization of credit assets, It is necessary to analyze credit risk systematically and treat credit risk prudently. As a type of asset securitization, credit asset securitization has the longest development and the largest scale. Credit risk is contained in all the structured subjects, including all the participants. Through qualitative analysis of transaction structure, transaction process and three principles of bank credit asset securitization, this paper gives the whole appearance and operation mechanism of bank credit asset securitization, which is an innovative product. By expounding the characteristics and transfer mechanism of credit risk in the process of bank credit asset securitization, it is pointed out that the basic assets in the asset pool are the root of credit risk of the whole bank credit asset securitization. At the same time, three indexes of quantifying credit risk of asset pool are defined: risk exposure, default probability and default loss rate, among which, default probability is the objective evaluation index of credit rating by major rating agencies. Therefore, this paper mainly uses the modified KMV model to calculate the default probability of bank credit asset securitization asset pool, and selects the data of credit asset-backed securities of China Development Bank "2008 Kaiyuan 1" as simulation. Finally, after deeply discussing the causes of the subprime mortgage crisis in the United States, combining with the actual situation in China, the paper verifies the default probability and the rating results of the joint credit rating companies. Some constructive suggestions are put forward for our country to continue to develop the securitization of bank credit assets.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.4;F832.51

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