基于灰色系统理论的中国资产证券化风险评价及防范研究

发布时间：2018-04-15 11:12

本文选题：资产证券化 + 风险评价　；参考：《太原理工大学》2013年硕士论文

【摘要】：资产证券化是经济高度发展的产物。作为一种重要的、创新的金融衍生工具,其在西方发达国家已经非常普遍,并对经济发展有巨大的推进作用。当然,资产证券化和其它事物一样,具有两面性,在促进经济发展的同时,也会带来风险。特别是2007美国金融危机的爆发,使得如何控制资产证券化的风险显得尤为重要。中国研究资产证券化已经有近20年的历史了,主要还是理论研究的比较多,实践比较少。2005年,国家开发银行和中国建设银行分别发行了信贷资产证券化产品和抵押贷款证券化产品,这标志着我国正式进入了资产证券化试点阶段。但是,美国次贷危机的爆发,使我国不得不停止对资产证券化的试点。直到2012年,我国重启资产证券化。正因为资产证券化的风险使得我国监管机构非常谨慎,不能任由其发展。资产证券化产品具有融资成本低、丰富金融市场产品、信用级别高及优化资源配置等特点。从长期来看,我国发展资产证券化是必然趋势。在资产证券化发展过程中,必须注意其与我国的经济实体相适应,同时做好对资产证券化的风险控制和防范。资产证券化过程中主要存在的风险：首先,资产证券化涉及的参与主体多,因此要建立有效的市场准入机制,防止信用风险的发生。其次,资产证券化要求发行人表内基础资产的“真实出售”,把基础资产从发行人的资产负债表中移除,从而真正实现“破产隔离”。这需要我国建立相关的法律法规保证“真实出售”。第三,评级机构要切实做好评级工作,避免其参与资产证券化的交易,从而给其它参与主体带来损失。第四,注意资产证券化交易中存在的信息不对称风险,即逆向选择风险和道德风险。这就要求相关监管机构制定相应的信息披露制度,保证证券化市场的公开、公平、公正。正是基于上述资产证券化过程中的存在问题,笔者提出相应的对策及建议。本文共分为六个部分。第一部分介绍了本文的选题依据、研究目的和意义、相关研究综述以及研究的主要内容和方法。第二部分对风险和资产证券化的概念进行了界定,阐述了基础资产现金流分析理论、资产重组理论、风险隔离理论、信用增级理论、委托代理理论及灰色系统理论六个与资产证券化风险评价有关的理论,为本文的研究提供了理论依据。第三部分把资产证券化风险分为系统风险和非系统风险,详细的分析了系统风险和非系统风险的构成要素,为建立资产证券化风险指标体系提供依据。第四部分阐述了灰色系统理论的风险评价程序,建立了资产证券化风险指标体系,并且对资产证券化风险进行了计量及分析。第五部分从微观上和宏观上分别针对资产证券化的风险提出了相关对策建议。第六部分总结本文研究结论,同时指出了本研究的局限与不足。
[Abstract]:Asset securitization is the product of high economic development.As an important and innovative financial derivative, it is very common in western developed countries and has a great role in promoting economic development.Of course, asset securitization, like everything else, has two sides and brings risks while promoting economic development.Especially with the outbreak of the American financial crisis in 2007, it is very important to control the risk of asset securitization.China has been studying asset securitization for nearly 20 years, mainly in theory and practice. In 2005,China Development Bank and China Construction Bank issued credit asset securitization products and mortgage securitization products respectively, which marks that China has formally entered the pilot stage of asset securitization.However, with the outbreak of the subprime mortgage crisis in the United States, China has to stop the pilot of asset securitization.Until 2012, our country restarts asset securitization.Because of the risk of asset securitization, China's regulators are too cautious to allow it to develop.Asset securitization products are characterized by low financing cost, rich financial market products, high credit level and optimized resource allocation.In the long run, the development of asset securitization in China is an inevitable trend.In the course of the development of asset securitization, we must pay attention to its adaptation to the economic entities of our country, and control and prevent the risk of asset securitization at the same time.The main risks in the process of asset securitization are: firstly, there are many participants in asset securitization, so it is necessary to establish an effective market access mechanism to prevent the occurrence of credit risk.Second, asset securitization requires the "real sale" of the underlying assets in the issuer's balance sheet and the removal of the underlying assets from the issuer's balance sheet, thus truly achieving "bankruptcy isolation".This needs our country to establish the relevant laws and regulations to guarantee the "real sale".Third, rating agencies should do a good job of rating to avoid their participation in asset securitization transactions, thus causing losses to other participants.Fourthly, attention should be paid to the risk of asymmetric information in asset securitization transactions, that is, adverse selection risk and moral hazard.This requires relevant regulators to establish the corresponding information disclosure system to ensure the openness, fairness and fairness of the securitization market.Based on the above problems in the process of asset securitization, the author puts forward the corresponding countermeasures and suggestions.This paper is divided into six parts.The first part introduces the basis, purpose and significance of this paper, and the main contents and methods of the research.The second part defines the concepts of risk and asset securitization, expounds the basic asset cash flow analysis theory, asset restructuring theory, risk isolation theory, credit enhancement theory,The principal-agent theory and the grey system theory are related to the risk evaluation of asset securitization, which provides the theoretical basis for the study of this paper.The third part divides the risk of asset securitization into systematic risk and non-systematic risk, and analyzes the constituent elements of system risk and non-system risk in detail, which provides the basis for establishing the risk index system of asset securitization.In the fourth part, the risk evaluation procedure of grey system theory is expounded, the risk index system of asset securitization is established, and the risk of asset securitization is measured and analyzed.In the fifth part, the author puts forward some countermeasures and suggestions on the risk of asset securitization.The sixth part summarizes the conclusions of this study, and points out the limitations and shortcomings of this study.
【学位授予单位】：太原理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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