我国资产证券化的信用评级研究

发布时间：2018-01-03 00:10

本文关键词：我国资产证券化的信用评级研究　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：资产证券化,就是指将本身缺乏流动性但在未来能够产生稳定现金流的基础资产,将其所有的风险和收益通过“真实销售”转移给特殊目的载体(special purpose vehicle SPV),再通过结构性重组,转变为可以在金融市场上销售和流通的证券。我国资产证券化的实践发展则更加缓慢,2007年,由美国爆发的次贷危机引发的全球金融危机,罪魁祸首正是美国发行的房地产抵押次级贷款资产证券化产品(如CDS、CDO等),由于美国发行的次级贷款衍生品都是由国际三大评级机构进行的评级,且大部分产品的级别都得到较高的级别,所以,随着危机的不断蔓延,资产证券化和信用评级机构都受到国际舆论的普遍谴责,评级机构在证券化产品评级的客观公正性受到人们普遍质疑。资产证券化的信用评级是资产支持证券发行的重要步骤,通过信用评级,向投资者披露和揭示投资风险,从而起到降低发行者的资金融通成本和投资者因为信息不对称产生的信息搜集成本和投资风险,将对资产证券化的业务的开展产生深刻的影响。本文在对国内外相关文献以及资产证券化和信用评级相关理论的深入研究的基础之上,建立了适合于我国资产证券化信用评级方法理论,最后运用案例对所提出的资产证券化信用评级方法理论进行实践运用,其中运用到了蒙特卡洛模拟以及压力测试等分析方法,对我国资产证券化信用评级的理论和实践进行全面的研究。本文资产支持证券信用评级方法理论是在全面借鉴参考了国际著名评级机构的资产证券化评级技术,并充分考虑了我国经济和资本市场特点,以考查资产支持证券按时、足额获得本息偿付的可能性为核心,主要对资产证券化交易的四个方面进行分析：基础资产池分析、交易结构分析、参与各方分析以及法律分析。对案例分析的结果表明,我国资产证券化信用评级最终的分层和级别存在不唯一性。
[Abstract]:Asset securitization refers to the basic assets which are illiquid but can produce stable cash flow in the future. All its risks and benefits are transferred to special purpose vehicle through "real sales", and then through structural reorganization. The practice of asset securitization in China developed more slowly. In 2007, the global financial crisis caused by the subprime mortgage crisis broke out in the United States. The culprit is the securitisation of mortgage-backed real estate assets issued by the United States (such as CDSU CDO, etc.), because the subprime derivatives issued by the United States are rated by the three major international rating agencies. And most of the product levels are higher, so, as the crisis continues to spread, asset securitization and credit rating agencies are widely condemned by international public opinion. The credit rating of asset securitization is an important step in the issuance of asset-backed securities through credit rating. Disclosure and disclosure of investment risks to investors, thus reducing the issuer's financing costs and investors because of asymmetric information generated by the cost of information collection and investment risks. It will have a profound impact on the development of asset securitization business. This paper based on the domestic and foreign related literature and asset securitization and credit rating related theory on the basis of in-depth research. The theory of credit rating method suitable for asset securitization in our country is established. Finally, the theory of credit rating method of asset securitization is put into practice by case study. The Monte Carlo simulation and stress test are used. This paper studies the theory and practice of asset securitization credit rating in China. The theory of asset-backed securities credit rating method refers to the asset securitization rating technology of international famous rating agencies. And fully considered the characteristics of China's economy and capital markets, to examine the asset-backed securities on time, the full amount of the possibility of repayment of principal and interest as the core. This paper mainly analyzes four aspects of asset securitization transaction: basic asset pool analysis, transaction structure analysis, participants' analysis and legal analysis. The credit rating of asset securitization in China is not unique.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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