我国资产支持证券劣后级风险分析

发布时间：2018-01-06 00:00

本文关键词：我国资产支持证券劣后级风险分析　出处：《云南财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：自2013年我国重启信贷资产证券化,发行规模不断扩大,市场朝着规范化和常态化的方向发展。与此同时,劣后级资产支持证券的投资者群体仍有待扩大,二级市场的流动性亟待改善。导致这一问题的原因之一即是劣后级资产支持证券的信息披露不足,缺乏风险评级,难以进行风险评估和定价。而国内现有的研究大多着眼于将资产支持证券作为一个整体进行风险分析,或止步于分析信用风险对优先级证券的影响,未充分考虑资产支持证券中各个层级间的巨大风险差异,忽略了劣后级资产支持证券,故通过对劣后级部分风险的分析,可以弥补过往研究的遗漏之处,为资产证券化的理论与实践提供参考。首先进行定性分析,对资产支持证券的风险形式做了梳理,并重点论述了不同层级证券在遭遇不同形式风险时的差异。依次论述了宏观经济与市场风险、信用风险、操作风险,其中信用风险是资产支持证券的主要风险来源。然后进行量化分析,先使用定量指标分析,通过比较同一类型资产支持证券的风险指标,对风险状况进行评估。再使用在险价值模型(VAR Model)的历史模拟法对风险进行了分析,从而求出劣后级证券在一定置信水平下可能承受的最大损失,将这一指标同定量指标相结合,对其风险水平形成一个基本的判断。此后,运用多元回归模型对定量指标的有效性进行了检验,在欧美学者研究的基础上,对模型中的解释变量作出了一定的调整,以适应我国的实际情况。考虑我国当前金融业发展状况,违约风险为当前主要的风险来源,银行业仍占主导地位,且商业银行对资产证券化的需求较大,市场潜力大。选取2014年-2016年间数据,对信贷资产支持证券(劣后级)的违约风险进行了多元回归分析。结果表明资产的违约率、分散度、期限、违约回收率、发起机构可以作为劣后级证券的风险指标。最后,结合定性分析和定量分析的结论,提出应加强信息披露,改善二级市场流动性,有针对性的提升监管力度等建议。
[Abstract]:Since 2013, the credit asset securitization has been restarted in China, the issuing scale is expanding and the market is developing towards standardization and normalization. At the same time, the investor group of inferior asset backed securities still needs to be expanded. The liquidity of the secondary market needs to be improved urgently. One of the reasons for this problem is that the information disclosure of the inferior asset-backed securities is insufficient and the risk rating is lacking. It is difficult to carry out risk assessment and pricing. However, most of the existing domestic studies focus on risk analysis of asset-backed securities as a whole, or stop at analyzing the impact of credit risk on priority securities. The great risk difference among different levels of asset-backed securities is not fully considered, and the inferior backclass asset-backed securities are neglected. Therefore, through the analysis of the partial risk of inferior post-grade securities, we can make up for the omissions of previous studies. It provides a reference for the theory and practice of asset securitization. Firstly, qualitative analysis is carried out to sort out the risk forms of asset-backed securities. And discussed the different levels of securities in the face of different forms of risk, in turn discussed the macroeconomic and market risk, credit risk, operational risk. Credit risk is the main risk source of asset-backed securities. The risk condition is evaluated and the risk is analyzed by using the historical simulation method of VAR Model. In order to find out the maximum loss that the inferior security may bear under a certain confidence level, combine this index with the quantitative index, form a basic judgment to its risk level. The validity of quantitative indexes is tested by using multivariate regression model. Based on the research of European and American scholars, the explanatory variables in the model are adjusted to a certain extent. In order to adapt to the actual situation of our country, considering the current development of the financial industry in China, default risk is the main risk source at present, the banking industry is still dominant, and commercial banks have a large demand for asset securitization. The data from 2014 to 2016 are used to analyze the default risk of credit asset-backed securities. The results show that the default rate, dispersion and maturity of the assets. Default recovery rate, the initiator can be used as a risk indicator of inferior securities. Finally, combined with qualitative analysis and quantitative analysis of the conclusion, we should strengthen information disclosure, improve the liquidity of the secondary market. Targeted measures to enhance supervision and other recommendations.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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