商业银行信用风险转移效应分析

发布时间：2018-03-10 13:23

本文选题：信用风险转移　切入点：信贷资产证券化　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：商业银行处于金融体系的核心位置,在经济发展中的地位也举足轻重。但是随着利率市场化完成、互联网金融的兴起和资本市场融投资替代效应增强,商业银行地位和影响力开始下降,面临的竞争也日趋激烈。再加上我国当前整体信用风险水平上升,不良贷款率持续走高,商业银行面临的形势较为严峻。在这一形势下,商业银行研究的核心问题在于如何根据市场环境的变化,改进现有或引入新的管理手段,从而保证流动性供给,控制风险承担水平,提高盈利能力。传统商业银行的核心业务和主要收入来源是信贷经营,因此其承担的风险也主要来自于信贷资产。而传统的信用风险管理手段偏向于静态管理,存在约束众多且成本居高等问题。信用风险转移工具和转移市场的出现,使商业银行能够根据多种经营需求灵活调整信贷资产(组合),进行主动管理提升管理效率。但任何事物都有两面作用,信用风险转移最为人所诟病的是在美国次贷危机中助推了泡沫的产生。因此,本研究针对商业银行经营管理中信用风险转移的效应以及存在的优势和不足,从商业银行经营的三原则角度,采用理论分析与实证检验相结合的方法,考察我国商业银行信用风险转移的效应及形成机制。研究结构如下:介绍研究背景——梳理相关文献——核心理论分析——建立研究假设——进行实证检验——提出改进建议。本文试图从两方面创新和发展现有研究:第一,现有相关研究多集中于信用风险转移在商业银行经营某单一方面的效应分析,而本文选择对银行经营状态的总体效应以及风险、流动性和收益三方面的分效应进行综合讨论,如此有助于全面评价信用风险转移的现实利弊,为商业银行相关实践提供建议;第二,以往研究或对我国商业银行信用风险转移进行理论分析,或使用发达国家成熟市场样本进行实证检验,对发展和监管我国商业银行信用风险转移的指导作用有限。本文中使用我国商业银行信贷资产证券化开展以来的现实数据作为样本进行实证分析,其结论和建议更具时效性和针对性。
[Abstract]:Commercial banks are at the core of the financial system and play an important role in economic development. However, with the completion of interest rate marketization, the rise of Internet finance and the enhancement of the substitution effect of capital market financing. The status and influence of commercial banks begin to decline, and the competition becomes increasingly fierce. In addition, with the rise of the overall credit risk level, the non-performing loan rate continues to rise, and the commercial banks are facing a more severe situation. The core problem of commercial bank research is how to improve or introduce new management means according to the change of market environment, so as to ensure liquidity supply and control risk bearing level. The core business and main source of income of traditional commercial banks is credit management, so the risks they bear mainly come from credit assets, while the traditional means of credit risk management tend to static management. The emergence of credit risk transfer tools and transfer market, To enable commercial banks to adjust their credit assets flexibly according to a variety of business needs (portfolio management, active management and management efficiency.) but everything has two sides. Credit risk transfer is the most criticized in the United States in the subprime mortgage crisis has contributed to the emergence of bubbles. Therefore, this study aimed at the commercial banks in the management of the effect of credit risk transfer, as well as the advantages and disadvantages, From the perspective of the three principles of commercial bank management, the method of combining theoretical analysis with empirical test is adopted. The effect and formation mechanism of credit risk transfer of commercial banks in China are investigated. The research structure is as follows: introduction of research background-combing relevant literature-core theoretical analysis-establishing research hypotheses-empirical testing-proposing improvement and construction. This paper attempts to innovate and develop existing research from two aspects: first, Most of the existing studies focus on the analysis of the effect of credit risk transfer in a single aspect of commercial bank operation, and this paper chooses to discuss the overall effect of bank operating state and the three effects of risk, liquidity and income. This will help to comprehensively evaluate the practical advantages and disadvantages of credit risk transfer, and provide suggestions for the commercial bank related practice. Second, previous research or theoretical analysis of credit risk transfer of commercial banks in China. Or using a sample of mature markets in developed countries for empirical testing, The guidance to the development and supervision of credit risk transfer of commercial banks in China is limited. This paper uses the real data of credit asset securitization of commercial banks in China as a sample for empirical analysis. Its conclusions and recommendations are more timely and targeted.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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