我国不良资产证券化定价技术分析及应用

发布时间：2018-06-19 19:12

本文选题：资产证券化 + 不良资产评估　；参考：《云南财经大学》2017年硕士论文

【摘要】：随着我国经济“三期叠加”效应的凸显和供给侧改革的深入推进,经济下行风险不断加大,商业银行业的不良资产进入加速爆发期,区域风险和行业风险逐渐暴露,不良贷款余额和不良贷款率呈现“双升”趋势。这严重危害了我国经济的健康发展和金融体系的稳定,成为我们亟需解决的问题之一。资产证券化工具作为自20世纪70年代以来全球最为重要的金融产品创新之一,已经成为商业银行批量处置不良资产的有效途径。在不良资产证券化业务实际推进中,由于不良资产的回收存在较大不确定性,不良资产证券化定价问题成了当前制约行业发展的主要瓶颈。不良资产证券化的定价涉及到两个问题,一是不良资产基础资产池估值问题;二是不良资支持证券定价问题。本文首先对我国在不良资产处置实践中采用的处置方式及形成的不良资产评估方法做出评析。其次通过比较成熟市场采用的资产证券化定价模型,结合我国具体情况,提出不良资产证券化定价技术思路和定价模型。最后通过运用多因素线性回归模型,结合不良资产历史处置案例,建立回归经验方程对不良资产证券化基础资产池进行预测。不良资产证券化定价问题是业界难题,目前国内外均未形成较为成熟的定价模型。我国由于开展不良资产证券化业务的数量和时间有限,缺乏相关数据可资借鉴,有关不良资产证券化的定价研究仍处于探索阶段。本文研究还有很多不足,许多方面还需补充和深化。寄希望于将来随着我国不良资产证券化业务的广泛开展,以及大数据平台的持续建设,能进一步完善后续研究。
[Abstract]:With the highlight of the "three phases superposition" effect and the deepening of the supply-side reform, the downward risks of the economy are increasing, and the non-performing assets of the commercial banks are entering an accelerated outbreak period, and the regional risks and the industry risks are gradually exposed. The balance of non-performing loans and the ratio of non-performing loans showed a "double-liter" trend. This seriously endangers the healthy development of our economy and the stability of the financial system, and becomes one of the problems we urgently need to solve. As one of the most important innovations in financial products since 1970s, asset securitization tools have become an effective way for commercial banks to deal with non-performing assets in batches. In the actual promotion of non-performing asset securitization, due to the uncertainty of the recovery of non-performing assets, the pricing of non-performing assets securitization has become the main bottleneck restricting the development of the industry. The pricing of non-performing asset securitization involves two problems, one is the valuation of the base asset pool of non-performing assets, the other is the pricing of non-performing capital backed securities. In this paper, we first analyze the disposal methods and the evaluation methods of non-performing assets in the practice of non-performing assets disposal in our country. Secondly, by comparing the pricing model of asset securitization adopted in mature market and combining the concrete situation of our country, the paper puts forward the technical thinking and pricing model of non-performing asset securitization. Finally, by using the multi-factor linear regression model and combining with the case of historical disposal of non-performing assets, the regression empirical equation is established to predict the basic asset pool of non-performing asset securitization. The pricing of non-performing assets securitization is a difficult problem in the industry, and there is no mature pricing model at home and abroad. Due to the limited number and time of non-performing asset securitization in China and the lack of relevant data for reference, the pricing research of non-performing asset securitization is still in the exploratory stage. There are still many deficiencies in this study, and many aspects need to be supplemented and deepened. It is hoped that with the extensive development of non-performing asset securitization business in China and the continuous construction of big data platform, the follow-up research will be further improved in the future.
【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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