资产证券化业务对商业银行效益影响研究

发布时间：2018-07-23 16:31

【摘要】：资产证券化是将具有未来稳定现金流但缺乏流动性的贷款等债权性资产,通过证券化技术,转化成可以市场化发行交易并具有投资属性证券的过程。资产证券化通过风险再配置提高资源配置效率,能够改善贷款的可逆性,实现债权转让显著降低银行贷款的非流动性。本课题着重对商业银行开展信贷资产证券化业务的综合效益进行分析,重点从盈利能力、资本管理、风险控制等三个维度,选取净收益、经济利润、资本充足率、风险调整资本回报等指标,结合国内多家商业银行信贷资产证券化业务的实例数据进行建模分析,从实证角度研究商业银行开展此项业务的的综合效益及影响。本课题还对美国欧洲等发达国家资产证券化的业务模式与发展路径进行了分析,并对国内资产证券化产品模式进行比较研究,提出下一阶段业务发展模式的建议。同时,课题结合国际比较分析、数据实证检验与业务实践等内容,从国内监管层面及商业银行自身经营管理层面,为资产证券化业务提供了较为全面且具有可操作性的政策建议。
[Abstract]:Asset securitization is a process in which debt assets such as loans with stable cash flow in the future but lack of liquidity can be transformed into market-oriented issuance and securities with investment attributes through securitization technology. Asset securitization can improve the efficiency of resource allocation through risk redistribution, improve the reversibility of loans, and realize the transfer of creditor's rights to reduce the illiquidity of bank loans. This paper focuses on the analysis of the comprehensive benefits of commercial banks in the development of credit asset securitization business, focusing on three dimensions of profitability, capital management, risk control, selecting net income, economic profits, capital adequacy ratio. Based on the risk adjusted capital return index and the example data of credit asset securitization business of many commercial banks in China, this paper studies the comprehensive benefit and influence of commercial banks in this business from an empirical point of view. This paper also analyzes the business model and development path of asset securitization in developed countries such as the United States and Europe, and makes a comparative study on the product model of domestic asset securitization, and puts forward some suggestions for the next stage of business development model. At the same time, the subject combines the international comparative analysis, data empirical test and business practice, from the domestic regulatory level and commercial banks own management level, It provides more comprehensive and operable policy advice for asset securitization business.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.33

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