信贷资产证券化对我国商业银行资本充足率的影响

发布时间：2018-03-16 13:14

本文选题：商业银行　切入点：信贷资产　出处：《云南财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：资产证券化是20世纪的一个伟大创新,它的出现为全世界的金融市场增添了新的生命力,造就了金融市场欣欣向荣的局面。银行是金融市场的主要参与者,它可以将其部分信贷资产进行证券化,这样流动性弱的信贷资产就可以出售给特殊机构,从而使银行获得大量的现金流,加速了银行资金的流动效率。与此同时,证券化还能转移银行的一部分风险资产,改善银行资本结构,提高资本充足率,这为银行在经营中提供了一种新的运行模式。目前中国经济处于低谷时期,企业陷入困境,导致银行不良资产率屡屡攀升,通过利用资产证券化这一金融工具银行可以更好的解决他们面对的问题。理论上来说银行开展信贷资产证券化业务会从两个方面改善银行的资本充足率,一方面通过改善流动性和降低融资成本从而提高银行的资本净额;另一方面是直接减少银行的加权风险资产总额,但事实是否如此还需要运用实际数据进行检验。本文选取我国十家上市商业银行2012至2016年的季度财务报表数据,根据统计量F的值选用面板数据中的混合模型,实证研究了当前我国十家上市商业银行开展信贷资产证券化业务对其资本充足率的影响、不同性质的贷款资产证券化对银行资本充足率的作用结果和作用程度。结果表明将不良贷款作为基础资产进行证券化可以显著提高我国十家上市商业银行的资本充足率,而使用优良贷款进行证券化则会使得我国十家上市商业银行的资本充足率下降,并且因为中国银行业自2012年发行信贷资产支持证券以来,大部分都是使用优良贷款进行证券化,不良贷款证券化的数额占比仅为1.4%,所以最终导致银行在实施信贷资产证券化之后降低了它们的资本充足率,即我国商业银行过度运用优良贷款进行证券化致使其资本充足率下降。根据上述分析结果,提出了减少优良贷款证券化的规模,增加不良贷款证券化可以有效改善我国商业银行的资本充足率的建议。
[Abstract]:Asset securitization was a great innovation in 20th century. Its emergence has added new vitality to the world's financial markets and created a thriving financial market. Banks are the main participants in the financial markets. It can securitize some of its credit assets so that illiquid credit assets can be sold to special institutions, giving banks a lot of cash flow and accelerating the efficiency of their capital flow. Securitization can also transfer some of the banks' risky assets, improve their capital structure and increase their capital adequacy ratio, which provides a new mode of operation for banks. As a result of the rise in the rate of non-performing assets of banks, By using asset securitisation as a financial instrument, banks can better solve the problems they face. In theory, banks developing credit asset securitization will improve banks' capital adequacy ratio in two ways. On the one hand, increasing the net capital of banks by improving liquidity and reducing the cost of financing, on the other hand, directly reducing the total weighted risk assets of banks, In this paper, we select the quarterly financial statement data of ten listed commercial banks from 2012 to 2016, and select the mixed model of panel data according to the value of statistics F. This paper empirically studies the effect of credit asset securitization on the capital adequacy of ten listed commercial banks in China. The results show that the securitization of non-performing loans as the basic assets can significantly improve the capital adequacy ratio of the ten listed commercial banks in China. However, securitization with good loans will reduce the capital adequacy ratio of the ten listed commercial banks in China, and since 2012, most of the Chinese banks have used good loans to securitize, and since the issuance of credit asset-backed securities in 2012, most of the Chinese banks have been securitized with good loans. The amount of non-performing loan securitisation was only 1.4%, so it eventually led banks to reduce their capital adequacy ratio after securitization of credit assets. That is, the excessive use of excellent loans for securitization by commercial banks in China leads to a decrease in their capital adequacy ratio. According to the above analysis, the paper proposes to reduce the scale of securitization of good loans. Increasing non-performing loan securitization can effectively improve the capital adequacy ratio of commercial banks in China.
【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】：F832.4;F832.51

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