基于信用利差分析的资产证券化会计实施效果研究

发布时间：2018-03-25 02:07

本文选题：资产证券化　切入点：确认　出处：《湖南大学》2014年硕士论文

【摘要】：资产证券化发端于20世纪70年代的美国，作为一项伟大的金融创新，现已成为全球资本市场上与债券融资，股权融资并列的第三种主流融资工具。美国等市场经济发达国家的经验表明，资产证券化会计的好坏，虽然不能左右资产证券化的发展，但对其影响是不可低估的。对我国而言，资产证券化实务正处在蓬勃发展的阶段，虽然我国对资产证券化会计也出台了相应的法规，但基本上是借鉴的国外的资产证券化会计政策。因此，对我国目前现有的资产证券化会计实施效果进行研究的意义重大。本文以资产支持债券的信用利差与发起人财务状况之间的相关性来衡量资产证券化会计的实施效果。在理论分析部分，首先介绍了资产证券化与资产证券化会计，并指出进行“真实出售”和“不合并SPE财务报表”的会计处理是资产证券化实现风险隔离进而吸引投资者和实现“表外融资”进而吸引发起人机制的基础，发起人更倾向于对资产证券化进行“真实出售”和“不合并SPE财务报表”的会计处理。接着介绍了资产证券化的基本原理和信用利差理论，指出可以用资产支持债券的信用利差与发起人财务状况之间的相关性来衡量资产证券化会计的实施效果。在实证研究部分，分别从被要求实现风险隔离，进行“真实出售”会计处理的信贷资产证券化和不太规范的企业资产证券化两个类别，对资产支持债券的信用利差与发起人的财务状况之间的相关性用进行了检验。实证研究的结果表明，信贷资产证券化和企业资产证券化，都未实现风险隔离，，资产证券化会计实施效果不理想。资产证券化会计在监控资产证券化业务，防范证券化风险上还有缺陷，存在被操纵的空间，未能很好的指导我国的资产证券化业务。最后，依据理论分析和实证分析的结果，提出了相应的建议。
[Abstract]:Asset securitization originated in the United States in the 1970s. As a great financial innovation, asset securitization has become a global capital market and bond financing. The experience of the developed countries in the market economy such as the United States shows that the accounting for asset securitization is good or bad, although it cannot control the development of asset securitization. However, the impact on asset securitization is not to be underestimated. For our country, asset securitization practice is in a stage of vigorous development, although our country has issued corresponding laws and regulations on asset securitization accounting. But it is basically the foreign asset securitization accounting policy for reference. Therefore, it is of great significance to study the implementation effect of asset securitization accounting in our country. In this paper, the effect of asset securitization accounting is measured by the correlation between the credit spreads of asset-backed bonds and the financial situation of sponsors. In the theoretical analysis part, the author first introduces asset securitization and asset securitization accounting. It is also pointed out that the accounting treatment of "real sale" and "non-consolidated SPE financial statements" is the basis for asset securitization to achieve risk isolation and attract investors and "off-balance-sheet financing" and then attract sponsors. The sponsors are more inclined to deal with the "real sale" of asset securitization and the accounting treatment of "non-consolidated SPE financial statements". Then, it introduces the basic principle of asset securitization and the theory of credit spread. It is pointed out that the implementation effect of asset securitization accounting can be measured by the correlation between the credit spreads of asset-backed bonds and the financial situation of sponsors. There are two categories of credit asset securitization for "real sale" accounting and less standardized securitization of enterprise assets, The correlation between credit spreads of asset-backed bonds and the financial status of sponsors is tested. The empirical results show that neither credit asset securitization nor enterprise asset securitization has achieved risk isolation. The implementation effect of asset securitization accounting is not ideal. Asset securitization accounting has defects in monitoring asset securitization business and preventing securitization risks, there is room for manipulation, and it fails to guide the asset securitization business in our country. According to the results of theoretical analysis and empirical analysis, the corresponding suggestions are put forward.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F830.42

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