基于信托分层的我国商业银行不良资产证券化研究

发布时间：2018-04-13 03:21

本文选题：资产证券化 + 不良资产　；参考：《郑州大学》2017年硕士论文

【摘要】：我国从1992年开始推动资产证券化,直到2005年由于次贷危机发展停滞,但由于能够加强经营管理、分散信用风险同时促进资本市场发展和联动信贷市场和资本市场,资产证券化在国际金融市场上却发展迅速成为直接融资、间接融资之外的强大金融力量。而我国商业银行受到宏观经济下滑和经济增速放缓的影响,信贷质量水平降低,不断“双升”的不良严重地影响了我国商业银行的日常运营,占据了商业银行信贷规模,降低银行资产流动性和经营效益,并且扩大了商业银行的信用和经营风险。在这种背景下,利用资产证券化快速大规模地处置不良资产就成为了我国商业银行首选方式。不良资产证券化能够解决资产长期化和负债短期化的矛盾,有效地调整信贷结构,避免流动性风险。对于我国来说,主观和客观条件均比十年前成熟,推行不良资产证券化的需求更加迫切。但在现阶段法律环境下,我国选取不良资产证券化信托分层就能够规避法律规定,成为主流的证券化操作方式。本文主要通过理论结合实际、比较法、定性与定量结合等方法,对我国商业银行不良资产证券化信托分层进行研究。首先对于不良资产证券化的研究背景和意义以及国内外研究现状等理论进行研究,提出利用证券化方式处置我商业银行不良贷款。其次结合我国不良资产的现状、传统处置方式的局限、制度变革等分析对于不良资产证券化的现实需求,分析和整理我国不良资产证券化的实践发展。接着详细分析了不良资产证券化信托分层的内在机理包括交易结构、核心步骤等相关技术手段,提出整个不良资产证券化的流程设计,运用比较法得出信托分层成为我国现阶段不良资产证券化的选择,同时也对信托分层的局限性进行分析。然后运用多因素模型应用到不良资产证券化的资产估值中去,并结合历史数据进行实证分析。最后,针对我国当前不良资产证券化信托分层的运作现状,从技术手段、制度建设、市场环境三个方面提出政策和建议,希望能为我国商业银行不良资产证券化信托分层的发展提供具有可操作性参考建议。
[Abstract]:China began to promote asset securitization from 1992 until 2005, due to the subprime crisis stagnation, but due to the dispersion of credit risk, strengthen management, and promote the development of the capital market and the linkage of credit market and capital market, asset securitization in the international financial market has become the rapid development of direct financing, indirect financing beyond the strong financial strength. China's commercial banks are affected by the macroeconomic downturn and a slowdown in economic growth, reduce the level of credit quality, continue to double up the bad has seriously affected our country commercial bank's daily operations, occupy the scale of commercial bank credit, reduce the liquidity of bank assets and operating efficiency, and expand the commercial bank credit and business the risk. In this context, the use of asset securitization rapid large-scale disposal of non-performing assets of commercial banks in China has become the first choice. Asset securitization can solve the long-term assets and liabilities short-term contradictions, adjust the credit structure effectively, avoid liquidity risk. For our country, the subjective and objective conditions were more than ten years ago, the implementation of securitization of non-performing assets is more urgent needs. But at the present stage of China's legal environment, selection Asset Securitization trust layered can circumvent the law, become the mainstream mode of securitization operation. This paper mainly through the combination of theory and practice, comparative method, combination of qualitative and quantitative methods, conducts the research to our country commercial bank non-performing asset securitization trust. Firstly, to study the stratification of non-performing asset securitization research background and significance the research status at home and abroad theory, proposed the use of securitization to dispose of non-performing loans of commercial banks. Secondly, I combined with the status quo of non-performing assets in our country, the traditional disposal way The limitation analysis of institutional change for the realistic demand of non-performing asset securitization, analysis and sorting of China's non-performing asset securitization practice. Then analyzes the internal mechanism of non-performing asset securitization trust delamination includes transaction structure, key steps and other related technology, put forward the whole design process of securitization of non-performing assets, the use of comparison of the trust layer become the choice of non-performing asset securitization in our country at the present stage, but also the limitations of hierarchical trust analysis. Then using the multi factor model is applied to the valuation of assets securitization of non-performing assets in, and carries on the empirical analysis combined with historical data. At last, according to the operation of China's current status of non-performing asset securitization hierarchical trust, from the technical means, system construction, and puts forward the policy recommendations of the three aspects of market environment, the hope for the non-performing assets of commercial banks in China The development of the securitization trust delamination provides an operational reference.

【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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