CRT视角下中小企业信贷资产证券化研究

发布时间：2018-08-24 15:43

【摘要】：中小企业是推动国民经济发展、构筑市场经济体系、促进经济稳定的重要力量,特别是在当前为确保国民经济适度增长、缓解就业压力、优化经济结构等方面发挥着重要作用。诚然如此,我国中小企业的发展受制于融资约束,这一问题已成为我国经济发展的顽症,影响经济持续、健康发展。特别是在2008年金融危机后,中小企业日益旺盛的融资需求和金融资源的非平衡配置这一矛盾更加尖锐地暴露出来。为解决中小企业融资难问题,2011年央行明确表示要积极推进中小企业信贷资产证券化；2013年国务院常务会议决定进一步扩大信贷资产证券化试点,盘活资金用于中小企业发展等。在国外,欧洲作为中小企业信贷资产证券化的主要市场,从2000年至2007年,已累计发行中小企业抵押贷款证券1900亿欧元。我国在2008年由浙商银行发行了第一单中小企业信贷资产证券化产品。实践结果表明,通过将中小企业的信贷资产证券化,提高了资产的流动性,释放了资本,银行可以获取更多用于专项扶持中小企业发展资金,为中小企业提供可持续的广泛的金融支持,也有助于降低中小企业贷款成本。但是,中小企业贷款相对于大型企业贷款来说,是非“优质资产”,风险的不确定性更为复杂,客观上对发行中小企业信贷资产支持证券机构的风险控制提出了更高要求。区别于传统金融机构发行的中小企业信贷资产证券化产品,2013年由以阿里巴巴为代表的互联网金融机构发起国内首单由券商作为发起人的中小微企业及网商个人创业者的无担保信贷资产证券化产品,此单产品是绕过了银行系统以互联网为平台,利用大数据及云计算技术来甄别与研判贷款的信用风险,这类风险可能不同于传统银行机构的信用风险转移,并呈现出不同的特征。所以如何根据风险特点设计一整套可行有效的风控制度,是实施中小企业信贷资产证券化的关键。基于上述认识,本文采用理论分析和实证分析相结合的方法,对国内外中小企业信贷资产证券化的现状、市场环境、法律安排、发展模式进行对比分析,明确我国未来发展思路,总结中小企业信贷资产证券化风险特点并提出相应的风控措施；在此基础上探讨中小企业信贷资产证券化带来的信用风险转移对金融体系造成的影响,并以案例印证前述分析结论；最终提出我国中小企业信贷资产证券化发展及风险控制的政策建议。全文共七章：第一章对本文的研究思路、研究内容、可能的创新点和不足做出说明。第二章对本文涉及的资产证券化基础理论、商业银行风险管理理论及信用风险转移理论做了梳理。第三章论述了国内外信贷资产证券化现状。首先对比了国内外信贷资产证券化的发展现状,详细介绍了我国一波三折的信贷资产证券化的发展历程,从SPV(特殊目的机构)的组织架构形式和处理基础资产的方式、资产证券化的发展模式选择、资产证券化过程中的法律安排及资产证券化产品的市场交易量等几方面详尽对比了国内外的异同点；其次,分析了我国信贷资产证券化市场环境与法律制度,肯定了相关部门自试点工作以来为信贷资产证券化发展所付出的努力；再次,基于信息不对称与道德风险的视角分析了我国信贷资产证券化存在问题及其原因。第四章主要分析了中小企业信贷资产证券化的风险。首先分析了一般企业信贷资产证券化的风险；其次探讨了中小企业信贷资产化的特有风险,特别是探讨了中小企业“两权”质押贷款与固定资产抵押贷款资产证券化风险；再次分析了中小企业信贷资产证券风险评估模型及度量；最后基于上述分析提出了中小企业信贷资产证券化的风险管理策略。第五章分析中小企业信贷资产证券化信用风险转移机制及影响。首先分析了银行之所以能够借助资产证券化将信用风险转移至投资者处的原因,主要是依赖资产池的资产组合、SPV风险隔离及结构转换；其次是从三个角度分析了该类产品在证券化过程中的风险放大效应。接着对国内银行通过发行理财、信托产品进行信用风险转移的数据建立面板数据进行分析,考量银行进行信用风险转移是否会导致银行信贷规模扩张、风险水平增加和收益水平改善；通过对上海清算所信贷资产支持证券发行、托管数据的统计分析来考察我国信贷资产证券化市场中的信用风险转移水平、趋势。上述分析目的是预估推行中小企业信贷资产证券化后对各类银行行为、风险水平的影响。第六章是在前面章节分析的基础上,以案例形式分别分析了浙商银行2008年第一中小企业信贷资产证券化产品(下称浙元一期)、东证资管-阿里巴巴的专项计划的中小微企业的信贷资产支持证券(下称东证资管-阿里巴巴专项资产管理计划),本章着重从基础资产池情况、贷款组合情况分析了前者。其次,进一步以浙元一期为例展开分析了产品的信用风险转移的特征,该部分借鉴了产品评估报告中详实的数据,分析了信用风险在银行机构体系内及跨部门转移情况,使理论得到实践的检验,进一步深化了论文主题。第七章为中小企业信贷资产证券化创新思考及政策建议。本章在总结上述六章分析的基础上,肯定了我国建设信用风险转移市场具有良好的环境,政府制定了对于信用风险转移的支持政策,近十年开展了包括中小企业信贷资产证券化在内的信用风险转移试点工作,已经显现出了市场对信用风险转移工具的巨大需求,以及我国为完善的金融市场环境所作出的努力。在看到市场巨大发展前景时,我们也必须面对信用转移工具发展中存在的问题,所以论文从从法律制度创新、参与者的组织创新及市场交易结构创新等方面进行了创新思考,以求为实践提供理论指导,当然如何建设完善的信用风险转移市场是任重而道远。本章就建立完善的CRT法律体系、培育充满活力的信用风险转移市场体系、完善产品定价、提升信用增级技术以及加快CRT市场监管创新步伐等方面提出了相关政策建议。
[Abstract]:Small and medium-sized enterprises are important forces to promote the development of national economy, construct market economic system and promote economic stability, especially in order to ensure the moderate growth of national economy, relieve employment pressure and optimize economic structure. It is the stubborn disease of China's economic development, which affects the sustained and healthy development of the economy. Especially after the financial crisis in 2008, the contradiction between the increasingly vigorous financing needs of small and medium-sized enterprises and the unbalanced allocation of financial resources has become more acute.
In order to solve the financing difficulties of SMEs, the central bank made it clear in 2011 that it would actively promote the securitization of SMEs'credit assets; in 2013, the State Council executive meeting decided to further expand the pilot project of securitization of SMEs' credit assets and activate funds for the development of SMEs. From 2000 to 2007, a total of 190 billion Euros of SMEs mortgage securities have been issued. In 2008, Zhejiang Commercial Bank issued the first SMEs credit asset securitization product. The results show that by securitizing SMEs'credit assets, the liquidity of assets has been improved, and the capital has been released, and the banks can obtain it. It also helps to reduce the cost of loans for SMEs. However, SMEs'loans are non- "high-quality assets" compared with large-scale enterprises' loans, and the uncertainty of risks is more complex, which objectively affects the issuance of SMEs. Different from the SMEs'credit asset securitization products issued by traditional financial institutions, the Internet financial institutions represented by Alibaba launched the first domestic SMEs and Internet entrepreneurs sponsored by brokerages in 2013 without guarantee. Credit asset securitization products, this single product is to bypass the banking system on the Internet platform, the use of large data and cloud computing technology to identify and judge the credit risk of loans, such risks
It may be different from the traditional banking institutions in the transfer of credit risk, and presents different characteristics. So how to design a set of feasible and effective wind control system according to the risk characteristics is the key to the implementation of SMEs credit asset securitization.
Based on the above understanding, this paper uses the method of combining theoretical analysis with empirical analysis to make a comparative analysis of the status quo, market environment, legal arrangements and development model of SMEs'credit asset securitization at home and abroad, to clarify the future development ideas of China, to summarize the characteristics of SMEs' credit asset securitization risk and to propose corresponding measures for controlling the risk. On this basis, this paper discusses the impact of credit risk transfer on the financial system caused by SMEs'credit asset securitization, and verifies the above analysis conclusion with a case study. Finally, it puts forward policy recommendations for the development and risk control of SMEs' credit asset securitization in China.
The full text consists of seven chapters.
The first chapter explains the research ideas, contents, possible innovations and shortcomings of this paper. The second chapter combs the basic theory of asset securitization, the theory of risk management of commercial banks and the theory of credit risk transfer.
Chapter 3 discusses the current situation of credit asset securitization at home and abroad. Firstly, the paper compares the development status of credit asset securitization at home and abroad, and introduces the development process of credit asset securitization in China in detail, including the organizational structure of SPV (Special Purpose Organization) and the way to deal with basic assets, and the development model of asset securitization. Choice, the legal arrangement in the process of asset securitization and the market transaction volume of asset securitization products are compared in detail. Secondly, the market environment and legal system of credit asset securitization in China are analyzed, and the efforts of relevant departments for the development of credit asset securitization since the pilot work are affirmed. Thirdly, based on the perspective of information asymmetry and moral hazard, this paper analyzes the problems and causes of credit asset securitization in China. Chapter 4 mainly analyzes the risks of credit asset securitization in SMEs. Risk, especially the "two rights" mortgage loan and fixed assets mortgage asset securitization risk of SMEs are discussed. The risk assessment model and measurement of SMEs'credit asset securities are analyzed again. Finally, the risk management strategy of SMEs' credit asset securitization is put forward based on the above analysis.
The fifth chapter analyzes the credit risk transfer mechanism and its impact of SMEs'credit asset securitization. Firstly, it analyzes the reasons why banks can transfer credit risk to investors by means of asset securitization, mainly relying on asset pool portfolio, SPV risk isolation and structural transformation; secondly, it analyzes this kind of risk from three angles. Secondly, the paper analyzes the data of domestic banks'credit risk transfer by issuing financial management and trust products, and establishes panel data to consider whether the credit risk transfer will lead to the expansion of bank credit scale, the increase of risk level and the improvement of income level. The purpose of the above analysis is to predict the impact of SMEs'credit asset securitization on various bank behaviors and risk levels.
Chapter 6 is based on the analysis of the preceding chapters, and analyzes the credit asset-backed securities of SMEs (hereinafter referred to as SMEs Credit Asset Securitization Product No. 1 (hereinafter referred to as Zhejiang Yuan Phase I) and SMEs (hereinafter referred to as SMEs Credit Asset-backed Securities) of the East Securities Management-Alibaba Special Program (hereinafter referred to as East Secondly, taking Zheyuan Phase I as an example, the paper analyzes the characteristics of credit risk transfer of products. This part draws on the detailed data in the product evaluation report, analyzes the credit risk transfer in the banking system and inter-departmental situation, so as to make the theory. The examination of practice further deepened the theme of the paper.
Chapter 7 is the innovative thinking and policy suggestions of SMEs'credit asset securitization. On the basis of summing up the analysis of the above six chapters, this chapter affirms that China has a good environment for building credit risk transfer market, the government has formulated the support policy for credit risk transfer, and has carried out the credit asset securitization including SMEs in the past decade. The credit risk transfer pilot work, including the credit risk transfer, has shown the huge demand of the market for credit risk transfer tools, as well as China's efforts to improve the financial market environment. Innovation, participants'organizational innovation and market transaction structure innovation are innovative thinking in order to provide theoretical guidance for practice, of course, how to build a perfect credit risk transfer market is a long way to go. Some policy suggestions are put forward on pricing, upgrading credit enhancement technology and accelerating the pace of CRT market supervision innovation.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F276.3;F832.51

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