信贷资产证券化业务信用风险管理研究

发布时间：2018-10-09 19:34

【摘要】：对信贷资产证券化业务而言,其最主要的风险类型是信用风险。本篇论文正是从信用风险的识别、计量和管理措施的角度,对信贷资产证券化业务的信用风险进行分析与研究。在本篇论文中,首先介绍了信贷资产证券化业务的基本原理,交易结构和业务流程。在此基础上,本篇论文专门针对信贷资产证券化业务信用风险管理进行了分析研究。首先对信用风险的产生因素和作用机制进行了分析。其次以生命周期理论为基础,建立信贷资产证券化业务中基础资产质量迁徙模型,分析基础资产在不同生命周期阶段的预期损失情况。为信贷资产证券化业务基础资产信用风险的计量提供了一种新的思路。最后,按照信贷资产证券化业务的发展阶段,针对信贷资产证券化业务在不同阶段的特点,提出了风险管理的策略。在研究过程中,本篇论文综合运用了多种研究手段和方法,包括：规范研究与实证研究相结合、定性与定量研究相结合等方式。本篇论文按照风险管理的基本要求,首先分析了信贷资产证券化业务中信用风险的产生机制,对信贷资产证券化业务中信用风险产生的源头和方式进行了明确,使信用风险的管理措施更具有针对性。其次,本篇论文提出了采用发起机构信贷资产质量风险分类结果对资产支持证券的信用风险进行计量,为投资人有效的计量信贷资产证券化业务的信用风险提供了另一种方法,使得投资人可以更简单易行的获得相关的信息,可更好的对信用风险状况进行计量和分析。最后,本篇论文提出了对信贷资产证券化业务信用风险管理的具体措施,为信贷资产证券化业务参与者对信用风险管理提出了具体的建议。通过对信贷资产证券化信用风险识别、计量和管理措施的分析与建议,为相关参与主体更好的管理资产支持证券的信用风险提出了有效的建议方案。本篇论文的不足之处在于：由于缺乏具体的数据基础,没有在预期损失的基础上对信贷资产证券化业务中现金流匹配状况进一步进行分析,引申出对信贷资产证券化业务交易结构风险的研究。这也是作者下一步应该继续进行研究的方向。
[Abstract]:To the credit asset securitization business, its main risk type is the credit risk. In this paper, the credit risk of credit asset securitization is analyzed and studied from the perspective of credit risk identification, measurement and management measures. In this paper, we first introduce the basic principle, transaction structure and business process of credit asset securitization. On this basis, this paper focuses on credit risk management of credit asset securitization business. Firstly, it analyzes the factors and mechanism of credit risk. Secondly, on the basis of life cycle theory, the migration model of basic assets quality in credit asset securitization is established, and the expected loss of basic assets in different life cycle stages is analyzed. It provides a new way to measure the credit risk of credit asset securitization. Finally, according to the development stage of credit asset securitization business, according to the characteristics of credit asset securitization business in different stages, put forward the risk management strategy. In the course of the research, this paper uses a variety of research methods and methods, including: normative research and empirical research, qualitative and quantitative research combined with other methods. According to the basic requirements of risk management, this paper first analyzes the mechanism of credit risk in credit asset securitization business, and defines the source and mode of credit risk generation in credit asset securitization business. Make the management measure of credit risk more pertinence. Secondly, this paper proposes another method to measure the credit risk of asset-backed securities by using the classification results of credit asset quality risk of the initiating institution, which provides another method for investors to effectively measure the credit risk of credit asset securitization business. It makes it easier for investors to obtain relevant information, and can better measure and analyze the credit risk. Finally, the paper puts forward the specific measures for credit risk management of credit asset securitization business, and puts forward specific suggestions for credit risk management for credit asset securitization business participants. Through the analysis and suggestion of credit risk identification, measurement and management measures of credit asset securitization, this paper puts forward an effective proposal for the relevant participants to better manage the credit risk of asset-backed securities. The shortcomings of this paper are: due to the lack of specific data base, there is no further analysis of cash flow matching in credit asset securitization business on the basis of expected loss. The research on transaction structure risk of credit asset securitization business is extended. This is the next step the author should continue to study the direction.
【学位授予单位】：成都理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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