商业银行信贷资产证券化的信用风险研究

发布时间：2018-11-12 12:54

【摘要】：信贷资产证券化将流动性较差的资产打包证券化并在公开交易的市场发行获取流动性,是商业银行解决资金不足等问题的方法之一。我国的资产证券化的发展经历了试点、暂停、重启、爆发多个阶段,自从2012年业务重启以来,资产证券化产品的存量和发行量均不断刷新纪录,前景光明。但是资产证券化毕竟是金融衍生品,其本身也存在着风险。2007年爆发的美国次贷危机,资产证券化产品的信用风险其爆发是重要的导火索之一。因此,在不断推进我国资产证券化进程的同时,应对资产证券化产品蕴含的信用风险需进行科学测度与计量。本文结构分为五章:第一章主要介绍了相关的理论及研究成果;第二章分析了商业银行所面临的各类风险,并对相关信用风险计量模型进行分析;第三章论证了资产证券化的业务流程及其对商业银行产生的效应;第四章运用模型对我国已发行上市交易的信贷资产支持证券产品进行实证检验,并与市场上认可度较高的评级机构给出的评级结果对比,得出我国相关资产证券化产品的信用风险程度;第五章总结理论和实证结果,针对我国商业银行资产证券化产品的存在一些问题,分析相关原因并提出了政策建议。经过对已发行的信贷资产证券化产品历史估值数据进行实证检验,发现我国已经发行的信贷资产支持证券信用风险处于较低的水平,是安全可靠的投资标的,且相对收益也较可观。与此同时,也发现银行间市场交易不活跃,资产支持证券未全部实现风险隔离等问题。因此,解决这些问题还需要我国不断完善相关证券发行制度、开拓交易市场、扩大参与者群体,推进我国信贷资产证券化业务的深入开展。
[Abstract]:Credit asset securitization is one of the ways for commercial banks to solve the problem of shortage of funds by packaging and securitizing illiquid assets and issuing them in the publicly traded market. The development of asset securitization in our country has experienced pilot, suspended, restarted, and broke out many stages. Since the restart of business in 2012, the stock and circulation of asset securitization products have constantly set new records, and the prospects are bright. However, asset securitization is a financial derivative, and there are risks in itself. The credit risk of asset securitization products is one of the important triggers in the subprime mortgage crisis in the United States in 2007. Therefore, while continuously promoting the process of asset securitization in China, the credit risk contained in asset securitization products should be scientifically measured and measured. The structure of this paper is divided into five chapters: the first chapter mainly introduces the relevant theories and research results, the second chapter analyzes the various risks faced by commercial banks, and analyzes the relevant credit risk measurement model. The third chapter demonstrates the business process of asset securitization and its effect on commercial banks. The fourth chapter uses the model to test the credit asset-backed securities products which have been issued and traded in China, and compares them with the rating results given by the highly recognized rating agencies in the market. The degree of credit risk of securitization products in China is obtained. The fifth chapter summarizes the theoretical and empirical results, analyzes the relevant reasons and puts forward some policy recommendations in view of the problems existing in the asset securitization products of commercial banks in China. Through the empirical test on the historical valuation data of the issued credit asset securitization products, it is found that the credit risk of the issued credit asset backed securities in China is at a low level and is a safe and reliable investment target. And the relative income is also considerable. At the same time, we also find that the interbank market is not active, and the asset-backed securities are not completely risk-segregated. Therefore, to solve these problems, we still need to improve the relevant securities issuance system, open up the trading market, expand the group of participants, and promote the further development of credit asset securitization business in China.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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