我国商业银行信贷资产证券化资产选择研究

发布时间：2018-12-17 06:07

【摘要】：信贷资产证券化是实现商业银行资本充足性管理、流动性管理和盈利性管理的一种重要手段或工具。因实施方案不同，证券化的效果必然会产生差异。本文以此为切入点，分析在不同的约束条件下，商业银行选择不同性质和类型的信贷资产证券化的作用效果的差异，进而得出最优选择。文章首先回顾了国内外研究现状并具体界定信贷资产证券化的概念及分类，为研究做好铺垫。其次，阐述世界其他国家信贷资产证券化的发展历程，并认为，信贷资产证券化的资产选择应依据不同环境和历史条件进行选择。之后，在资产充足性、流动性和盈利性的约束条件下，具体分析不同性质及不同类型的信贷资产证券化对商业银行的资产充足性、流动性及盈利性的作用效果，推论出在不同的约束条件下，最优的信贷资产选择。进而结合我国商业银行的经营现状，认为，在资本充足性约束条件下，风险权重大的优良资产是最优的选择。在流动性约束条件下，利率较低的优良资产是最优的选择。在盈利性约束条件下，从静态角度出发，选择利率较低的不良资产是最优的选择。并且在特殊条件下，，证券化不但不会降低商业银行的收益率，还会提高其整体的盈利水平。在此框架下，文章结合我国商业银行的具体经营情况给出上市的几家商业银行信贷资产证券化的理性选择。最后，在回顾和分析我国信贷资产证券化的实践后，对未来信贷资产证券化的发展做出展望。
[Abstract]:Credit asset securitization is an important means or tool to realize capital adequacy management, liquidity management and profitability management of commercial banks. The effect of securitization is bound to be different because of different implementation schemes. This paper takes this as the starting point to analyze the effect difference of the commercial bank choosing the credit asset securitization of different nature and type under the different constraint conditions, and then obtains the best choice. Firstly, this paper reviews the current research situation at home and abroad and defines the concept and classification of credit asset securitization. Secondly, the development course of credit asset securitization in other countries in the world is expounded, and it is considered that the asset selection of credit asset securitization should be based on different circumstances and historical conditions. Then, under the constraint of asset adequacy, liquidity and profitability, the effects of different nature and different types of credit asset securitization on the asset adequacy, liquidity and profitability of commercial banks are analyzed. We infer the optimal choice of credit assets under different constraints. Combining with the current situation of commercial banks in our country, it is concluded that under the constraint of capital adequacy, good assets with high risk weight are the best choice. Under the constraint of liquidity, good assets with low interest rate are the best choice. Under the condition of profit-making, it is the best choice to choose the bad assets with lower interest rate from the static point of view. And under special conditions, securitization will not only reduce the rate of return of commercial banks, but also improve its overall profitability. Under this framework, the paper gives the rational choice of credit asset securitization of several listed commercial banks according to the concrete management of Chinese commercial banks. Finally, after reviewing and analyzing the practice of credit asset securitization in China, the future development of credit asset securitization is prospected.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4;F832.51

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