基于信贷资产证券化信用风险转移对银行个体风险影响研究

发布时间：2018-01-18 12:38

本文关键词：基于信贷资产证券化信用风险转移对银行个体风险影响研究　出处：《南京理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：信贷资产证券化是商业银行信用风险转移的一种重要途径,是结构化融资方式的一种,是近几年比较关注的研究课题。本文通过考察我国部分上市商业银行信贷资产证券化的发展现状,讨论商业银行信用风险转移机制,分析信用风险转移对银行个体风险转移的影响,试图解释信用风险转移对银行个体系统风险影响呈现出三种不同趋势现象的原因。论文主要从三个方面分析:第一,理论分析。主要从我国当前商业银行发行信贷资产证券化交易结构,对信贷资产证券化过程信用风险转移机制进行理论分析,讨论信用风险转移对银行个体风险影响关系;第二,静态指标分析。通过对我国商业银行发行信贷资产证券化前后其自身会计指标的变化案例分析和统计分析,讨论信用风险转移对发起银行流动性风险的影响关系;第三,动态指标角度。通过分析我国部分商业银行发行信贷资产证券化前后导致自身的系统风险系数的研究分析,讨论信用风险转移对发起银行系统风险水平的影响关系。通过三个方面的研究分析,本文主要得出三个结论:第一,银行利用信贷资产进行证券化融资过程是银行自身风险减少的过程。发起银行通过向投资者出售优先档资产,以风险资产置换无风险的流动性资产,其本身由信贷资产带的总风险水平将降低。第二,信贷资产证券化对发行银行的风险水平的影响程度,取决于发起银行对证券化获得流动资产的运营情况。若经信贷资产证券化获得的流动资产的再投资资产和发起银行持有的次级档资产的加权风险水平大于初始信贷资产证券化的资产池风险水平,当市场风险变化时,发起银行风险影响程度大于不发行信贷资产证券化的资产池的影响程度,反之,亦然。第三,由于考察期不同,研究者在实际研究中观察到的信用风险转移对商业银行个体风险影响的情况不同。
[Abstract]:Credit asset securitization is an important way for commercial banks to transfer credit risk and a kind of structured financing. This paper discusses the credit risk transfer mechanism of commercial banks by investigating the current situation of credit asset securitization of some listed commercial banks in China. This paper analyzes the impact of credit risk transfer on individual risk transfer of banks. This paper tries to explain the impact of credit risk transfer on individual system risk of banks showing three different trends. The thesis mainly analyzes from three aspects: first. Theoretical analysis. Mainly from the current commercial banks issued credit asset securitization transaction structure, the credit risk transfer mechanism of credit asset securitization process is analyzed theoretically. The influence of credit risk transfer on individual risk of bank is discussed. Second, the static index analysis. Through the commercial banks to issue credit asset securitization before and after their own accounting indicators change case analysis and statistical analysis. The influence of credit risk transfer on the liquidity risk of initiating bank is discussed. Third, the dynamic index perspective. Through the analysis of some commercial banks in China before and after issuing credit asset securitization leading to their own systemic risk coefficient research and analysis. This paper discusses the impact of credit risk transfer on the risk level of the initiating banking system. Through three aspects of research and analysis, this paper mainly draws three conclusions: first. Banks use credit assets for securitization financing process is the process of reducing the risk of banks. The sponsoring bank through the sale of priority assets to investors with risky assets to replace the risk of liquidity assets. The total risk level of credit assets will be reduced by itself. Second, the impact of credit asset securitization on the risk level of issuing banks. Depending on the operation of the initiating bank in the securitisation acquisition of current assets. If the weighted risk level of the current assets acquired through the securitization of credit assets and the secondary assets held by the initiating bank is greater than the initial letter. Asset pool risk level of securitization of loan assets. When the market risk changes, the risk impact of the initiating bank is greater than that of the asset pool without issuing credit asset securitization, and vice versa. Third, because of the different investigation period. The effect of credit risk transfer on individual risk of commercial banks is different.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.33

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