商业银行信贷资产证券化对信用风险影响的实证分析

发布时间：2018-05-31 01:42

本文选题：信贷资产证券化 + 信用风险　；参考：《科学决策》2017年06期

【摘要】：文章基于非参数面板数据方法,运用2006-2015年间我国商业银行信贷资产证券化及不良贷款率数据,研究了信贷资产证券化对发起主体信用风险水平的影响。实证结果表明,信贷资产证券化显著降低了发起银行的不良贷款率,下降的比率高于银行的信贷资产证券化率,且两者的比值随时间呈递增态势。这意味着,通过将风险资产转移出表,信贷资产证券化会对发起主体的信用风险产生直接影响;同时还会通过对流动性、盈利能力、信贷投放等方面的改善,对信用风险产生间接影响;其调整效果呈现出逐年递增的杠杆效应(对不良贷款率的下调效果大于信贷资产证券化率),说明通过改善内部经营状况产生的间接影响在逐年增强。
[Abstract]:Based on the non-parametric panel data method, using the credit asset securitization and non-performing loan ratio data of commercial banks from 2006 to 2015, this paper studies the impact of credit asset securitization on the credit risk level of the initiator. The empirical results show that the credit asset securitization significantly reduces the non-performing loan ratio of the initiating bank, which is higher than the credit asset securitization rate of the bank, and the ratio of the two is increasing with time. This means that securitization of credit assets will have a direct impact on the credit risk of the initiator by transferring risky assets out of the table, and will also be improved by improving liquidity, profitability, credit lending, etc. It has an indirect effect on credit risk, and its adjusting effect is increasing year by year. (the effect of decreasing non-performing loan ratio is greater than that of securitization rate of credit assets, which indicates that the indirect influence produced by improving internal operating condition is increasing year by year.
【作者单位】：对外经济贸易大学金融学院;对外经济贸易大学;
【基金】：教育部人文社科项目,编号:12YJC790146。项目名称:我国银行贷款质量的内在机理及影响因素分析——来自31个省的证据
【分类号】：F832.4

【相似文献】