商业银行信贷资产证券化动因分析
发布时间：2018-07-15 18:00
【摘要】：从上个世纪七十年代开始,资产证券化就已经在世界金融创新领域占有重要的位置。从宏观或者微观角度分析,资产证券化的重要性都毋庸置疑。从前者看,它具有优化资源配置的优点,进而提高效率,商业银行的资金结构也能在此基础上得以改善,使投资者具有多样化的投资选择。在欧美等发达国家,论规模而言,资产证券化债券的融资规模已经高于公司发行的债券,这表明证券化发展越来越成熟。在这种环境下,资产证券化也出现了一些不足之处,这使得创造者违背了初始动机,而且证券化产品的实际效应也发生了变化。本文以我国商业银行信贷资产证券化为研究对象,在现有研究的基础之上,对资产证券化的相关概念进行了阐述,使用现金流分析原理、风险隔离原理、资产重组原理、信用增加原理等为理论基础,先从理论上分析了信贷资产证券化的效应机制,总结了我国商业银行信贷资产证券化的基础资产特点,再选择是否资产证券化作为被解释变量,流动比率、存贷比、资本充足率等六个变量为解释变量,银行规模作为控制变量构建了Probit模型,以半年为一个统计周期,选用我国9家商业银行2011年-2015年的数据进行了实证分析,结果表明本次研究所选的解释变量与商业银行资产证券化行为的关系符合预期研究假设,并给出了六点政策建议,这对我国资产证券化的发展有着重要的理论意义。
[Abstract]:Since the 1970s, asset securitization has occupied an important position in the field of financial innovation in the world. From the macro or micro point of view, the importance of asset securitization is beyond doubt. From the former, it has the advantages of optimizing the allocation of resources, and then improving the efficiency, the capital structure of commercial banks can also be improved on this basis, so that investors have a variety of investment options. In developed countries such as Europe and America, the financing scale of asset securitization bonds is higher than that of corporate bonds, which indicates that securitization is becoming more and more mature. In this environment, asset securitization also has some shortcomings, which makes the creator violate the initial motive, and the actual effect of securitization products has also changed. This paper takes the credit asset securitization of the commercial bank of our country as the research object, on the basis of the existing research, has carried on the elaboration to the asset securitization related concept, uses the cash flow analysis principle, the risk isolation principle, the asset reorganization principle, Based on the theory of credit increase, this paper first analyzes the effect mechanism of credit asset securitization, summarizes the basic asset characteristics of credit asset securitization of commercial banks in China, and then selects whether asset securitization is the explanatory variable. Six variables, such as current ratio, deposit / loan ratio and capital adequacy ratio, are used as explanatory variables. The probit model is constructed by using bank size as control variable. The data of 9 commercial banks in China from 2011 to 2015 are selected for empirical analysis. The results show that the relationship between the explanatory variables selected in this study and the behavior of asset securitization of commercial banks is in line with the expected research hypothesis, and six policy recommendations are given. This is of great theoretical significance to the development of asset securitization in China.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2124902
[Abstract]:Since the 1970s, asset securitization has occupied an important position in the field of financial innovation in the world. From the macro or micro point of view, the importance of asset securitization is beyond doubt. From the former, it has the advantages of optimizing the allocation of resources, and then improving the efficiency, the capital structure of commercial banks can also be improved on this basis, so that investors have a variety of investment options. In developed countries such as Europe and America, the financing scale of asset securitization bonds is higher than that of corporate bonds, which indicates that securitization is becoming more and more mature. In this environment, asset securitization also has some shortcomings, which makes the creator violate the initial motive, and the actual effect of securitization products has also changed. This paper takes the credit asset securitization of the commercial bank of our country as the research object, on the basis of the existing research, has carried on the elaboration to the asset securitization related concept, uses the cash flow analysis principle, the risk isolation principle, the asset reorganization principle, Based on the theory of credit increase, this paper first analyzes the effect mechanism of credit asset securitization, summarizes the basic asset characteristics of credit asset securitization of commercial banks in China, and then selects whether asset securitization is the explanatory variable. Six variables, such as current ratio, deposit / loan ratio and capital adequacy ratio, are used as explanatory variables. The probit model is constructed by using bank size as control variable. The data of 9 commercial banks in China from 2011 to 2015 are selected for empirical analysis. The results show that the relationship between the explanatory variables selected in this study and the behavior of asset securitization of commercial banks is in line with the expected research hypothesis, and six policy recommendations are given. This is of great theoretical significance to the development of asset securitization in China.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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