基于CreditMetrics模型的中国信贷资产证券化信用风险研究

发布时间：2018-04-03 12:08

本文选题：中国信贷资产证券化　切入点：信用风险评估　出处：《上海交通大学》2013年硕士论文

【摘要】：随着中国利率市场化的步步推进，传统的银行信贷业务正受到越来越大的冲击。如何转型寻找新的利润增长点，这是近年来许多银行管理层都在思考的问题，而信贷资产证券化，从长期而言，定是这其中不可或缺的业务之一。正是在此背景下，，2012年央行、银监会和财政部联合发布了《关于进一步扩大信贷资产证券化试点有关事项的通知》，正式重启信贷资产证券化业务。信贷资产证券化的重启，对于商业银行和金融市场而言，在提供了新的业务品种和投资产品的同时，也提出了新的问题：未来如何为银行信贷资产证券化产品定价，如何评估其信用风险等等,这些都会成为市场和社会公众所关注的问题，因此研究中国信贷资产证券化的信用风险问题具有相当大的现实意义。本论文将中国与西方成熟市场的信贷资产证券化产品进行比较，对中国信贷资产证券化的特点进行详尽地分析，在此基础上，本文进一步讨论了CreditMetrics模型和KMV模型在中国资产证券化产品风险评估中的适用性，并根据中国金融市场的特点对模型进行了微调，最后论文将微调后的模型套用到案例中进行可行性的验证。本文对信贷资产证券化在中国市场环境中的风险评估和管理有一定参考价值。
[Abstract]:With the development of interest rate marketization in China, the traditional bank credit business is being impacted more and more.How to transform to find new profit growth is a problem that many bank management have been thinking about in recent years, and credit asset securitization is one of the indispensable business in the long run.It is against this background that the Central Bank, the Banking Regulatory Commission and the Ministry of Finance jointly issued the notice on further expanding the pilot projects of credit asset securitization in 2012 to formally restart the credit asset securitization business.The restart of credit asset securitization, for commercial banks and financial markets, not only provides new business and investment products, but also raises new problems: how to price bank credit asset securitization products in the future.How to evaluate its credit risk and so on, these will become the market and the social public concern question, therefore the research China credit asset securitization credit risk question has the considerable practical significance.This paper compares the credit asset securitization products between China and the western mature market, and analyzes the characteristics of China credit asset securitization in detail.This paper further discusses the applicability of CreditMetrics model and KMV model in the risk assessment of asset securitization products in China, and fine-adjusts the model according to the characteristics of Chinese financial market.Finally, the model after fine-tuning is applied to the case to verify the feasibility.This paper has some reference value for risk assessment and management of credit asset securitization in Chinese market environment.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F832.51;F224

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