贷款证券化对我国商业银行信用风险的影响研究

发布时间：2018-05-01 08:19

本文选题：信用风险 + 贷款证券化　；参考：《复旦大学》2013年硕士论文

【摘要】：2012年5月17日,财政部、人民银行和银监会联合发布了《关于进一步扩大信贷资产证券化试点有关事项的通知》,由于全球金融危机被叫停5年的贷款证券化业务试点重新开启。贷款证券化业务从推出开始,就一直被认为是一种转移信用风险的工具,对降低商业银行信用风险能起到积极作用。但是,作为抵押支持债券的一种,信用违约掉期(Credit Default Swap, CDS)则被认为是导致全球金融危机的罪魁祸首。关于贷款证券化的文献,也呈现很明显的分化：2007年以前,支持贷款证券化的占大多数,2007年以后,反对贷款证券化的占大多数。那么,贷款证券化对化解商业银行信用风险究竟是有利还是有害?中国重启贷款证券化,是会成为商业银行大发展的契机,还是导致新一轮的金融危机?本文试图从理论和实证两个方面,论述贷款证券化对商业银行信用风险产生的影响,并根据实证分析结果,结合中国实际情况,探讨推广贷款证券化的政策建议。本文首先介绍了贷款证券化的历史和特征,着重介绍了贷款证券化在中国的发展史,包括起源,发展阶段及其里程碑。第二章对贷款证券化如何影响商业银行信用风险进行了理论分析,从四个方面分析贷款证券化是如何化解商业银行信用风险的：一、信用风险转移从而降低不良贷款率；二、缩短贷款平均期限从而降低期限错配；三、提高商业银行资本充足率；四、强制要求商业银行披露信息,倒逼商业银行改善经营状况,客观上降低信用风险。第三章,通过对美国市场2000-2012年48个季度超过35000个样本进行因果关系检验,验证了贷款证券化规模增大会提高资本充足率和风险管理能力。接下来,对中国市场数据进行回归分析,验证了贷款证券化率对不良贷款比率呈反向关系,与不良贷款拨备覆盖率呈正向关系,即,贷款证券化规模扩大,可以降低不良贷款比率,提高不良贷款拨备。最后,本文分析了我国商业银行现存的信用风险问题,逐条分析通过贷款证券化来化解这些问题的可行性,并提出监管与政策意见。本文的主要贡献在于：结合中国实际,提出了贷款证券化对中国商业银行信用风险的影响机制,对美国和中国市场进行了实证分析,并对分析的结果进行了验证。本文的不足在于：由于国内市场缺乏数据,无法进行进一步的实证分析。
[Abstract]:On May 17, 2012, the Ministry of Finance, the people's Bank of China and the Banking Regulatory Commission jointly issued the notice on the further expansion of the pilot project of credit asset securitization, which was reopened because of the global financial crisis, when the pilot business of loan securitization was suspended for five years. Loan securitization has been regarded as a tool to transfer credit risk from the beginning of loan securitization, which can play a positive role in reducing credit risk of commercial banks. But credit default swap Credit Default Swapa, a mortgage-backed bond, is blamed for the global financial crisis. The literature on loan securitization also shows obvious differentiation: before 2007, the majority supported loan securitization, after 2007, the majority opposed loan securitization. So, loan securitization is beneficial or harmful to dissolving the credit risk of commercial bank. Will the resumption of loan securitization in China become an opportunity for the development of commercial banks or will it lead to a new round of financial crisis? This paper attempts to discuss the impact of loan securitization on the credit risk of commercial banks from both theoretical and empirical aspects, and based on the results of empirical analysis, combined with the actual situation in China, discusses the policy recommendations to promote loan securitization. This paper first introduces the history and characteristics of loan securitization, focusing on the development history of loan securitization in China, including the origin, development stage and milestone. The second chapter analyzes how loan securitization affects the credit risk of commercial banks theoretically, and analyzes how loan securitization can resolve the credit risk of commercial banks from four aspects: first, the transfer of credit risk to reduce the non-performing loan rate; second, Shortening the average term of loans to reduce term mismatch; third, raising the capital adequacy ratio of commercial banks; fourth, forcing commercial banks to disclose information, forcing commercial banks to improve their operating conditions, and objectively reducing credit risk. In chapter 3, the causality test of more than 35000 samples in 48 quarters from 2000 to 2012 proves that the increase of loan securitization scale will improve the capital adequacy ratio and risk management ability. Then, the regression analysis of the Chinese market data shows that the loan securitization rate has a reverse relationship with the non-performing loan ratio, and has a positive relationship with the non-performing loan provision coverage, that is, the scale of loan securitization is enlarged. It can reduce the non-performing loan ratio and raise the provision for non-performing loans. Finally, this paper analyzes the existing credit risk problems of commercial banks in China, analyzes the feasibility of solving these problems through loan securitization, and puts forward some suggestions on supervision and policy. The main contributions of this paper are as follows: combined with the reality of China, this paper puts forward the influence mechanism of loan securitization on the credit risk of Chinese commercial banks, makes an empirical analysis on the American and Chinese markets, and verifies the results of the analysis. The deficiency of this paper lies in: because the domestic market lacks the data, cannot carry on the further empirical analysis.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F832.33

【参考文献】