我国商业银行资产证券化风险管理研究
发布时间：2018-12-13 09:10
【摘要】：资产证券化被誉为近年来发展速度最快、最为成功的金融创新之一：作为一种新型金融工具,在转移、化解、分散风险过程中发挥了很大的积极作用：发行人通过将具有稳定未来现金流的资产经过一定的程序打包并发行证券,通过资产证券化,原本集中于发行人的风险分散到所有的资产证券化证券的投资人。同时,随着资产证券化的快速发展,基础资产的种类不断增多,其运作与结构越来越复杂,导致普通投资人对于资产证券化证券所蕴含的风险难以识别。 早在上个世纪90年代资产证券化这一金融创新就被国内实业界人士所注意,并通过离岸金融机构进行过相关试点；2005年3月,经过一系列前准备,我中国正式开始进行资产证券化的试点：国家开发银行和中国建设银行率先行动,成为我国首批发行资产支持证券和抵押贷款证券的银行；但2008年金融危机的爆发使得资产证券化试点暂停,资产证券化的发展一度进入停滞。 2013年,资产证券化试点再次启动,相比上一轮试点,这次参与的机构数量大增,试点额度也有较大规模增长。如何在经历变革中的中国使用好资产证券化这一工具,实现为金融机构提供流动性、分散金融风险的作用显得十分重要,尤其是对商业银行。由于商业银行在我国经济体系中占比较大,银行业的稳定在很大程度上代表着中国的金融经济安全与稳定。所以针对我国商业银行的资产证券化业务的风险监管是十分必要的。 本文首先对现在商业银行面临的金融经济环境作出简要分析并提出现阶段资产证券化业务开展的迫切性：2013年,新一届政府上台之后进行了一系列金融经济制度改革措施,由此导致我国商业银行面临了新的挑战：如以贷款利率下限放开为象征的利率市场化等冲击着商业银行原有的以存贷款利差为主要盈利来源的盈利模式等。在这种新的经济背景之下,资产证券化试点重新启动,吸引了很多金融机构尤其是商业银行的关注。其次对从理论角度对资产证券化进行了分析：实践操作中,未来现金流可以说是资产证券化的核心,结合现金流定价模型可以为证券化证券定价；结合现阶段我国商业银行面临的主要挑战说明了商业银行开展资产证券化业务的必要性及资产证券化的运作流程。同时,分析了我国资产证券化市场的历史发展及现状与分析了我国商业银行在资产证券化业务中所面临的各种风险。在分析过中国的资产证券化市场后,又紧接着分析了美国资产证券化市场的发展及现状,次贷危机对资产证券化市场的影响,美国当局金融监管体系的重建等内容。将两个国家的资产证券化市场对比发现,我国的资产证券化业务目前还有很多不完善不健全之处,只是处于资产证券化业务的发展的最初阶段。最后,根据现实及美国的经验,提出有关我国商业银行资产证券化风险管理的有关建议。
[Abstract]:Asset securitization has been hailed as one of the fastest growing and most successful financial innovations in recent years: as a new financial tool, it is being transferred and resolved. In the process of risk diversification, the issuer plays a very positive role: the issuer securitizes the assets through the process of packaging and issuing securities, which have stable future cash flow. The risk originally concentrated on the issuer is spread to investors in all asset-backed securities. At the same time, with the rapid development of asset securitization, the types of basic assets are increasing, and its operation and structure are becoming more and more complex. As early as the 1990s, the financial innovation of asset securitization has been paid attention to by the domestic businessmen, and the relevant pilot projects have been carried out through offshore financial institutions. In March 2005, after a series of preparations, China officially began to pilot asset securitization: China Development Bank and China Construction Bank took the lead, becoming the first bank to issue asset-backed securities and mortgage-backed securities in China; However, the outbreak of the financial crisis in 2008 halted the pilot project of asset securitization, and the development of asset securitization once came to a standstill. In 2013, the asset securitisation pilot started again, compared with the previous round of pilot, this time the number of institutions involved, pilot quotas have also increased on a larger scale. How to make good use of asset securitization as a tool to provide liquidity for financial institutions and disperse financial risks is very important in China, especially for commercial banks. As commercial banks account for a large part of China's economic system, the stability of the banking industry to a large extent represents the security and stability of China's financial economy. Therefore, it is necessary to supervise the risk of asset securitization of commercial banks in China. This paper first briefly analyzes the financial and economic environment facing commercial banks and points out the urgency of developing asset securitization business at this stage: in 2013, a series of financial and economic system reform measures were carried out after the new government came to power. As a result, Chinese commercial banks are facing new challenges, such as the liberalization of interest rates, which symbolizes the lower limit of loan interest rates, and so on, which impinge on the original profit model of commercial banks with deposit and loan interest margin as the main source of profit, and so on. In this new economic background, asset securitization pilot restart, attracted the attention of many financial institutions, especially commercial banks. Secondly, it analyzes the asset securitization from a theoretical point of view: in practice, the future cash flow can be said to be the core of asset securitization, and combined with the cash flow pricing model, the securitization securities can be priced; Combined with the main challenges faced by Chinese commercial banks at present, the necessity of developing asset securitization business and the operation process of asset securitization are explained. At the same time, it analyzes the historical development and present situation of asset securitization market in China, and analyzes the various risks faced by commercial banks in asset securitization business. After analyzing the asset securitization market in China, it then analyzes the development and present situation of the asset securitization market in the United States, the influence of the subprime mortgage crisis on the asset securitization market, and the reconstruction of the financial supervision system of the American authorities. By comparing the asset securitization markets of the two countries, it is found that there are still many imperfections in the asset securitization business in our country, which is only in the initial stage of the development of asset securitization business. Finally, according to the reality and American experience, the paper puts forward some suggestions on the risk management of asset securitization of commercial banks in China.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.33
本文编号：2376290
[Abstract]:Asset securitization has been hailed as one of the fastest growing and most successful financial innovations in recent years: as a new financial tool, it is being transferred and resolved. In the process of risk diversification, the issuer plays a very positive role: the issuer securitizes the assets through the process of packaging and issuing securities, which have stable future cash flow. The risk originally concentrated on the issuer is spread to investors in all asset-backed securities. At the same time, with the rapid development of asset securitization, the types of basic assets are increasing, and its operation and structure are becoming more and more complex. As early as the 1990s, the financial innovation of asset securitization has been paid attention to by the domestic businessmen, and the relevant pilot projects have been carried out through offshore financial institutions. In March 2005, after a series of preparations, China officially began to pilot asset securitization: China Development Bank and China Construction Bank took the lead, becoming the first bank to issue asset-backed securities and mortgage-backed securities in China; However, the outbreak of the financial crisis in 2008 halted the pilot project of asset securitization, and the development of asset securitization once came to a standstill. In 2013, the asset securitisation pilot started again, compared with the previous round of pilot, this time the number of institutions involved, pilot quotas have also increased on a larger scale. How to make good use of asset securitization as a tool to provide liquidity for financial institutions and disperse financial risks is very important in China, especially for commercial banks. As commercial banks account for a large part of China's economic system, the stability of the banking industry to a large extent represents the security and stability of China's financial economy. Therefore, it is necessary to supervise the risk of asset securitization of commercial banks in China. This paper first briefly analyzes the financial and economic environment facing commercial banks and points out the urgency of developing asset securitization business at this stage: in 2013, a series of financial and economic system reform measures were carried out after the new government came to power. As a result, Chinese commercial banks are facing new challenges, such as the liberalization of interest rates, which symbolizes the lower limit of loan interest rates, and so on, which impinge on the original profit model of commercial banks with deposit and loan interest margin as the main source of profit, and so on. In this new economic background, asset securitization pilot restart, attracted the attention of many financial institutions, especially commercial banks. Secondly, it analyzes the asset securitization from a theoretical point of view: in practice, the future cash flow can be said to be the core of asset securitization, and combined with the cash flow pricing model, the securitization securities can be priced; Combined with the main challenges faced by Chinese commercial banks at present, the necessity of developing asset securitization business and the operation process of asset securitization are explained. At the same time, it analyzes the historical development and present situation of asset securitization market in China, and analyzes the various risks faced by commercial banks in asset securitization business. After analyzing the asset securitization market in China, it then analyzes the development and present situation of the asset securitization market in the United States, the influence of the subprime mortgage crisis on the asset securitization market, and the reconstruction of the financial supervision system of the American authorities. By comparing the asset securitization markets of the two countries, it is found that there are still many imperfections in the asset securitization business in our country, which is only in the initial stage of the development of asset securitization business. Finally, according to the reality and American experience, the paper puts forward some suggestions on the risk management of asset securitization of commercial banks in China.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.33
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