我国商业银行信贷资产证券化问题研究(硕士)(论文25000字)
论文摘要
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。信贷资产证券化起源于美国的住房抵押贷款证券化，目前已成为国际上的一项重要金融创新和大家广为接受的资金融通工具。发达国家的该技术在内容、结构上己经比较完善,在地域上也发展迅速。
那么如何在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金融经济的安全与稳定。所以针对我国商业银行的资产证券化业务的研究是十分必要的。而信贷资产证券化的定价研究是证券化过程比较关键和复杂的一部分。
本文从分析资产证券化的概念、意义及运作流程入手，着重分析了我国商业银行资产证券化现状及存在的问题，通过研究美国资产证券化并总结其发展经验，最后，在考虑我国目前经济政策、经济环境和商业银行资产状况等方面的基础上,借鉴国外的模式,提出解决我国商业银行信贷资产证券化问题的方案和建议。
关键字：商业银行 资产证券化 发行规模 基础资产 信用评级
Abstract
Asset securitization is regarded as one of the fastest and most successful financial innovations in recent years. As a new type of financial instrument, it has played a very positive role in the process of transferring, resolving and dispersing risks.Originated in America's housing mortgage loan securitization of credit assets securitization, it has become an important international financial innovation and widely accepted financial instrument. In developed countries the technology has comparatively perfect on the content and structure, it has also developed rapidly in region.
So how to use the financial instrument of asset securitization in China, is very important for financial institutions to provide liquidity and spread financial risk,especially for commercial Banks. Due to the large proportion of commercial Banks in Chinese economic system, the stability of the banking sector represents the security and stability of Chinese financial economy to a large extent. Therefore, it is necessary to study the asset securitization business of commercial Banks in China. The pricing method research of credit asset securitization is a key and complex part of the process of securitization.
This paper starts with the analysis of the concept, significance and operation process of asset securitization,emphatically analyzed the present situation of commercial bank asset securitization in our country and existing problems, and by studying the asset securitization and summed up its development experience, and finally, based on Chinese current economic policy, economic environment and commercial bank's asset status and other aspects, on the basis of reference foreign mode, puts forward solution to the problem of our country commercial bank credit assets securitization and the suggestion.
Keywords: commercial bank asset securitization issuing scale underlying assets credit rating
目录
第一章绪论 6
1.1选题背景与意义 6
1.2本文主要内容及研究方法 6
1.3本文创新与不足 7
第二章文献综述 7
2.1国外文献综述 7
2.2国内文献综述 9
第三章资产证券化概述 10
3.1资产证券化概念及基本原理 10
3.1.1资产证券化定义 10
3.1.2资产证券化分类 11
3.1.3资产证券化基本原理 12
3.2资产证券化的运作流程 13
3.2.1资产证券化的参与主体 13
3.2.2资产证券化的流程 15
3.2.3资产证券化的风险 16
3.3资产证券化的定价模型 17
3.3.1静态现金折现法SCFY 17
3.3.2静态利差法SS 18
3.3.3期权调整利差法OAS 19
3.3.4蒙特卡洛模拟模型 21
3.3.5利率二叉树模型 22
第四章我国商业银行资产证券化现状及问题分析 24
4.1我国商业银行资产证券化发展现状 24
4.1.1资产支持证券发行规模不断增长 24
4.1.2基础资产类型不断丰富 26
4.1.3资产证券化市场交易主体有限 30
4.1.4信贷资产支持证券信用等级较高 30
4.2我国商业银行资产证券化过程中存在的问题 31
4.2.1信贷资产证券化的发行总量不足 31
4.2.2基础资产种类增加，但结构不完善 31
4.2.3交易主体有限，难以吸引投资者 31
4.2.4评级机构不健全 32
第五章美国资产证券化经验借鉴 32
5.1美国资产证券化发展程度的评析 33
5.1.1资产证券化发展速度快 33
5.1.2适时调整结构和运行方式 33
5.1.3管理机构职能较为全面 34
5.2次贷危机前美国资产证券化存在的问题分析 34
5.2.1资产证券化链条复杂 34
5.2.2 资产证券化涉及主体过多 35
5.2.3 监管不完全到位 35
5.3次贷危机后美国资产证券化的改进及其效果分析 36
5.4美国资产证券化经验的总结 37
第六章总结 38
参考文献 40 |
