【摘要】 近年国际上资产证券化和信用衍生产品的发展为中小企业信贷风险分散和转移提供了现实可能性,通过构建最优的风险收益分配契约的多银行贷款资产组合进一步解决了证券化过程中的效率损失问题。本文设计、提出了基于多银行贷款组合的中小企业贷款合成CDO交易结构,能够有效剥离、转移和分散中小企业贷款信用风险,降低银行信贷资产风险集中度,降低监管资本成本,在风险分散、缓解信息不对称问题、降低交易成本等方面具有独特优势。更多还原

【Abstract】 In recent years,ABS and credit derivatives have made possible to diversify and transfer risks of SME loans.Loss of efficiency can be further alleviated by optimal Risk-Return trade off among multi-banks.Synthetic CDO with the reference of multi-bank SME loan portfolio will be designed to diversify and transfer risks of SME loans.The structured design can decrease risk convergence of SME loans and costs of Required Capital,and relax information asymmetry between counterparts.更多还原