我国商业银行不良资产证券化资产池设计

【作者】 田浪；

【导师】 张根明；

【作者基本信息】 中南大学 ， 技术经济及管理， 2004， 硕士

【摘要】 世界各国银行不良资产处置经验表明,不良资产证券化可以加快不良资产的处置,提前回收现金从而防范与化解金融风险。随着我国国有商业银行改制、上市进度的加快与资本市改革的深化,不良资产证券化已经势在必行。资产池设计是我国商业银行不良资产证券化过程中重要环节之一。怎样对资产池进行设计,使其满足证券化的要求,成了我国商业不良资产证券化过程中的关键技术难点。 本文首先对不良资产证券化资产池设计的前提——不良资产证券化资产化的必要性和充分性进行论证,然后对不良资产证券化资产池设计理论进行了分析,接着对美国重组信托投资公司和韩国资产管理公司两个资产池设计案例进行了分析,得出可供我国借鉴的经验,最后在前述工作基础上提出了我国商业银行不良资产证券化资产池设计方案,并模拟一个资产池设计对该设计方案可行性和可操作性进行了论证。 该方案的主要内容如下:将进入不良资产进行分组,然后利用KMV资产组合模型对各组资产进行组合,求得一定预期收益率水平下的资产池最小风险组合;由资产管理公司把证券化业务与其它业务隔离或成立全资子公司作为SPV;从债券违约角度出发,建立最佳超额抵押模型,求解在满足不良资产证券化要求下的最低超额抵押率。更多还原

【Abstract】 The experience of dealing with non-performing asset in worldwide banks shows that the securitization of non-performing asset can speed up its disposition and reclaim the cash in advance so that the financial risk can be prevented and dissolved. With the reconstruction of China’s state-owned commercial banks and their being on the list as well as the intensification of reform in the capital market, the securitization of non-performing asset grows more and more imperative. The design of asset pool is the important part in the process of such a securitization. How to design the asset pool so as to meet the requirements of securitization has become a tough issue.First, the paper demonstrates the feasibility and necessity of non-performing (NPA) asset securitizaiton as the precondition for the design of pool. Then, it analyses the theory of the design of pool . it makes two cases study. On that basis, a plan for the design of pool of the securitization of non-performing asset in China’s commercial banks is put forward. Finally,it testify the feasibility and maneuverability of the design of pool by simulating a case .The detail of the design of pool is: the given non-performing asset is first categorized and then each group of asset is combined according to KMV Portfolio model. The minimum risk combination of asset pool under certain expected yield will be obtained. The asset management company separates the business concerning securitization from other business or sets up wholly-funded subsidiary as SPY From the perspective of bond breaching, the model of optimal excess mortgage is made so as to get the minimum rate of excess mortgage under the circumstance of meeting the need of non-performing asset securitization.更多还原