【作者】 陈晓玲；

【导师】 周葆生；

【作者基本信息】 安徽农业大学 ， 农业经济管理， 2006， 硕士

【摘要】 在我国,随着改革开放的深入,国有商业银行面临的各种问题进一步突显出来。在内部,由于历史和体制的原因,银行自有资本金不足、资产流动性水平低、不良资产数额巨大,风险高度集中,这些都严重阻碍了国有商业银行自身的改革和发展;为降低风险,我国先后成立四家资产管理公司,开始着手大规模解决不良资产问题。正是在这种背景下,资产证券化这种金融创新工具被正式提出,从外部来看,国有商业银行面临着严峻的生存压力和竞争挑战。而国有商业银行在我国金融体系中举足轻重的地位,迫使我们必须攻克这一改革征途中的堡垒。金融业发展的历史表明,金融创新是规避金融风险、稳定金融体系的主要途径。资产证券化作为国际金融领域近三十年来最重要的金融创新之一,无疑是解决上述问题的一个较好的思路。资产证券化不但有助于解决一些浅层次的问题,如提高资产流动性等,而且可以促进深层次的改革,如制度创新,并最终促使现代商业银行制度的建立。资产证券化在我国还是新生事物,可证券化的资产很多,但最早是从银行贷款开始的。而且资产证券化在我国也被作为一条防范信贷风险的方法被提出的,所以文章决定对资产证券化的研究范围缩小在信贷资产上。同时,不论从机构上,还是从资产转移的顺序上,银行都是证券化的逻辑起点。本文以国有商业银行为对象,探索和研究资产证券化的现实意义,存在的问题及可证券化资产选择的研究。我国商业银行的信贷资产种类繁多,对照资产证券化资产应该具备的基本特征并结合我国金融市场实际,能够进行资产证券化的只是很少一部分。住房抵押贷款以其稳定的现金流、低违约率、贷款契约标准化、数额小、易组合等特点而成为最适合证券化的资产,是我国银行资产证券化的一个切入点。并探讨了在我国进行商业银行不良资产证券化的可行性,同时分析了进行信贷资产证券化存在哪些问题,对现在信贷资产证券化存在的风险及资产定价问题也作了进一步的探讨和研究。本文结合国内外实行住房抵押贷款证券化及处理不良资产证券化的成功经验、以及国内研究的最新动态,具体应用微观经济学、宏观经济学、制度经济学、金融工程学、博弈论、概率论与数理统计和商业银行管理方面的知识论述了我国商业银行实施信贷资产证券化的必要性。以定量分析和定性分析相结合,力图总结出我国商业银行信贷资产证券化的一般规律性内容,及我国在利用金融创新规避金融风险仍缺失的条件等一系列问题进行定性和定量研究。最后,本论文作了全面总结,并对我国商业银行信贷资产证券化未来的研究提出了一些尚待继续探讨的问题。更多还原

【Abstract】 In our country, along with reform and open policy, each kind of question which the state-owned commercial bank faces suddenly appears. In the interior, as a result of historical and the system reason, capital owned by bank is short, the property fluidity keeps low level, the bad assets amount is huge, the risk highly concentrates on the state-owned bank, all these seriously hindered the state-owned commercial bank’s reform and the development; In order to reduce the risk, our country successively establishes four assets management company, starting to solve the large scale bad assets problem. Under this kind of background, the kind of finance innovation tool of the assets securitization is officially proposed. From exterior, the state-owned commercial bank faces the stern survival pressure and the competition challenge. But state-owned commercial bank occupy an important status in our country finance system, forces us to have to attack and capture the fortress in this reform battle. The financial industry development history indicates that the financial innovation is the main way to avoid the financial risk and stabilize the financial system. as one of most important finances innovation for late 30 years in the international finance domain, assets securitization undoubtedly is the better way to solve the above question .The assets securitization not only is helpful to to solve some simple problems, such as enhancing the property fluidly and so on, but also may promote the depth level reform, such as the system innovation, and finally accelerate the establishment of the modern commercial bank system.Assets securitization is newly emerging things in our country, but the assets that can be securitilized are very many, but most is early starts from the bank loan. Moreover the assets securitization in our country is proposed to be taken as one method to guard credit risk; therefore the article decides to reduce research scope of assets securitization in the credit property. At the same time, no matter from organization, or from the property shift order, the bank’s credit is the logic beginning. This article takes the state-owned commercial bank as the object, to explore and research assets securitization’s practical significance, the existence question and which kind of securities can be securitilized. In our country commercial bank,the credit asset has many category , comparing with the basic characteristic that the property should have and combined with our country financial market’s circumstance, only a small part of assets can be securization.The housing mortagage credit has so many virtue, such as very steady cash flow, the low breach of contract rate, the standardable credit contract,smallquantity and easy combination etc. become the most suitable asset that can be securization, MBS is a correct way to be securization of our country ’s bank assets.and this article also carry on discuss the possibility if bad assets of our country’s commercial bank can be securization, at the same time analyzed which problems exist in the credit securization, also make the further study and researches on the existent risk and how to price the credit assetThis article unifies the domestic and foreign MBS and the success experience to solve bad assets, as well as the newest tendency of our domestic research, concretely applicate the knowledge of microscopic economic, the macroscopic economic, the system economic, the financial engineering, the game theory, the theory of probability and the mathematical statistic and the commercial bank management to prove the necessity of commercial bank’s securitization combined with by the quantitative analysis and the qualitative analysis, tries hard to summarize the general regular content of our country commercial bank credit assets securitization, and carries on qualitative and the quantitative investigation of the the flaw condition that our country use the financial innovation to avoid the financial risk also do the further discussion and research to the price method of credit assetsFinally, this article gives comprehensive summary, and proposes the future research direction of our country’s commercial bank credit asset securitization which continued to discuss.更多还原