我国商业银行信贷资产证券化风险问题研究
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摘要
信贷资产证券化作为资产证券化的一种主要表现形式,虽然发展时间不长,但其发展规模、速度、及产品创新程度都异常活跃,对金融市场的培育和金融体系稳健运行作用重大。信贷资产证券化具有交易主体众多、交易结构复杂、利益关系复杂、市场化程度高等特征,注定了在信贷资产证券化过程中容易生成大量风险。我国商业银行信贷资产证券化目前正处于试点和探索阶段,虽然也取得了一定的成功,但是我国商业银行信贷资产证券化的基础资产大多是优质资产,证券化资产的规模较小,融资金额相对较少,在监管机构撮合和推动下,缺乏必要的风险考验,距离风险敞开的真正的信贷资产证券化仍存在一定的差距。在传统的银行业务利润空间正在不断的被挤压情形下和通胀压力增大的背景下,如何提升我国商业银行的利润空间,加强商业银行资金流动性和满足资本充足性需求,把信贷资产证券化业务与我国商业银行的业务范围拓展紧密有效的结合在一起,以及如何提升商业银行在信贷资产证券化过程中的风险管理和控制水平,解决这些问题具有很强的现实意义,能为我国国民经济的健康发展和资本市场功能强化和完善提供重要的借鉴意义。
本文主要从商业银行视角出发,对信贷资产证券化面临的风险进行细致的分类,主要包括基础资产风险和信贷资产证券化过程中的风险。基础资产风险主要包括：信用风险和提前偿付风险。证券化过程中的风险主要包括：交易结构风险、法律风险、第三方风险。除此之外信贷资产证券化风险还包括利率风险和流动性风险。首先对信贷资产证券化一般风险理论进行介绍和描述,为我国商业银行信贷资产证券化风险管理奠定必要的理论基础；接着对我国现阶段商业银行信贷资产证券化面临的风险和风险评估方法的介绍,通过数据收集、相关实例演示,指出我国商业银行信贷资产证券化在法律、会计、税收、等方面存在严重不足和缺陷；然后对我国商业银行信贷资产证券化风险管理难点进行简要介绍,通过风险资产的定价计量模型的介绍,分析了我国商业银行信贷资产证券化过程风险的测度和评估,具体介绍了期权调整利差模型和资产资本定价模型,并给出相关实例和公式；最后面对我国商业银行信贷资产证券化所面临的信用风险、提前偿付风险、交易结构风险、法律风险、第三方风险、利率风险逐一给出了相应的对策和建议。本文采用理论与实际相结合、定性分析和定量分析相结合的方式,期望获得适合我国国情的商业银行信贷资产证券化风险管理模式。我国商业银行信贷资产证券化在2005年才开始起步,缺乏丰富的实践经历和充足的样本容量、准确可靠的数据支持,证券化市场不健全,由于这些因素的制约,注定我国商业银行信贷资产证券化的研究必须与时俱进,并且具备前瞻性和实效性,希望本文能够对我国商业信贷资产证券化风险管理模式建立能有一定的现实借鉴意义和作用。
Credit assets securitization as a major form of asset securitization, while the development time is very short, but the scale and speed of development, and product innovation are extremely active, and play the significant role in fostering financial markets and promoting the financial system running well. Credit asset securitization has the characteristic of so much transactions subject, complex transactions structure, and complex interest relation, higher level of the market. Doomed in the process of credit assets securitization are easy to generate a large number of risks, In our country credit assets securitization is also in the experimental and exploratory stage. While it achieved some success, but credit assets securitization in our country, the underlying assets are mostly high-quality assets, the scale of the underlying assets and, financing, is very small. Under the promotion of regulatory agencies, lack of the necessary risks and challenges, comparison the open risk credit securitization is also has a large gap. Under the circumstances, the traditional banking business profit margins are constantly squeezed, and context of the global financial crisis, how to promote the profit margins of commercial banks, make the commercial banks to strengthen liquidity management and meet the capital adequacy requirements, make the credit assets securitization business and our commercial bank business to closely integrate effectively, And how to enhance the commercial banks in the process of credit asset securitization, strengthen the risk management and promote the control level, solve these problems has a large practical significance, for our national economy healthy development and strengthen capital market functions has the important reference.
From the perspective of commercial banks, classification and of t detailed the credit assets securitization facing risks, including the underlying asset risk and the risk in the process of securitization.Risk of underlying assets include:credit risk and prepayment risk. Risk in the process of securitization include:transaction structure risk, legal risk, third-party risk. In addition to, the risk of credit assets securitization also including interest rate risk and liquidity risk. First of all, by the credit assets securitization risk theory introduction and description, for our country's commercial bank credit asset securitization risk management, to lay a solid theoretical foundation; Second, by this stage credit asset securitization facing risk and risk management methods introduced,through data collection, relevant examples demonstrate, in these filed such as legal, accounting, tax and so on, our commercial bank credit asset securitization has serious deficiencies and defect; brief description the difficulties of risk management of our national Commercial Bank and the credit assets securitization, by the risk asset pricing model introduction, analysis commercial banks in the process of credit assets securitization existing assessment of risk measures. Detailed description of the option adjusted spread model and the capital asset pricing model, and give relevant examples and formulas. Finally, face the risk of commercial bank credit asset securitization exposure to credit risk, prepayment risk, transaction structure risk, legal risk, third-party risk, interest rate risk, each of the risk were given corresponding countermeasures and suggestions. This article, combination of theory and practice, qualitative analysis and quantitative analysis, expect to obtain to Consistent with our national conditions credit risk management model of asset securitization.
Our country's commercial bank credit asset securitization was started in 2005, lack of rich practical experience and adequate sample size, accurate and reliable data supporting, the securitization market is not perfect, as these factors, doomed of Commercial Bank Credit Securitization of the research must advance with the times, and have forward-looking and effective, hope this article on credit assets securitization of commercial bank risk management model is built to have some practical significance and role of reference.
本文主要从商业银行视角出发,对信贷资产证券化面临的风险进行细致的分类,主要包括基础资产风险和信贷资产证券化过程中的风险。基础资产风险主要包括：信用风险和提前偿付风险。证券化过程中的风险主要包括：交易结构风险、法律风险、第三方风险。除此之外信贷资产证券化风险还包括利率风险和流动性风险。首先对信贷资产证券化一般风险理论进行介绍和描述,为我国商业银行信贷资产证券化风险管理奠定必要的理论基础；接着对我国现阶段商业银行信贷资产证券化面临的风险和风险评估方法的介绍,通过数据收集、相关实例演示,指出我国商业银行信贷资产证券化在法律、会计、税收、等方面存在严重不足和缺陷；然后对我国商业银行信贷资产证券化风险管理难点进行简要介绍,通过风险资产的定价计量模型的介绍,分析了我国商业银行信贷资产证券化过程风险的测度和评估,具体介绍了期权调整利差模型和资产资本定价模型,并给出相关实例和公式；最后面对我国商业银行信贷资产证券化所面临的信用风险、提前偿付风险、交易结构风险、法律风险、第三方风险、利率风险逐一给出了相应的对策和建议。本文采用理论与实际相结合、定性分析和定量分析相结合的方式,期望获得适合我国国情的商业银行信贷资产证券化风险管理模式。我国商业银行信贷资产证券化在2005年才开始起步,缺乏丰富的实践经历和充足的样本容量、准确可靠的数据支持,证券化市场不健全,由于这些因素的制约,注定我国商业银行信贷资产证券化的研究必须与时俱进,并且具备前瞻性和实效性,希望本文能够对我国商业信贷资产证券化风险管理模式建立能有一定的现实借鉴意义和作用。
Credit assets securitization as a major form of asset securitization, while the development time is very short, but the scale and speed of development, and product innovation are extremely active, and play the significant role in fostering financial markets and promoting the financial system running well. Credit asset securitization has the characteristic of so much transactions subject, complex transactions structure, and complex interest relation, higher level of the market. Doomed in the process of credit assets securitization are easy to generate a large number of risks, In our country credit assets securitization is also in the experimental and exploratory stage. While it achieved some success, but credit assets securitization in our country, the underlying assets are mostly high-quality assets, the scale of the underlying assets and, financing, is very small. Under the promotion of regulatory agencies, lack of the necessary risks and challenges, comparison the open risk credit securitization is also has a large gap. Under the circumstances, the traditional banking business profit margins are constantly squeezed, and context of the global financial crisis, how to promote the profit margins of commercial banks, make the commercial banks to strengthen liquidity management and meet the capital adequacy requirements, make the credit assets securitization business and our commercial bank business to closely integrate effectively, And how to enhance the commercial banks in the process of credit asset securitization, strengthen the risk management and promote the control level, solve these problems has a large practical significance, for our national economy healthy development and strengthen capital market functions has the important reference.
From the perspective of commercial banks, classification and of t detailed the credit assets securitization facing risks, including the underlying asset risk and the risk in the process of securitization.Risk of underlying assets include:credit risk and prepayment risk. Risk in the process of securitization include:transaction structure risk, legal risk, third-party risk. In addition to, the risk of credit assets securitization also including interest rate risk and liquidity risk. First of all, by the credit assets securitization risk theory introduction and description, for our country's commercial bank credit asset securitization risk management, to lay a solid theoretical foundation; Second, by this stage credit asset securitization facing risk and risk management methods introduced,through data collection, relevant examples demonstrate, in these filed such as legal, accounting, tax and so on, our commercial bank credit asset securitization has serious deficiencies and defect; brief description the difficulties of risk management of our national Commercial Bank and the credit assets securitization, by the risk asset pricing model introduction, analysis commercial banks in the process of credit assets securitization existing assessment of risk measures. Detailed description of the option adjusted spread model and the capital asset pricing model, and give relevant examples and formulas. Finally, face the risk of commercial bank credit asset securitization exposure to credit risk, prepayment risk, transaction structure risk, legal risk, third-party risk, interest rate risk, each of the risk were given corresponding countermeasures and suggestions. This article, combination of theory and practice, qualitative analysis and quantitative analysis, expect to obtain to Consistent with our national conditions credit risk management model of asset securitization.
Our country's commercial bank credit asset securitization was started in 2005, lack of rich practical experience and adequate sample size, accurate and reliable data supporting, the securitization market is not perfect, as these factors, doomed of Commercial Bank Credit Securitization of the research must advance with the times, and have forward-looking and effective, hope this article on credit assets securitization of commercial bank risk management model is built to have some practical significance and role of reference.
引文
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[4]Margaret Poper. The Asset—backed Culture Clash[J]. Institutional Investor,1994, February:17-25
[5]Christopher W·Frost. Asset Securitization and Corporate Risk Allocation [M].72 Tul. L. Rev.101-124(1997)
[6]Benvenise and Berger. Securitization With Recourses[J]. Banking and Financial,1987(11):47-53
[7]James. The use of loan sales and standby letters of credit by commercial banks[J].Journal of Monetary Economics,1989, (22):395-422
[8]Jure Skarabot. Asset Securitization and optional asset structure of the firm[J].2001, March:21-23
[9]Frank J·Fabpzz等.Asset Securitization and asymmetric information[J]. Research report,2003 (5):78-85
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[44]http://www.stats.gov.cn
[45]ht tp://www.cbrc.gov.cn
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[2]Claire A·Hill. Securitization:A Low-Cost Sweetener for Lemons[M].74 Wash. UL. Q.1061-1120 (Winter 1996)
[3]Edward M·Jacobucci, Ralph A·Winter.Asset securitization and asymmetric information[J]. research report,2003, April:13-21
[4]Margaret Poper. The Asset—backed Culture Clash[J]. Institutional Investor,1994, February:17-25
[5]Christopher W·Frost. Asset Securitization and Corporate Risk Allocation [M].72 Tul. L. Rev.101-124(1997)
[6]Benvenise and Berger. Securitization With Recourses[J]. Banking and Financial,1987(11):47-53
[7]James. The use of loan sales and standby letters of credit by commercial banks[J].Journal of Monetary Economics,1989, (22):395-422
[8]Jure Skarabot. Asset Securitization and optional asset structure of the firm[J].2001, March:21-23
[9]Frank J·Fabpzz等.Asset Securitization and asymmetric information[J]. Research report,2003 (5):78-85
[10]姚长辉.中国住房抵押贷款证券创新研究[M].北京：北京大学出版社,2001：135-178
[11]梁志峰.资产证券化的风险管理—从制度经济学角度的透视[M].北京：经济管理出版社,2008：98-116,284-287
[12]施方.住房抵押贷款证券化—运作和定价[M].上海：上海财经大学出版社,2005：78-113
[13]姜建清.商业银行资产证券化—从货币市场走向资本市场[M].北京：中国金融出版社,2005：187-214,175
[14]邓伟利.资产证券化：国际经验和中国实践[M].上海：上海人民出版社,2003：117-129
[15]李景欣.信贷资产证券化问题研究[M].北京：人民邮电出版社,2008：120-181
[16]彭冰.资产证券化法律解释[M].北京：北京大学出版社,2001：213-225
[17]扈启平.资产证券化理论与实务[M].北京：中国人民大学出版社,2007：125-163
[18]田宏华.我国商业银行信贷资产证券化的风险问题研究[D].上海：复旦大学经济学院,2009
[19]李阳东.商业银行信贷资产证券化风险管理研究[D].重庆：西南大学经济管理学院,2008
[20]许英鸿.我国商业银行信贷资产证券化动因研究[D].北京：中国人民大学商学院,2008
[21]李新.我国商业银行信贷资产证券化研究[D].南昌：江西财经大学金融与统计学院,
[22]罗怡.对信贷资产证券化风险监管的法律思考—以美国次贷危机为例[D].上海：华东政法大学法学院,2008
[23]何小峰,黄嵩等.资产证券化理论与案例[M].北京：中国发展出版社,2007：137-159
[24]何小峰,黄嵩.资产证券化：中国模式[M].北京：北京大学出版社2002：89-112
[25]郑毅.房地产抵押贷款证券化[M].北京：中国社会出版社,2008：34-67
[26]王建实.建行资产证券化项目的案例分析与启示[D].北京：首都经贸大学工商管理学院,2007
[27]弗兰克·丁·法博奇,弗朗哥·莫迪尼亚奇.资本市场：结构与工具[M].经济科学出版社,1998：214-235
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