我国商业银行信贷资产证券化的风险问题研究
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摘要
资产证券化是20世纪30年代以来金融市场上最重要、最具有生命力的创新之一。信贷资产证券化是其中最主要的一种形式,信贷资产证券化可以通过信贷资产的各种产品形式实现货币市场与资本市场的内在联系。同时也是一项参与主体众多、结构复杂、交易严谨、市场化程度高的金融创新工程,它在具有显著宏微观经济效益的同时,风险也显得集中与复杂。虽然我国试点的二批证券化业务都已获得了成功,但是应该看到这些成功的案例的规模较小,选择的对象都是优质资产,与真正意义上的证券化还存在一定的距离。尤其是在美国次贷危机、全球金融形势恶化的大环境下,商业银行如何结合中国的实际情况,运用合理有效的手段对信贷资产证券化的风险进行控制与管理,使其更好的推动与促进我国的国民经济发展,就显得尤为重要。
本文主要从商业银行的角度,将信贷资产证券化所面临的风险进行分类:信用风险、早偿风险、结构风险、法律风险和第三方风险。在此分类基础上对我国现阶段所面临的上述风险的现状进行了分析,分析表明我国在原始资产的风险评估、征信数据的采集、量化风险的测度以及法律、税收、会计等制度建设方面都存在着不足与风险。同时也介绍了自2005年以来我国信贷资产证券化的发展历程,并通过建行MBS证券的定价方法和浦发银行第一期信贷资产证券化产品发行的案例,分别分析了信贷资产证券化风险控制体系。最后文章阐述了我国信贷资产证券化的发展障碍,并基于上述现状,对信贷资产证券化的风险控制提出了防范的方法和途径:定量风险通过定价策略一运用资本资产模型与期权利差调整法结合,以确保发起人能获得相应的风险补偿;定性风险通过风险流程控制一全面风险管理模式,分别从控制目标、控制环节、活动控制、信息交流等方面对商业银行信贷资产证券化风险管理体系进行设计,并提出了相应的政策和建议。全文采用理论分析与实际案例分析,定性分析与定量分析相结合的方法,本着实用性、操作型的原则,力求探索出适合于我国商业银行信贷资产证券化风险管理的模式。本文具有一定的实际应用价值,但同时由于我国信贷资产证券化实践处于起步阶段,研究数据的有限性和外部市场的不完善,以及本人的理论水平等原因,尚需进一步完善。
Asset securitization is the most important one with the vitality of innovation in the financial markets since the 30's 20th century. Loan-backed securitization is one of the most important form of credit asset securitization, through the implementation of various forms of money market products and contact the internal capital market. At the same time a large number of participants, structure complex transactions rigorous high degree of market-oriented financial innovation project, it has significant macro-micro economic benefits at the same time, also seemed to focus on risk and complexity. Although the pilot of the second groups of securities have been a successful business, but a result of these successful cases to see the small size of the object of selection are the quality of assets, and on the true meaning of the securities of the distance must also exist. Especially by the United States subprime mortgage crisis, the deteriorating situation in the global financial environment, the commercial banks to combine China's actual conditions, the use of rational and effective means of Loan-backed Securitization to control risk and management, to better improve and promote our country's economic development, it is particularly important.
In this paper, mainly from the perspective of commercial banks, the securitization of credit assets by the classification of risks: credit risk, prepayment risk, structural risk, legal risk and third-party risk. In this classification, At the same time, also introduced in China since 2005 the development of loan- backed securitization process and, through the Construction Bank Securities MBS pricing methods and the first phase of Shanghai Pudong Development Bank loan- backed securitization case, respectively, an analysis of risk control system in loan- backed securitization. Finally, the article discusses the securitization of credit assets of China's development barriers, and based on the current situation, risk management of loan- backed securitization raised the idea: quantitative risk through pricing strategies - the use of capital assets model and options combined with the adjustment spread to ensure that the sponsor can be the risk of the corresponding compensation; qualitative flow risk through risk control - a comprehensive risk management model, separately from the control objectives, control aspect, activity control, information exchange, such as commercial banks on Loan-backed securitization risk management system design, and the corresponding policies and proposals. The full text of the use of theoretical analysis and actual case studies, qualitative analysis with quantitative analysis method that combines the spirit of practicality, operational principles, and strive to explore our country fit in the commercial asset securitization of bank credit risk management models. This article has some practical value, but at the same time , due to domestic commercial bank's limited practice and domestic securities madket imperfections, as well as my limited knowledge, and other reasons, the paper needs to be futher improved.
本文主要从商业银行的角度,将信贷资产证券化所面临的风险进行分类:信用风险、早偿风险、结构风险、法律风险和第三方风险。在此分类基础上对我国现阶段所面临的上述风险的现状进行了分析,分析表明我国在原始资产的风险评估、征信数据的采集、量化风险的测度以及法律、税收、会计等制度建设方面都存在着不足与风险。同时也介绍了自2005年以来我国信贷资产证券化的发展历程,并通过建行MBS证券的定价方法和浦发银行第一期信贷资产证券化产品发行的案例,分别分析了信贷资产证券化风险控制体系。最后文章阐述了我国信贷资产证券化的发展障碍,并基于上述现状,对信贷资产证券化的风险控制提出了防范的方法和途径:定量风险通过定价策略一运用资本资产模型与期权利差调整法结合,以确保发起人能获得相应的风险补偿;定性风险通过风险流程控制一全面风险管理模式,分别从控制目标、控制环节、活动控制、信息交流等方面对商业银行信贷资产证券化风险管理体系进行设计,并提出了相应的政策和建议。全文采用理论分析与实际案例分析,定性分析与定量分析相结合的方法,本着实用性、操作型的原则,力求探索出适合于我国商业银行信贷资产证券化风险管理的模式。本文具有一定的实际应用价值,但同时由于我国信贷资产证券化实践处于起步阶段,研究数据的有限性和外部市场的不完善,以及本人的理论水平等原因,尚需进一步完善。
Asset securitization is the most important one with the vitality of innovation in the financial markets since the 30's 20th century. Loan-backed securitization is one of the most important form of credit asset securitization, through the implementation of various forms of money market products and contact the internal capital market. At the same time a large number of participants, structure complex transactions rigorous high degree of market-oriented financial innovation project, it has significant macro-micro economic benefits at the same time, also seemed to focus on risk and complexity. Although the pilot of the second groups of securities have been a successful business, but a result of these successful cases to see the small size of the object of selection are the quality of assets, and on the true meaning of the securities of the distance must also exist. Especially by the United States subprime mortgage crisis, the deteriorating situation in the global financial environment, the commercial banks to combine China's actual conditions, the use of rational and effective means of Loan-backed Securitization to control risk and management, to better improve and promote our country's economic development, it is particularly important.
In this paper, mainly from the perspective of commercial banks, the securitization of credit assets by the classification of risks: credit risk, prepayment risk, structural risk, legal risk and third-party risk. In this classification, At the same time, also introduced in China since 2005 the development of loan- backed securitization process and, through the Construction Bank Securities MBS pricing methods and the first phase of Shanghai Pudong Development Bank loan- backed securitization case, respectively, an analysis of risk control system in loan- backed securitization. Finally, the article discusses the securitization of credit assets of China's development barriers, and based on the current situation, risk management of loan- backed securitization raised the idea: quantitative risk through pricing strategies - the use of capital assets model and options combined with the adjustment spread to ensure that the sponsor can be the risk of the corresponding compensation; qualitative flow risk through risk control - a comprehensive risk management model, separately from the control objectives, control aspect, activity control, information exchange, such as commercial banks on Loan-backed securitization risk management system design, and the corresponding policies and proposals. The full text of the use of theoretical analysis and actual case studies, qualitative analysis with quantitative analysis method that combines the spirit of practicality, operational principles, and strive to explore our country fit in the commercial asset securitization of bank credit risk management models. This article has some practical value, but at the same time , due to domestic commercial bank's limited practice and domestic securities madket imperfections, as well as my limited knowledge, and other reasons, the paper needs to be futher improved.
引文
[1]方义,《信贷资产证券化对商业银行风险管理的影响》,〈经济研究导刊〉2007年第6期.
[2]于凤坤,《资产证券化:理论与实务》,北京大学出版社,2002.
[3]赵天荣,《商业银行资产证券化风险的测度与定价研究》,西南财经大学,2005.
[4]陈文达等,《资产证券化理论与实务》,中国人民大学出版社,2004.
[5]李勇,《关于我国不良资产证券化的初步探讨》,中国财政经济出版社,2005.
[6]黄茂荣,《法学方法与现代民法》,中国政法大学出版社,2001.
[7]缪凌,《关于资产证券化风险问题的研究》,西南财经大学,2005.
[8]资料来源:www.chinasecuritization.cn
[9]所谓资产的“真实出售”,是指发起人将于拟证券化资产有关的权益和风险或控制权一并转移给特定目的机构,使特定目的机构获得对资产的合法权利
[10]资料来源:www.chinasecuritization.cn
[11]李国良等,《资产组合原理在银行不良资产证券化资产池组建中的应用分析》,〈商场现代化〉2007年9总第516期.
[12]石鹏,《资产证券化基本理论和风险分析》,山东大学,2008.
[13]李景欣,《信贷资产证券化问题研究》,人民邮电出版社,2008.
[14]袁宏泉,《信贷资产证券化也需防范风险》,〈银行家〉2006年第3期.
[15]洪艳蓉,《资产证券化法律问题研究》,北京大学出版社,2004.
[16]20世纪60年代。夏普、林特和莫森于1964年提出了资本资产定价棋型CAPM(CapitalAss etPr icingM odel)。该模型不仅提供了评价收益-风险相互转换特征的可运作框架,也为投资组合分析、基金绩效评价提供了重要的理论基础。
[17]黄大海,《商业银行全面风险管理的模式与选择》,〈上海金融〉2007年第7期.
[18]李阳东,《商业银行信贷资产证券化风险管理研究》,西南大学,2008.
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[3]赵天荣,《商业银行资产证券化风险的测度与定价研究》,西南财经大学,2005.
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[8]资料来源:www.chinasecuritization.cn
[9]所谓资产的“真实出售”,是指发起人将于拟证券化资产有关的权益和风险或控制权一并转移给特定目的机构,使特定目的机构获得对资产的合法权利
[10]资料来源:www.chinasecuritization.cn
[11]李国良等,《资产组合原理在银行不良资产证券化资产池组建中的应用分析》,〈商场现代化〉2007年9总第516期.
[12]石鹏,《资产证券化基本理论和风险分析》,山东大学,2008.
[13]李景欣,《信贷资产证券化问题研究》,人民邮电出版社,2008.
[14]袁宏泉,《信贷资产证券化也需防范风险》,〈银行家〉2006年第3期.
[15]洪艳蓉,《资产证券化法律问题研究》,北京大学出版社,2004.
[16]20世纪60年代。夏普、林特和莫森于1964年提出了资本资产定价棋型CAPM(CapitalAss etPr icingM odel)。该模型不仅提供了评价收益-风险相互转换特征的可运作框架,也为投资组合分析、基金绩效评价提供了重要的理论基础。
[17]黄大海,《商业银行全面风险管理的模式与选择》,〈上海金融〉2007年第7期.
[18]李阳东,《商业银行信贷资产证券化风险管理研究》,西南大学,2008.
[1][美]安东尼.M.桑托莫罗,戴维.F.巴贝尔:《金融市场:工具与机构》[M],辽宁:东北财经大学出版社,2000.
[2][美]弗兰克.丁.法博齐、弗朗哥.莫迪利亚尼:《资本市场:结构与工具》[M],北京:经济科学出版社,1998.
[3][美]斯蒂文.L.西瓦兹:《结构金融-资产证券化原理指南》[M],北京:清华大学出版社,2003.
[4][法]简.费利普周为群译:《金融风险理论—从统计物理到风险管理》[M],北京:经济科学出版社,2002.
[5]何小锋等:《资产证券化:中国的模式》[M],北京:北京大学出版社,2002.
[6]邓伟利:《资产证券化:国际经验与中国实践》[M],上海:上海人民出版社,2003.
[7]于凤坤:《资产证券化:理论与实务》[M],北京:北京大学出版社,2002.
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