银行资产证券化问题统计研究
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摘要
资产证券化是近几十年国际金融领域中最重要的一种金融创新，它以完善的创新设计安排突破了法律、会计等障碍，促进了金融市场向非中介化方向发展。本文从资产证券化的基本原理入手，参照国外资产证券化的发展经验，简要地介绍了资产证券化的原理、运作、特征及其在国外的发展进程，并从发展的眼光探讨了我国推进银行资产证券化的可行性，以及我国银行实施资产证券化的现实意义。
银行实施资产证券化的效果如何，关键在于基础资产的构造状况。为此，介绍了我国可供证券化的基础资产体系，并对过手证券、资产支撑证券、转付证券和剥离证券等品种作了简要的介绍，然后以住房抵押贷款证券化为突破口，着重探讨了银行资产证券化的运作机理；另外，对银行资产证券化融资的竞争力和成本收益进行了定量分析，为银行实施证券化提供一个决策依据。
我国银行实施资产证券化，离不开相关的制度环境和法律支持。因此，对于银行实施资产证券化融资过程中所面临的法律、税务、会计等问题，我国必须采取相应的措施促进银行资产证券化正常发展。
本文运用统计方法对银行资产证券化的经营战略进行了深入的分析，并继而对银行资产证券化的竞争力和成本收益进行了探讨，最后针对银行实施MBS融资需解决的问题，借鉴国外的实践经验，结合我国的市场环境，提出了促进银行资产证券化正常发展的相关建议。
Asset Securitization is one of the most important innovation in financial field in recent several decades. It breaks the current law, accounting and taxation through its wonderful contact arrangement, and promotes the disinter mediation in the money market. The thesis try to start with the basic principle of asset securitization, According to the developed experience at overseas, this thesis introduces briefly the principle, operation, features and development of asset securitization, and then explores the feasibilities of putting the asset securitization into effect in China from a perspective. Finally the thesis analyzes its practical signification of asset securitization in banks.
What do the bank implement asset securitization? it is key to that the basic asset is constructed. Therefor, introduces the asset which can be securitizated, and introduces Pass-through, Asser-Backed securitization, Pay-through, and Strips.Then takes securitization of housing mortgage loan as the breakthrough. And then discusses emphasizedly the circulated mechanism about the Banking-Asset Securitization. In addition, analyzes its competition of the banking-asset securitization, then, analyzes the cost and income of the banking-asset securitization quantificationally. Thus, it can provide a decision-making basis for banks implement the asset securitization.
Bank implement the ssset securitization in our country, which must contact with the
pertinent system entironment and the sustaining law. So, on the law, taxation and accounting during the banking-asset securitization, our country muxt adopt the relevant measure to promote the well-balanced development of banking-asset securitization.
Using statistical methods, this paper analyzes thoroughly the working-tactic of the banking-asset securitization, and then probes into the competition and the cost and income of the banking-asset securitization. Finally in discussing the resolved problem integrantly during the banking-asset securitization, puts forward the strategy which promotes the well-balanced development of the banking asset-securitization.
银行实施资产证券化的效果如何，关键在于基础资产的构造状况。为此，介绍了我国可供证券化的基础资产体系，并对过手证券、资产支撑证券、转付证券和剥离证券等品种作了简要的介绍，然后以住房抵押贷款证券化为突破口，着重探讨了银行资产证券化的运作机理；另外，对银行资产证券化融资的竞争力和成本收益进行了定量分析，为银行实施证券化提供一个决策依据。
我国银行实施资产证券化，离不开相关的制度环境和法律支持。因此，对于银行实施资产证券化融资过程中所面临的法律、税务、会计等问题，我国必须采取相应的措施促进银行资产证券化正常发展。
本文运用统计方法对银行资产证券化的经营战略进行了深入的分析，并继而对银行资产证券化的竞争力和成本收益进行了探讨，最后针对银行实施MBS融资需解决的问题，借鉴国外的实践经验，结合我国的市场环境，提出了促进银行资产证券化正常发展的相关建议。
Asset Securitization is one of the most important innovation in financial field in recent several decades. It breaks the current law, accounting and taxation through its wonderful contact arrangement, and promotes the disinter mediation in the money market. The thesis try to start with the basic principle of asset securitization, According to the developed experience at overseas, this thesis introduces briefly the principle, operation, features and development of asset securitization, and then explores the feasibilities of putting the asset securitization into effect in China from a perspective. Finally the thesis analyzes its practical signification of asset securitization in banks.
What do the bank implement asset securitization? it is key to that the basic asset is constructed. Therefor, introduces the asset which can be securitizated, and introduces Pass-through, Asser-Backed securitization, Pay-through, and Strips.Then takes securitization of housing mortgage loan as the breakthrough. And then discusses emphasizedly the circulated mechanism about the Banking-Asset Securitization. In addition, analyzes its competition of the banking-asset securitization, then, analyzes the cost and income of the banking-asset securitization quantificationally. Thus, it can provide a decision-making basis for banks implement the asset securitization.
Bank implement the ssset securitization in our country, which must contact with the
pertinent system entironment and the sustaining law. So, on the law, taxation and accounting during the banking-asset securitization, our country muxt adopt the relevant measure to promote the well-balanced development of banking-asset securitization.
Using statistical methods, this paper analyzes thoroughly the working-tactic of the banking-asset securitization, and then probes into the competition and the cost and income of the banking-asset securitization. Finally in discussing the resolved problem integrantly during the banking-asset securitization, puts forward the strategy which promotes the well-balanced development of the banking asset-securitization.
引文
[1] 王开国．资产证券化论．上海：上海财经大学出版社，1999
[2] 曾浩．资产证券化的原理与结构设计．广发研究，1998，(4)：112～128
[3] 陈钊．住房抵押贷款的理论与实践．上海：复旦大学出版社，2000
[4] 张超英，翟祥辉．资产证券化的操作原理与实务．北京：经济科学出版社，1996
[5] 凡言．美国资产证券化的理论与实践．河南金融管理干部学院学报，2000，(4)：52～55
[6] (美)弗兰克·J·法伯兹．金融市场：工具与机构．大连：东北财经大学出版社，2000
[7] 李华民．为住房抵押贷款证券化打造环境．中国房地产金融，2001，(8)：27～31
[8] Ian H Giddy. Asset Securitization in Asia: An Overview. Cleveland: Hill&Knowlton, 1998
[9] 吴慎之．论我国住房抵押贷款证券化．中央财经大学学报，2001，(11)：20～23
[10] 宋光辉，陆峰．住房抵押贷款证券化：问题与政策建议．财经理论与实践，2002，23(5)：56～59
[11] 田军．资产证券化的基本理论及风险量化分析．郑州航空工业管理学院学报(社科版)，2001，(5)：13～16
[12] (美) 彼得·S·罗斯．商业银行管理．北京：经济科学出版社，1999
[13] 李冬梅．资产证券化及其在中国的现实意义．南开管理评论，2000，(5)：40～43
[14] John Henderson. Asset Securitization: Current Techniques and Emerging Market Applications. London: Euromoney Books, Inc, 1997
[15] 严武．论我国信贷资产证券化基础资产的选择．当代财经，2001，(7)：49～54
[16] 傅斌．我国银行资产证券化的关键环节及制度条件．金融研究，2000，(4)：22～26
[17] Joseph F Sinkey. Commerccial Bank Financial Management in the Financial-Services Induustry. New York: Macmillan publishing company, 1998
[18] 吴汉宏．过手证券：我国MBS的首选品种．浙江金融，2002，(4)：29～31
[19] 陆瑾．资产证券化运作的效率分析．财经研究，2001，(4)：50～54
[20] 陆峰．住房抵押贷款证券化：银行资产证券化的切入点．金融&科技，2002，(9)：97～100
[21] 尹龙．资产证券化：动力、约束与制度安排．金融研究，1999，(2)：10～14
[22] Frank J Fabozzi. The Handbook of Fixed Income Securities. Canada: Business One Irwin, 1991
[23] 陆峰．银行实施资产证券化融资的竞争力分析．重庆金融，2002，(9)：21～24
[24] John Henderson, Jonathan P Scott. Securitization. New York: New York Institute of Finance, 1988
[25] 李庆高．经济学科中的数学原理与方法．长沙：湖南大学出版社，1998
[26] 国家统计局．中国统计年鉴(2002)．北京：中国统计出版社，2002
[27] 申立银．国有企业资产证券化操作的主要参数分析．建筑经济，1999，(7)：3～6
[28] 王多毅．银行不良资产证券化的效用及实施方案分析．城市金融论坛，1999，(7)：11～15
[29] T H Donaldson. credit risk and exposure in Securitization and transaction. London: Macmillan Press, 1989
[30] 李曜，范志刚．资产证券化金融监管中的风险因素分析．新金融，2000，(2)：23～26
[31] Bernadette Minton, Tim Opler, Sonya Stanton. Asset Securitization Among Industrial Firms. Ohio: Ohio State University, 1997
[32] 张振高，何德旭．论中国资产证券化的现实选择．经济评论，2001，(6)：32～35
[33] Phillp L Zweig. The Asset Securitization Handbook. New York: Dow Jones-irwin, 1989
[34] 刘为民．浅谈我国银行业实施资产证券化．济南金融，2001，(11)：36～37
[35] Richard, Scott F, Richard Roll. Prepayment on fLxed-rate Mortgage-backed Securities. Journal of Portfolio Management, 1989, (15): 271～286
[36] 朱宝宪，刘炜莉．我国开展资产支撑证券化融资的研究．管理世界，1999，(5)：21～25
[37] Banks E. The Credit risk of financial instruments. London: Macmillan, 1993
[38] 沈沛，许均华，刘敏．信贷资产证券化—原理与操作技巧．北京：中国金融出版社，1998
[39] 朱民，黄金老．论中国的资产管理公司．经济研究，1999，(12)：12～17
[40] Anthony G Corny, Elizabeth Mays, Editors. Interest rate risk models: theory and practice. Chicago: G P C Ltd, 1997
[41] 余坚，王剑铭．论资产证券化的法规监管．金融研究，1999，(2)：25～29
[42] Frank J Fabozzi, Atsuo Konishi. Asset/Liability Management. Chicago: Probus Publishing Company, 1991
[43] Schwartz. Prepayment & the valuation of MBS. Journal of Finance, 1989, 44(2): 375～392
[44] 段明华．中国推行住房抵押贷款证券化的必要性及操作构想．河南社会科学，2001，(11)：71～73
[45] Tuckman. Bruce. Fixed Income Securities: Tools for Today's markets. New York: John Wiley& Sons, Inc, 1995
[46] Bartlett, Willian W. The Valuation of Mortgage-Backed Securities. Canada: IRWIN, 1994
[47] 胡星．美国住房抵押贷款证券化的运作及启示．参考与借鉴，2002，(3)：50～52
[48] Sacks Paulm, S H Cranford. New Products. New Risks: Harper Collirs Inc, 1991
[2] 曾浩．资产证券化的原理与结构设计．广发研究，1998，(4)：112～128
[3] 陈钊．住房抵押贷款的理论与实践．上海：复旦大学出版社，2000
[4] 张超英，翟祥辉．资产证券化的操作原理与实务．北京：经济科学出版社，1996
[5] 凡言．美国资产证券化的理论与实践．河南金融管理干部学院学报，2000，(4)：52～55
[6] (美)弗兰克·J·法伯兹．金融市场：工具与机构．大连：东北财经大学出版社，2000
[7] 李华民．为住房抵押贷款证券化打造环境．中国房地产金融，2001，(8)：27～31
[8] Ian H Giddy. Asset Securitization in Asia: An Overview. Cleveland: Hill&Knowlton, 1998
[9] 吴慎之．论我国住房抵押贷款证券化．中央财经大学学报，2001，(11)：20～23
[10] 宋光辉，陆峰．住房抵押贷款证券化：问题与政策建议．财经理论与实践，2002，23(5)：56～59
[11] 田军．资产证券化的基本理论及风险量化分析．郑州航空工业管理学院学报(社科版)，2001，(5)：13～16
[12] (美) 彼得·S·罗斯．商业银行管理．北京：经济科学出版社，1999
[13] 李冬梅．资产证券化及其在中国的现实意义．南开管理评论，2000，(5)：40～43
[14] John Henderson. Asset Securitization: Current Techniques and Emerging Market Applications. London: Euromoney Books, Inc, 1997
[15] 严武．论我国信贷资产证券化基础资产的选择．当代财经，2001，(7)：49～54
[16] 傅斌．我国银行资产证券化的关键环节及制度条件．金融研究，2000，(4)：22～26
[17] Joseph F Sinkey. Commerccial Bank Financial Management in the Financial-Services Induustry. New York: Macmillan publishing company, 1998
[18] 吴汉宏．过手证券：我国MBS的首选品种．浙江金融，2002，(4)：29～31
[19] 陆瑾．资产证券化运作的效率分析．财经研究，2001，(4)：50～54
[20] 陆峰．住房抵押贷款证券化：银行资产证券化的切入点．金融&科技，2002，(9)：97～100
[21] 尹龙．资产证券化：动力、约束与制度安排．金融研究，1999，(2)：10～14
[22] Frank J Fabozzi. The Handbook of Fixed Income Securities. Canada: Business One Irwin, 1991
[23] 陆峰．银行实施资产证券化融资的竞争力分析．重庆金融，2002，(9)：21～24
[24] John Henderson, Jonathan P Scott. Securitization. New York: New York Institute of Finance, 1988
[25] 李庆高．经济学科中的数学原理与方法．长沙：湖南大学出版社，1998
[26] 国家统计局．中国统计年鉴(2002)．北京：中国统计出版社，2002
[27] 申立银．国有企业资产证券化操作的主要参数分析．建筑经济，1999，(7)：3～6
[28] 王多毅．银行不良资产证券化的效用及实施方案分析．城市金融论坛，1999，(7)：11～15
[29] T H Donaldson. credit risk and exposure in Securitization and transaction. London: Macmillan Press, 1989
[30] 李曜，范志刚．资产证券化金融监管中的风险因素分析．新金融，2000，(2)：23～26
[31] Bernadette Minton, Tim Opler, Sonya Stanton. Asset Securitization Among Industrial Firms. Ohio: Ohio State University, 1997
[32] 张振高，何德旭．论中国资产证券化的现实选择．经济评论，2001，(6)：32～35
[33] Phillp L Zweig. The Asset Securitization Handbook. New York: Dow Jones-irwin, 1989
[34] 刘为民．浅谈我国银行业实施资产证券化．济南金融，2001，(11)：36～37
[35] Richard, Scott F, Richard Roll. Prepayment on fLxed-rate Mortgage-backed Securities. Journal of Portfolio Management, 1989, (15): 271～286
[36] 朱宝宪，刘炜莉．我国开展资产支撑证券化融资的研究．管理世界，1999，(5)：21～25
[37] Banks E. The Credit risk of financial instruments. London: Macmillan, 1993
[38] 沈沛，许均华，刘敏．信贷资产证券化—原理与操作技巧．北京：中国金融出版社，1998
[39] 朱民，黄金老．论中国的资产管理公司．经济研究，1999，(12)：12～17
[40] Anthony G Corny, Elizabeth Mays, Editors. Interest rate risk models: theory and practice. Chicago: G P C Ltd, 1997
[41] 余坚，王剑铭．论资产证券化的法规监管．金融研究，1999，(2)：25～29
[42] Frank J Fabozzi, Atsuo Konishi. Asset/Liability Management. Chicago: Probus Publishing Company, 1991
[43] Schwartz. Prepayment & the valuation of MBS. Journal of Finance, 1989, 44(2): 375～392
[44] 段明华．中国推行住房抵押贷款证券化的必要性及操作构想．河南社会科学，2001，(11)：71～73
[45] Tuckman. Bruce. Fixed Income Securities: Tools for Today's markets. New York: John Wiley& Sons, Inc, 1995
[46] Bartlett, Willian W. The Valuation of Mortgage-Backed Securities. Canada: IRWIN, 1994
[47] 胡星．美国住房抵押贷款证券化的运作及启示．参考与借鉴，2002，(3)：50～52
[48] Sacks Paulm, S H Cranford. New Products. New Risks: Harper Collirs Inc, 1991