摘要
资产证券化是近三十年来国际金融领域中最重要的一项金融创新,它是指原始权益人将缺乏流动性但能够产生可预见的稳定的资金流量的资产集中起来将其变成可以在金融市场出售和流通的证券据以融通资金的过程。
我国国有商业银行的巨额不良资产问题已成为威胁国家经济金融安全,危害国民经济正常运行的重大隐患,随着我国加入世界贸易组织和我国商业银行市场化战略的推进,处理我国商业银行的不良资产任务迫切,意义重大。鉴于资产证券化的特点和优点,不良资产证券化不失为一种解决我国银行不良资产问题的新选择。同时它也有利于增强银行资产的流动性,促进银行业的稳健经营,进一步化解金融风险,使国民经济保持持续、快速、稳健的发展具有重要的意义。
本文共分为五个部分:
第一部分是导论,介绍了本文的研究背景和历史意义,本课题国内外研究现状,总体思路和研究方法。
第二部分是商业银行不良资产证券化的运行机制与风险分析,首先介绍了资产证券化的实质和不良资产证券化的三大运行机制:资产组合机制、风险隔离机制、信用增级机制,然后对其进行风险分析。其中资产证券化机理分析是比较重要的部分。本章系统的介绍了资产证券化原理的核心内容即如何集合可证券化的资产,对其现金流进行重组并转递给投资者,在该转递过程中通过信用增级来保证该转递的成功。
第三部分是商业银行不良资产证券化的成本收益分析,主要从微观方面进行实证分析,说明从成本收益的角度来说,开展商业银行不良资产证券化具有可行性。该部分也是本文的创新之处。
第四部分是对不良资产证券化的定价理论进行讨论,也是本文的重点部分。首先对基础资产的现金流进行分析,然后通过对定价方法选择的介绍和不良资产贴现率的确定建立定价模型,借鉴目前国外比较流行的三种定价模型,对其进行研究比较,为提出可行方案做出铺垫。
第五部分是不良资产证券化的方案设计。针对我国的现实情况,提出两种可行方案。
本文针对现阶段我国商业银行不良资产的现状,根据资产证券化的基本原理,结合实证分析对我国商业银行开展不良资产证券化存在问题进行研究。对我国商业银行不良资产证券化的实施有一定的参考价值。
In the recent 30 years, the asset securitization has become one of the most important innovations the international financial field. It is a process in which the original rights person collets the assets lacking in mobility, while being able to produce foreseeable and stable cash flow, and converts them into the portfolios sold and circulated in the financial market to circulate funds.
Today the huge bad property of the state-owned commercial bank has become a threat to the safety and the normal circulation of the national economy. With China's joining the WTO and the development of our commercial banks' marketing strategy, to deal with the bad property has become an urgent and significant task. In view of the characteristics and advantages of the asset securitization, the asset securitization to the bad property is a novel method to solve the problem. At the same time, it could strengthen the mobility of the bad property promote the stable the management, dispel the financial risk, and keep the national economy developing in a continuous, fast and stable way. The body of this thesis is made up of five parts:
Part one introduces the research background and its practical significance, the status quo at home and abroad, and the ideology and methodology.
Part two analyses the operating mechanism and the risk of the asset securitization to the bad property of the commercial bank. First it introduces the essence of the asset securitization and the three operating mechanisms of the asset securitization to the bad property: the property combination mechanism, risk insulation mechanism and reputation increasing mechanism. Then their risks will be analyzed. Among them, the mechanism analysis is a most important argumentation. This part systematically introduces the core theory of the asset securitization to the bad property, that is, how to collect the property which could be securitized, reorganize the cash flow and transmit to the investor, and guarantee the transmission through the reputation increasing.
Part three is the cost income analysis of the asset securitization to the bad property of the commercial bank. Main through the micro case analyses, it illustrates the feasibility of the asset securitization to the bad property of the commercial bank in terms of the cost-income. This part is also the innovative section of this thesis.
Part four is the key part that arguments the price theory of the asset securitization to the bad property. At first it analyzes the cash flow of the fundamental property. Then the price model will be built up through the introduction of the price choosing method and the fixation of the bad property discount rates. And the feasible plan will be put forward by using the experience of the three types of popular price models at abroad recently and making comparison with them.
Part five is the plan of the asset securitization to the bad property. It put forward two kinds of feasible plans according to the reality of our country.
In view of the status quo of our commercial banks, this thesis studies their problem of the asset securitization to the bad property of our state-owned commercial banks with the case analyses based on the theories of the asset securitization. It is of certain value to the implementation of the asset securitization to the bad property in our state-owned commercial banks.
引文
5 参见 John Lintner (1969), The Aggregation of Investors Divcrsc lodgments and Preferences in Purely Competitive Security Markets, Journal of financial and Quantitative Analysis, No. 4, 347-400.
6 参见 Gonedes, Nicholas (1976), Capital Market Equilibrium for a Class of heterogeneous Expectations in a Two-Parameter World, Journal of Finance, No. 3, 1-15.
7 参见 Linderberg, Eric (1979), Imperfect Competitions Among Investors in Security Markets, Ph. D. Dissertation, New York University.
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