我国商业银行不良资产证券化研究
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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.
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.
[1] 吴蓬生．不良债权研究．北京：中国财政经济出版社，2002
[2] 宾融．中美不良资产证券化的对比分析[J]．财贸经济，2002，(5)
[3] 王小波．美日资产证券化对公司当前业务和长远发展方向的启示[R]．证券业务通讯．北京：中国华融资产管理公司，2002(3)
[4] 姜建清．商业银行资产证券化．中国金融出版社，2004
[5] 刘海虹．商业银行资产配置问题研究．中国经济出版社，2000
[6] 徐松，李萱娜．资产证券化——中国正在探索处置不良资产新模式[EB／OL]新华网，2004-04-06．
[7] 张海宁．银行反对银行：巴塞尔新资本协议与中国信用风险分析．清华大学出版社，2004
[8] 杨俊龙．资产证券化问题研究[R]．经济研究参考，2004-03-12
[9] 穆迪公司的不良资产证券化评级方法[EB／OL]．联合资信评估有限公司译，2001-06-08．
[10] 张玉明．信息均衡与银行不良资产：中日两国的比较与分析．上海三联书店，2001
[11] 朱金叶．中国资产管理公司金融工具配置[M]．武汉：武汉大学出版社，2002
[12] [美]费兰克·J·法博齐等．资本市场：机构与工具[M]．北京：经济科学出版社，1998
[13] 恽铭庆．金融不良资产处置[M]．中国财政经济出版社，2001
[14] 涂永红、刘柏荣．银行信贷资产证券化．2000
[15] 李建军．国有商业银行绩效评价——理论、方法与实证．中国金融出版社，2004
[16] 陈云贤、王柴伟．不良资产证券化解决方案[J]．资本市场，1998(3)
[17] 何小锋．资产证券化能否解决银行不良债权问题[J]．中国证券期货，1999(5)
[18] 毕晓方、梁焕磊．资产证券化业务的会计处理问题．山东经济，2004(3)
[19] 曹征．美日英三国房地产证券化的主要模式．城市问题，2002(3)
[20] 陈文达．资产证券化：理论与实务．北京：中国人民出版社，2004
[21] 朱显军．不良资产证券化的可行性研究．吉林金融研究，2003(1)
[22] 邓伟利．资产证券化：国际经验与中国实践．上海人民出版社，2003
[23] 何小锋等．资产证券化：中国的模式．北京大学出版社，2002
[24] 洪艳蓉．美国证券法对资产证券化的规范与借鉴．证券市场导报，2002(11)
[25] 普华永道编．亚洲不良资产透视，2003(12)
[26] 李曜等．资产证券化——基本理论与案例分析．上海财经大学出版社，2001
[27] 王引．对当前我国不良信贷资产证券化的理性思考．嘉兴学院学报，2001(13)
[28] 李理．我国商业银行不良资产证券化中的证券设计研究：[中南大学硕士学位论文]．长沙：中南大学，2003
[29] 毛瑞宁．存量与增量：商业银行不良贷款的动态分析．金融研究，2002(6)
[30] 周小川．中国银行体系的不良资产问题重建与再生：化解银行不良资产的国际经验．中国金融出版社，1999
[31] 刘锡良、罗得志．论我国银行不良资产的根源：信用、金融层面的分析．金融研究，2001(10)
[32] 许美征．中国银行体系中的政策性贷款．中国金融出版社，1992
[33] 于长秋、李强．美、英、日等国住房抵押贷款证券化的比较及启示．中国房地产金融，2002(10)
[34] 吴晓求．证券投资学．北京：中国人民大学出版社，2000
[35] 米什金(Mishkin F．S．)．货币金融学．中国人民大学出版社，2000
[36] 张超英、翟祥辉．资产证券化——原理、实务、实例．经济科学出版社，1998
[37] 李晓鹏．资产证券化与金融资产管理．中国金融，2002(7)
[38] 郭其友．斯蒂芬·罗斯对金融与经济学的贡献．经济学动态，2003(5)
[39] Greece Unveils New Securitization Law, International Finance Law Review, Sep. 1, 2003
[40] John Henderson and Jonathan P. Scott. Securitizatin. NewYotk Institute of Finance, 1998
[41] John Henderson. Assert Securitization Current Techniquesand Emerging Market Application. Eoromoneybook, 1997.
[42] Jess Lederman. The Handbook of Asset-Backed Securities. NewYork Institute of Finance, 1990
[43] A Framework For European Securitization. European Securitization Forum, May 2002
[44] Loyrette Nouel. French Securitization Facilitated by New Amendments to the Legislation. Securitization Conduit, 1999, 2(1)
[45] "JAPANESE SECUTITIZATION: A rapid take off, but can the sector keep flying?". Euromoney Magazine, November 1999
[46] http://rd-digex.rating.com/APPS/RD/controller/Artile,2002-04-04 Standard& Poor's. Italian Banks Embrac Securitization[EB/OL]
[47] http://www.phil.frb.org, An Overview of Credit Card Asset-Backed Securities, December, 2002
[48] 中华人民共和国银行业监督管理委员会 http://www.cbrc.gov.cn/
[49] 华融网http://www.chamc.com.cn/
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.
[1] 吴蓬生．不良债权研究．北京：中国财政经济出版社，2002
[2] 宾融．中美不良资产证券化的对比分析[J]．财贸经济，2002，(5)
[3] 王小波．美日资产证券化对公司当前业务和长远发展方向的启示[R]．证券业务通讯．北京：中国华融资产管理公司，2002(3)
[4] 姜建清．商业银行资产证券化．中国金融出版社，2004
[5] 刘海虹．商业银行资产配置问题研究．中国经济出版社，2000
[6] 徐松，李萱娜．资产证券化——中国正在探索处置不良资产新模式[EB／OL]新华网，2004-04-06．
[7] 张海宁．银行反对银行：巴塞尔新资本协议与中国信用风险分析．清华大学出版社，2004
[8] 杨俊龙．资产证券化问题研究[R]．经济研究参考，2004-03-12
[9] 穆迪公司的不良资产证券化评级方法[EB／OL]．联合资信评估有限公司译，2001-06-08．
[10] 张玉明．信息均衡与银行不良资产：中日两国的比较与分析．上海三联书店，2001
[11] 朱金叶．中国资产管理公司金融工具配置[M]．武汉：武汉大学出版社，2002
[12] [美]费兰克·J·法博齐等．资本市场：机构与工具[M]．北京：经济科学出版社，1998
[13] 恽铭庆．金融不良资产处置[M]．中国财政经济出版社，2001
[14] 涂永红、刘柏荣．银行信贷资产证券化．2000
[15] 李建军．国有商业银行绩效评价——理论、方法与实证．中国金融出版社，2004
[16] 陈云贤、王柴伟．不良资产证券化解决方案[J]．资本市场，1998(3)
[17] 何小锋．资产证券化能否解决银行不良债权问题[J]．中国证券期货，1999(5)
[18] 毕晓方、梁焕磊．资产证券化业务的会计处理问题．山东经济，2004(3)
[19] 曹征．美日英三国房地产证券化的主要模式．城市问题，2002(3)
[20] 陈文达．资产证券化：理论与实务．北京：中国人民出版社，2004
[21] 朱显军．不良资产证券化的可行性研究．吉林金融研究，2003(1)
[22] 邓伟利．资产证券化：国际经验与中国实践．上海人民出版社，2003
[23] 何小锋等．资产证券化：中国的模式．北京大学出版社，2002
[24] 洪艳蓉．美国证券法对资产证券化的规范与借鉴．证券市场导报，2002(11)
[25] 普华永道编．亚洲不良资产透视，2003(12)
[26] 李曜等．资产证券化——基本理论与案例分析．上海财经大学出版社，2001
[27] 王引．对当前我国不良信贷资产证券化的理性思考．嘉兴学院学报，2001(13)
[28] 李理．我国商业银行不良资产证券化中的证券设计研究：[中南大学硕士学位论文]．长沙：中南大学，2003
[29] 毛瑞宁．存量与增量：商业银行不良贷款的动态分析．金融研究，2002(6)
[30] 周小川．中国银行体系的不良资产问题重建与再生：化解银行不良资产的国际经验．中国金融出版社，1999
[31] 刘锡良、罗得志．论我国银行不良资产的根源：信用、金融层面的分析．金融研究，2001(10)
[32] 许美征．中国银行体系中的政策性贷款．中国金融出版社，1992
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