我国金融不良资产处置决策模型研究
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摘要
2007年开始迄今尚未结束的美国次贷危机演变成经济危机以及1997年亚洲金融危机等事实表明:金融不良资产问题是金融市场尤其是银行业的最主要风险源之一。不良资产的大量累积不仅冲击稳定的金融市场,加剧金融市场的脆弱性,而且也是制约金融市场健康、快速发展的巨大隐患。中国金融业如何有效处置金融不良资产、最大化回收率是改变我国金融业“不良资产规模庞大、业务质量不高”现状的关键。因此,金融不良资产问题成为各国金融机构和学术界关心的焦点是现实、必然的要求,也是不良资产处置理论的核心问题之一。
基于以上事实分析,本论文从较微观的角度对我国金融不良资产处置决策模型优化展开了研究。本论文共分为七章。第一章绪论分析了本论文的选题依据、研究方法、技术路线以及研究内容。第二章对我国金融不良资产处置内涵进行了回顾和界定,对金融不良资产处置决策模型的相关研究进展及存在的主要问题进行了分析。第三章对我国金融不良资产缩水形成机制进行了研究。第四、五章对我国金融不良资产目前债转股、拍卖两种主要市场化处置手段的优化决策模型进行了详细研究。第六章则对采用担保债权凭证(CDO)创新处置我国金融不良资产决策模型进行了研究。最后一章为结论与展望。论文的主要研究成果如下:
(1)建立了基于动态博弈理论的金融不良资产价值缩水模型
提出了我国金融不良资产缩水形成机制的问题,通过揭示不良资产价值缩水形成原因,从博弈的角度,建立了基于动态博弈理论的金融不良资产价值缩水模型,分析了金融不良资产缩水形成机制,模拟了金融不良资产价值缩水形成过程,有利于解决金融不良资产如何选择最优处置时间的实践难题。
(2)建立了基于期权的债转股决策优化模型
针对目前我国主要处置方式之一的债转股模式中债转股比例难以确定的核心问题,本研究结合我国相关政策要求及实际,构建了对金融不良资产是否实施债转股的判别条件,建立了考虑不良资产价值变化等因素约束的我国金融不良资产债转股决策理论和模型,推导出债转股比例计算公式,解决了现有研究没有考虑不良债转股后资产的预期价值变化和债转股比例约束限制导致债转股比例确定不合理的弊端。
(3)建立了不良资产拍卖处置定价优化决策模型
针对目前最主要的不良资产拍卖处置模式拍卖费用巨大、拍卖信息不对称等原因致使不良资产价值遭受更大损失的弊端,以寻求不良资产回收率最大化为目标,探索建立了不良资产拍卖处置定价优化决策理论与模型,进一步完善了金融不良资产拍卖理论。
(4)建立了基于担保债权凭证(CDO)的我国金融不良资产处置决策模型
在分析我国金融不良资产证券化处置现状的基础上,根据我国实际情况,设计了金融不良资产CDO多层次结构,并对CDO结构的现金流、信用提升等关键问题进行了相关分析,并采用蒙特卡罗法对金融不良资产CDO进行定价分析,为实践中我国创新处置金融不良资产提供了理论指导和技术支持。
The 2007 year U.S. subprime crisis evolving into an economic crisis and the 1997 Asian financial crisis, and other facts show that the financial non-performing loans (NPLs) problem was one of the most important source risk of financial markets especially the banking sector. The large number of NPLs accumulated which impacted the stability of financial markets, increased the vulnerability of financial markets, but also had constraints on the health of the financial market rapid and enormous development. How to effectively deal with financial NPLs to maximize the recovery of NPLs for China's financial industry? It was the key to change the status quo of "NPLs was large, but the quality was not high". As a result, the financial NPLs problem has become the focus of the financial institutions and academic, and was one of the key issues of disposing NPLs theory.
Based on the above analysis of the facts, from a microscopic point of view, this paper have done some research on China's financial NPLs disposal optimal decision-making theory and model. This paper was divided into seven chapters. The first chapter was the paper's introduction. In this chapter, the paper's basis, technology and content were analyzed. In the second chapter, the disposal of China's financial NPLs connotation was reviewed. The disposal of financial NPLs decision-making theory and models related to the progress and the main problems were analyzed. In the third Chapter, The shrinking mechanism of China's financial NPLs had been studied. In the Fourth and Fifth chapters, the optimal decision-making theory and model were discussed on debt-equity swap and auction disposal means, which was two of the current main China's financial NPLs means. In the sixth chapter, we discussed that the innovative Collateralized Debt Obligations (CDO) was used to disposal China's financial NPLs. The final chapter was the conclusion and prospects. The main theses of the research results were as follows:
(1) Based on the game theory the financial NPLs value-shrinking framework was established.
This paper analyzed the financial NPLs value-shrinking mechanism and the reasons of NPLs value-shrinking. Based on the dynamic game theory, the financial NPLs value-shrinking conduction model was established. After that, this paper simulated the financial NPLs value shrinking formation, which was significant for choosing the best time to dispose the financial NPLs in practice.
(2) The debt-equity swap decision-making system for financial NPLs was constructed based on the NPLs constraints such as NPLs value change.
At present, the debt-equity swap was one of main NPLs disposal means in China. It was difficult to determine the core problem of the debt-equity swap ratio. Combined with China's relevant policy and practice, this study analyzed financial NPLs determining conditions for debt-equity swap and derived the formula for calculating the ratio of debt-equity swap, and the financial NPLs debt-equity swap decision-making model was established on the NPLs constraints such as NPLs value change, which is helpful to resolve the current literatures not considering the problem of value change and Convertible debt-equity swap ratio constraints.
(3) The financial NPLs auction disposal decision-making model was established from the perspective of asymmetric information.
As for the defect of a greater loss of value for NPLs resulted from the enormous costs and asymmetric information for NPLs auction disposal, this study, which was to seeking NPLs to maximize the recovery as the goal, discussed the financial NPLs auction disposal decision-making theory and model, and improved the financial NPls auction theory.
(4) From the point of view of assets securities, the financial NPLs decision-making theory and model was set up by using CDO.
On the basis of analysis the status quo of China's financial NPLs securities disposal, according to China's actual situation, the financial NPLs CDO multi-tranche was designed. The cash flow, credit enhancement, and other key issues of the NPLs CDO's structure were analyzed. We also priced the NPLs CDO by using Monte Carlo method, which could provide a theoretical guidance and technical support for innovative disposal of the China's financial NPLs.
基于以上事实分析,本论文从较微观的角度对我国金融不良资产处置决策模型优化展开了研究。本论文共分为七章。第一章绪论分析了本论文的选题依据、研究方法、技术路线以及研究内容。第二章对我国金融不良资产处置内涵进行了回顾和界定,对金融不良资产处置决策模型的相关研究进展及存在的主要问题进行了分析。第三章对我国金融不良资产缩水形成机制进行了研究。第四、五章对我国金融不良资产目前债转股、拍卖两种主要市场化处置手段的优化决策模型进行了详细研究。第六章则对采用担保债权凭证(CDO)创新处置我国金融不良资产决策模型进行了研究。最后一章为结论与展望。论文的主要研究成果如下:
(1)建立了基于动态博弈理论的金融不良资产价值缩水模型
提出了我国金融不良资产缩水形成机制的问题,通过揭示不良资产价值缩水形成原因,从博弈的角度,建立了基于动态博弈理论的金融不良资产价值缩水模型,分析了金融不良资产缩水形成机制,模拟了金融不良资产价值缩水形成过程,有利于解决金融不良资产如何选择最优处置时间的实践难题。
(2)建立了基于期权的债转股决策优化模型
针对目前我国主要处置方式之一的债转股模式中债转股比例难以确定的核心问题,本研究结合我国相关政策要求及实际,构建了对金融不良资产是否实施债转股的判别条件,建立了考虑不良资产价值变化等因素约束的我国金融不良资产债转股决策理论和模型,推导出债转股比例计算公式,解决了现有研究没有考虑不良债转股后资产的预期价值变化和债转股比例约束限制导致债转股比例确定不合理的弊端。
(3)建立了不良资产拍卖处置定价优化决策模型
针对目前最主要的不良资产拍卖处置模式拍卖费用巨大、拍卖信息不对称等原因致使不良资产价值遭受更大损失的弊端,以寻求不良资产回收率最大化为目标,探索建立了不良资产拍卖处置定价优化决策理论与模型,进一步完善了金融不良资产拍卖理论。
(4)建立了基于担保债权凭证(CDO)的我国金融不良资产处置决策模型
在分析我国金融不良资产证券化处置现状的基础上,根据我国实际情况,设计了金融不良资产CDO多层次结构,并对CDO结构的现金流、信用提升等关键问题进行了相关分析,并采用蒙特卡罗法对金融不良资产CDO进行定价分析,为实践中我国创新处置金融不良资产提供了理论指导和技术支持。
The 2007 year U.S. subprime crisis evolving into an economic crisis and the 1997 Asian financial crisis, and other facts show that the financial non-performing loans (NPLs) problem was one of the most important source risk of financial markets especially the banking sector. The large number of NPLs accumulated which impacted the stability of financial markets, increased the vulnerability of financial markets, but also had constraints on the health of the financial market rapid and enormous development. How to effectively deal with financial NPLs to maximize the recovery of NPLs for China's financial industry? It was the key to change the status quo of "NPLs was large, but the quality was not high". As a result, the financial NPLs problem has become the focus of the financial institutions and academic, and was one of the key issues of disposing NPLs theory.
Based on the above analysis of the facts, from a microscopic point of view, this paper have done some research on China's financial NPLs disposal optimal decision-making theory and model. This paper was divided into seven chapters. The first chapter was the paper's introduction. In this chapter, the paper's basis, technology and content were analyzed. In the second chapter, the disposal of China's financial NPLs connotation was reviewed. The disposal of financial NPLs decision-making theory and models related to the progress and the main problems were analyzed. In the third Chapter, The shrinking mechanism of China's financial NPLs had been studied. In the Fourth and Fifth chapters, the optimal decision-making theory and model were discussed on debt-equity swap and auction disposal means, which was two of the current main China's financial NPLs means. In the sixth chapter, we discussed that the innovative Collateralized Debt Obligations (CDO) was used to disposal China's financial NPLs. The final chapter was the conclusion and prospects. The main theses of the research results were as follows:
(1) Based on the game theory the financial NPLs value-shrinking framework was established.
This paper analyzed the financial NPLs value-shrinking mechanism and the reasons of NPLs value-shrinking. Based on the dynamic game theory, the financial NPLs value-shrinking conduction model was established. After that, this paper simulated the financial NPLs value shrinking formation, which was significant for choosing the best time to dispose the financial NPLs in practice.
(2) The debt-equity swap decision-making system for financial NPLs was constructed based on the NPLs constraints such as NPLs value change.
At present, the debt-equity swap was one of main NPLs disposal means in China. It was difficult to determine the core problem of the debt-equity swap ratio. Combined with China's relevant policy and practice, this study analyzed financial NPLs determining conditions for debt-equity swap and derived the formula for calculating the ratio of debt-equity swap, and the financial NPLs debt-equity swap decision-making model was established on the NPLs constraints such as NPLs value change, which is helpful to resolve the current literatures not considering the problem of value change and Convertible debt-equity swap ratio constraints.
(3) The financial NPLs auction disposal decision-making model was established from the perspective of asymmetric information.
As for the defect of a greater loss of value for NPLs resulted from the enormous costs and asymmetric information for NPLs auction disposal, this study, which was to seeking NPLs to maximize the recovery as the goal, discussed the financial NPLs auction disposal decision-making theory and model, and improved the financial NPls auction theory.
(4) From the point of view of assets securities, the financial NPLs decision-making theory and model was set up by using CDO.
On the basis of analysis the status quo of China's financial NPLs securities disposal, according to China's actual situation, the financial NPLs CDO multi-tranche was designed. The cash flow, credit enhancement, and other key issues of the NPLs CDO's structure were analyzed. We also priced the NPLs CDO by using Monte Carlo method, which could provide a theoretical guidance and technical support for innovative disposal of the China's financial NPLs.
引文
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