铁路融资租赁信用风险管理研究
摘要
我国的融资租赁业是80年代初从日本引进的,以1980年中日合资的中国东方租赁有限公司的成立为标志,经过20多年的时间已取得了迅速的发展,并对整个经济的发展,特别是对引进外资与先进技术设备,以及加快中小企业的现代化和提高出口能力方面起到了积极推动作用。但总体来看,我国融资租赁发展水平与国际水平还有着巨大的差距,金融租赁市场渗透率较低,与中国的经济规模极不相称。因此,尚处于起步阶段的我国融资租赁业,其租赁交易额的绝对规模和相对规模均很小,发展潜力巨大。从长远来看,融资租赁业在中国同样有着广阔前景。然而,由于我国融资租赁信用风险监管条件较差,市场不规范,导致了融资租赁在国内的应用发展受到很大程度上的限制,另外,国内融资租赁的信用风险管理机制也与发展极为不适应,现阶段仍然局限于事前预防的阶段,而没有一个有效的信用风险管理方法。
作为一种现阶段最为活跃及可靠的风险测量工具,VaR的引入将会使得融资租赁的信用风险得以量化,从而便于管理和促进融资租赁业在我国的发展。本文首先从信用风险研究、融资租赁研究以及VaR模型在信用风险管理领域内的研究三个角度对国内外的研究概况进行阐述。并针对国内融资租赁市场的发展概况,结合巴塞尔协议对信用风险管理模型的要求来阐述课题研究的方法、目标和意义;随后着重分析了各种现代信用风险管理模型,对比融资租赁信用风险的动因——违约率,以及模型的可操作性,论证并最终选择应用于融资租赁信用风险管理的模型。该部分还主要针对以VaR方法为基础强调信用风险量化的模型CreditRisk进行了一系列的讨论,分析其组成模块并找出应用过程中的问题和注意事项;随后,文章在介绍常规的融资租赁信用风险管理方法基础之上,讨论了铁路融资租赁信用风险的防范与分散;文章最后指出研究不足、当前金融混业带给国内融资租赁业的挑战和契机,以及将以高级信用管理工具引入融资租赁信用风险管理领域的广阔发展前景和适宜的铁路融资租赁信用风险管理方法。
Financial leasing industry was introduced from Japan to China in 1980s, which was represented by the foundation of the China East Leasing ltd. Co. Through the 20 years fast development, financial leasing is promoting the economic development and facilitating in various fields, especially for introducing foreign investment and advanced technology and equipment. Furthermore, financial leasing plays a crucial role on the modernization of middle to small size companies as well as on the import-and-export ability promotion. However, reviewing the whole evolution of financial leasing, we still have some extra miles to go compared with foreign countries for the reason that the financial leasing market penetrating rate is relatively lower, which is inconsistent with China’s economic dimension. Therefore, as for an country whose financial leasing industry is still on the initial evolution step, the absolute and relative scales of leasing transaction are both too small while have a immense develop potential. From the long view, financial leasing industry will have a bright future in China. Nevertheless, because our supervise condition for credit risk on financial leasing is not enough and the market is not standardized, the financial leasing has great obstacle in the implementation and development. Besides, related mechanisms for managing credit risk on financial leasing has not maturely developed but instead localized in the preventive status, thus there doesn’t exist an effective credit risk management method in the leasing market.
As an active and reliable risk evaluation instrument, the introduction of VaR will certainly bring a practical method to measure the credit risk in financial leasing, consequently contributing in the management and development of financial leasing industry in China. The paper first reviews advanced overseas and domestic theories related with the implementation of VaR in financial leasing in three major aspects, emphasizing the analysis on various modern credit risk valuation models, demonstrating the reason and the drive to use CreditRisk model as the valuation model in estimating credit risk in financial leasing. Furthermore, this part analyzes and discusses the 3 building blocks of the model in order to adapting CreditRisk model in financial leasing business. Through the discussion, the paper also provides possible sample segmenting methods and other issues may evolve from the construction of the model. In the fourth part, the paper discusses the possible measures to prevent and diversify credit risk of
作为一种现阶段最为活跃及可靠的风险测量工具,VaR的引入将会使得融资租赁的信用风险得以量化,从而便于管理和促进融资租赁业在我国的发展。本文首先从信用风险研究、融资租赁研究以及VaR模型在信用风险管理领域内的研究三个角度对国内外的研究概况进行阐述。并针对国内融资租赁市场的发展概况,结合巴塞尔协议对信用风险管理模型的要求来阐述课题研究的方法、目标和意义;随后着重分析了各种现代信用风险管理模型,对比融资租赁信用风险的动因——违约率,以及模型的可操作性,论证并最终选择应用于融资租赁信用风险管理的模型。该部分还主要针对以VaR方法为基础强调信用风险量化的模型CreditRisk进行了一系列的讨论,分析其组成模块并找出应用过程中的问题和注意事项;随后,文章在介绍常规的融资租赁信用风险管理方法基础之上,讨论了铁路融资租赁信用风险的防范与分散;文章最后指出研究不足、当前金融混业带给国内融资租赁业的挑战和契机,以及将以高级信用管理工具引入融资租赁信用风险管理领域的广阔发展前景和适宜的铁路融资租赁信用风险管理方法。
Financial leasing industry was introduced from Japan to China in 1980s, which was represented by the foundation of the China East Leasing ltd. Co. Through the 20 years fast development, financial leasing is promoting the economic development and facilitating in various fields, especially for introducing foreign investment and advanced technology and equipment. Furthermore, financial leasing plays a crucial role on the modernization of middle to small size companies as well as on the import-and-export ability promotion. However, reviewing the whole evolution of financial leasing, we still have some extra miles to go compared with foreign countries for the reason that the financial leasing market penetrating rate is relatively lower, which is inconsistent with China’s economic dimension. Therefore, as for an country whose financial leasing industry is still on the initial evolution step, the absolute and relative scales of leasing transaction are both too small while have a immense develop potential. From the long view, financial leasing industry will have a bright future in China. Nevertheless, because our supervise condition for credit risk on financial leasing is not enough and the market is not standardized, the financial leasing has great obstacle in the implementation and development. Besides, related mechanisms for managing credit risk on financial leasing has not maturely developed but instead localized in the preventive status, thus there doesn’t exist an effective credit risk management method in the leasing market.
As an active and reliable risk evaluation instrument, the introduction of VaR will certainly bring a practical method to measure the credit risk in financial leasing, consequently contributing in the management and development of financial leasing industry in China. The paper first reviews advanced overseas and domestic theories related with the implementation of VaR in financial leasing in three major aspects, emphasizing the analysis on various modern credit risk valuation models, demonstrating the reason and the drive to use CreditRisk model as the valuation model in estimating credit risk in financial leasing. Furthermore, this part analyzes and discusses the 3 building blocks of the model in order to adapting CreditRisk model in financial leasing business. Through the discussion, the paper also provides possible sample segmenting methods and other issues may evolve from the construction of the model. In the fourth part, the paper discusses the possible measures to prevent and diversify credit risk of
引文
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