我国商业银行信贷资产证券化风险分析

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3.0 陈辉 2024-11-19 4 4 714.57KB 82 页 15积分
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目 录
中文摘要
ABSTRACT
第一章 绪 论 ....................................................... 1
§1.1 课题的背景及研究意义 ....................................... 1
§1.2 文献综述 ................................................... 2
§1.2.1 国外相关理论研究综述 .................................. 2
§1.2.2 国内相关理论研究综述 .................................. 3
§1.3 研究的思路和方法 ........................................... 5
§1.4 本文的特点及不足 ........................................... 5
第二章 资产证券化的相关理论 ......................................... 6
§2.1 资产证券化的基本概念及分类 ................................. 7
§2.2 资产证券化的结构剖析 ....................................... 8
§2.2.1 资产证券化的参与者 .................................... 8
§2.2.2 资产证券化的基本交易结构 ............................. 10
§2.2.3 资产证券化的基本交易过程 ............................. 11
§2.3 资产证券化的理论体系 ...................................... 15
§2.3.1 资产证券化的核心原理——资产的现金流分析 ............. 15
§2.3.2 资产证券化的基本原理 ................................. 16
第三章 商业银行信贷资产证券化在我国的发展 .......................... 18
§3.1 信贷资产证券化概述 ........................................ 19
§3.1.1 信贷资产证券化的含义 ................................. 19
§3.1.2 信贷资产证券化产品主要特征 ........................... 20
§3.1.3 信贷资产证券化产品与一般证券的区别 ................... 20
§3.2 信贷资产证券化在我国商业银行的发展状况 .................... 21
§3.3 商业银行信贷资产证券化的模式选择 .......................... 22
§3.4 我国商业银行信贷资产证券化的意义 .......................... 23
§3.5 美国次级债对我国信贷资产证券化的影响 ...................... 25
第四章 信贷资产证券化风险的因素分析 ................................ 27
§4.1 信贷资产证券化风险概述 .................................... 28
§4.2 信贷资产证券化各风险因素的分析 ............................ 29
§4.2.1 基础资产风险 ......................................... 29
§4.2.2 证券化过程的风险 ..................................... 32
§4.2.3 其他风险 ............................................. 34
§4.3 本章小结 .................................................. 35
第五章 信贷资产证券化风险的层次分析 ................................ 37
§5.1 层次分析法介绍 ............................................ 37
§5.2 层次分析法的基本原理与步骤 ................................. 38
§5.2.1 层次分析法的基本原理 ..................................38
§5.2.2 层次分析法的基本步骤 ................................. 39
§5.3 信贷资产证券化风险层次分析模型的建立 ...................... 45
§5.4 本章小结 .................................................. 53
第六章 我国信贷资产证券化风险管理案例分析 .......................... 54
§6.1 我国信贷资产证券化实践中的风险概述 ........................ 54
§6.2 中国建设银行住房抵押贷款证券化风险管理 .................... 55
§6.2.1 交易结构及当事人 ......................................55
§6.2.2“建元 2005-1MBS”风险分析 .............................55
§6.2.3“建元 2005-1MBS”第三方风险管理 .......................56
§6.2.4 “建元 2005-1MBS"结构设计中的风险管理 .................57
§6.2.5“建元 2005-1MBS”信用风险管理 .........................58
§6.2.6“建元 2005-1MBS”法律风险管理 .........................62
§6.2.7“建元 2005-1MBS”风险防范不足之处 .....................62
第七章 控制与防范信贷资产证券化风险 ................................ 63
§7.1 信贷资产证券化违约风险的控制与防范 ........................ 63
§7.2 信贷资产证券化提前还款风险的控制与防范 .................... 64
§7.3 信贷资产证券化利率风险的控制与防范 ........................ 65
§7.4 信贷资产证券化法律风险的控制与防范 ........................ 67
§7.5 信贷资产证券化的其他风险的控制与防范 ...................... 68
第八章 结 论 ....................................................... 72
参考文献 ............................................................ 75
在读期间公开发表的论文和承担科研项目及取得成果 ...................... 77
致 谢 ............................................................... 79
摘 要
近年来，金融风险和金融危机已越来越引起人们的重视。我国商业银行体系
和效率的现实使我们认识到，改进我国商业银行体系，提高商业银行的竞争力和
效率是一项长期艰巨的任务。商业银行资产证券化作为我国金融系统的一个新兴
金融衍生工具, 虽然不能解决我国商业银行体系的所有问题，但却可以一定程度上
减轻现实制度的弊端，提高我国商业银行体系的效率和商业银行的竞争力。然而，
作为一种新兴的融资方式和金融工具，信贷资产证券化对我国整个银行体系潜在
的风险影响还是不容忽视的。因此对信贷资产证券化风险的评价和防范就显得尤
为重要。对商业银行而言，信贷资产证券化具有风险转移、改善资产负债结构、
扩张信用的功能；对投资者来说，信贷资产证券化证券拥有较高投资价值。但是，
整个证券化过程中的风险是我们要重点关注的对象。
本文以商业银行信贷资产证券化的风险为核心，一方面从宏观环境角度分析
信贷资产证券化的法律环境和政策环境，另一方面从内在机制角度，分析信贷资
产证券化各因素的内在风险，试图从微观到宏观详细说明风险分析是信贷资产证
券化制度安排和全面发展的共同基础，同时从风险的制度安排角度阐明在信贷资
产证券化在我国实施过程中的障碍与前景。
本文共分八章。第一章介绍了文章的研究背景和意义，以及本文涉及到的理
论方法；第二章主要介绍了资产证券化的理论基础以及证券化的基本过程，以建
立起商业银行资产证券化风险分析的理论基础；第三章从信贷资产证券化在现实
中的操作出发，简述了信贷资产证券化的概念及特征，针对其在我国目前的发展
现状和国外经验，指出了研究信贷资产证券化风险的重要性；从第四章到第六章，
正式开始从风险角度分析信贷资产证券化，提出了信贷资产证券化风险的概念，
在理论上清楚地界定了本文研究的商业银行资产证券化风险，提出影响资产证券
化风险的各个具体因素，并对各因素进行定性的分析。在此基础上，对信贷资产
证券化的风险按照层次分析法的要求进行了重新归纳和总结，针对影响商业银行
资产证券化风险的各种决定因素，运用层次分析法, 构造综合评价模型评价商业
银行资产证券化风险，探讨商业银行资产证券化风险模型在中国应用的现实约束；
同时，针对我国建元2005-1MBS的具体案例，分析了我国在实际操作中对风险的认
识和管理。第七章根据风险评价的结果，按照风险的重要性程度进行排序，找出
最需关注的“四大风险”，提出解决和控制信贷资产证券化风险的具体防范措施。
最后第八章是结论，在控制与防范风险的前提下，我国商业银行信贷资产证券化
将会有大的发展。
关键词：商业银行 信贷资产证券化 风险因素分析 层次分析法
ABSTRACT
In recent years, financial risk and financial crisis become more and more
important. The fact of our commercial bank system and efficiency makes us know that
it is a long term and tough task to improve the system and competition of the
commercial bank in our country. As one of new innovative financing derivative, loan
asset securitization can reduce the shortcomings of the institution to some extent and
improve the efficiency and competition of the system though it can not solve all the
problems in our commercial banks. However, as a result of a new financing technique,
we should think much of the potential risk that loan asset securitization may incur. So
how to evaluate and prevent the risk of loan asset securitization becomes very important.
To the commercial bank, loan asset securitization has function of improving the
structure of asset and debt and expanding the credit. To the investor, loan asset
securitization has higher investment value. But the risk in the whole process of
securitization is the main subject we should pay attention to.
The dissertation focuses the author’s attention on the risk of the loan asset
securitization of commercial bank in our country, which analyses either the legal
environment and policy environment from the macro-environment of the loan asset
securitization or the factors of the loan asset securitization from internal institution. The
dissertation expresses that risk analysis is the common basis of institution arrangement
and whole development of the loan asset securitization from macro to micro. And
meanwhile the dissertation illustrates the barriers and future of the loan asset
securitization in terms of risk.
The dissertation is composed of eight chapters. In the first chapter, the
dissertation introduces the background and meaning of this research and presents the
method used in the dissertation. In the second chapter, the dissertation mainly
introduces the theory foundation of asset securitization and the fundamental process in
order to build the foundation of risk analysis in the commercial bank. In the third
chapter, the dissertation describes the development and benefit of loan asset
securitization and its impact on commercial bank. From chapter four to chapter five, the
dissertation begins to analyze the risk of securitization which gives a clear definition of
the risk of loan asset securitization and presents the factors of risk. And on the basis of
the above, the chapter six takes MBS issued by Chinese Construction Bank in 2005 as
an example, analyzes the existed risk and risk control in the process. Considering
comprehensively the effects of all risk factors, and different importance of various
factors, various possible degree of risk are calculated through mathematical model
designed in this dissertation. According to the requirements of Analytic Hierarchy
Process, it divides the risks of loan asset securitization into many kinds so as to evaluate
every single risk respectively. Then discuss the limitation of the risk model using in
China and how to control and prevent the risk of loan asset securitization in our
commercial bank. In chapter seven, based on the result of risk evaluation, it finds out
relative risks and gives the means which can prevent and control the above risks in
turn.There is a short conclusion in the last chapter.
Key Words: Commercial Bank, Loan Asset Securitization, Risk
Factors Analyses, Analytic Hierarchy Process
摘要：

目录中文摘要ABSTRACT第一章绪论.......................................................1§1.1课题的背景及研究意义.......................................1§1.2文献综述...................................................2§1.2.1国外相关理论研究综述..................................2§1.2.2国内相关理论研究综述..................................3§1.3研究的思路...

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作者：陈辉 分类：高等教育资料 价格：15积分 属性：82 页 大小：714.57KB 格式：PDF 时间：2024-11-19

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