论文标题:中国商业银行不良资产证券化研究
Study on the Securitization for the Non-performing Assets of Commercial Banks in China
论文作者
论文导师 徐春铭,论文学位 硕士,论文专业 金融学
论文单位 南京农业大学,点击次数 170,论文页数 59页File Size3300K
2007-06-01论文网 http://www.lw23.com/lunwen_203676562/
Commercial Bank;; Non-Performing Assets;; Securitization;; risk and profit
资产证券化是近30年来国际金融领域最重大和发展最快的金融创新，资产证券化是近几十年来世界金融领域的重大创新之一，由于其能够将资产负债表上的信贷资产表外化，从而提高银行资产的流动性和盈利性，故被视为解决银行不良资产的有效途径之一，这一创新在解决国外银行的不良资产问题上有颇为成功的经验。我国在利用资产证券化处置不良资产方面，在理论上讨论已久，实践上则起步比较晚。 本文试图较为全面地对不良资产证券化在国内外发展进行分析和总结，并结合我国各方面的现状，主要探讨在我国如何适当运作不良资产证券化，进而对不良资产的证券化如何合理定价、预测风险与计算收益作了深入分析，以更好的发挥不良资产证券化的积极作用，使资产证券化能够成为处理我国商业银行不良资产的有效手段，化解我国金融风险。本文共分为六个部分： 第一章是导论，介绍了文章的选题背景、国内外的研究现状以及文献回顾，凸现本文的研究意义。 第二章首先界定不良资产的范围，接着在对称信息和不对称信息的前提下，通过建立两阶段的动态博弈模型，用激励相容约束机制，分析现有银行产权制度下的不良资产生成机制，接着对成因简要分析。 第三章介绍了不良资产证券化的相关概念及运作原理，对中国实行不良资产证券化的必要性及可行性作了深入探讨。 第四章首先研究不良资产支持证券的一般定价方法，并对不良资产证券化过程中的一般收益作了分析。进而提出改进的KMV模型作为度量我国不良资产证券化信用风险的模型，然后同时提出了计算其违约概率的方法。 第五章对我国工商银行宁波分行不良资产证券化的案例进行了比较深入和细致的分析，逻辑分析不良资产证券化中各个环节之间的有机联系，指出其优点与不足，同时对一般收益作了量化分析。 最后一章在理论与案例分析基础上，设计了我国银行不良资产证券化操作思路和具体步骤，对不良资产证券化中信用增级设计提出了相应的对策。
Asset securitization was the most important financial innovation in the international financial realm in the recent 30 years, and developed quickly. It is regarded as one of effective ways in settling the problem of non-performing assets (breviary NPAs) owing to the fact that it can improve bank mobility and profitability of assets by taking the credit assets outside the balance sheet. It is efficient in dealing with the NPAs in other countries. On the aspect of disposing NPAs with asset securitization, we have been discussing it theoretically for a long time, but practice it recently. This paper attempts first to introduce the development of non-performing assets securitization(breviary NPAS) , and then discuss how to process according to status in quo in China to make use of Asset Securitization more effectively and efficiently in handling with inferior assets in commercial banks. The article includes following six sections: The first chapter is the exordium, introducing the background of the topic, the domestic and overseas researching actuality and the literature review, etc; The second chapter analyzes the formation of non-performing assets under the property right System of Banks by establishing a two—staged dynamic game model, then with the brief of the causation of the NPA. The third chapter talks about the running theory of NPAS, then, according to the actual situation of China"s bad assets, the necessity and practicability are further discussed when carrying out the inefficient asset Securitization in current China. In the fourth section, The price of the securities issued is first ascertained, then calculate the proceeds of securitization, including the accounting profit and loss. Next, investigated the current credit risk models and proposed the modified KMV model to measure the credit risk in china. Then applying the KMV model to compute the expected default probabilities. In the fifth section, conduct in-depth and delicate analysis of the Ningbo branch of the Industrial and Commercial Bank of China"s non-performing asset securitization case, point out the merit and deficiency, including accounting profit and loss. The last part the author puts forward the guideline and approach of securitization for non-performing assets of Chinese. The discourse also probes into the credit enhancement design in the securitization for the NPL, and puts forward the countermeasure correspondingly.
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