论文标题:我国商业银行不良资产证券化中的证券设计研究
The Research on the Discounting Rate"s Setting in the Economic Evaluation of Investment Projects
论文作者 李理
论文导师 张根明,论文学位 硕士,论文专业 技术经济及管理
论文单位 中南大学,点击次数 151,论文页数 76页File Size3465k
2003-11-01论文网 http://www.lw23.com/lunwen_24741187/ 不良资产证券化; 证券设计; 资产池设计; 证券结构设计; KMV信用监控模型; 偿债保障比; 现金流贴现模型
NPA securitization, security design, asset pool design, security structure design, KMV credit monitor model, DSCR,Discounted Cash Flow model
不良资产证券化中的证券设计包括对资产池的设计和对证券结构的设计，是我国不良资产证券化过程中的关键技术难点，本文针对该问题，从资产证券化的基本原理入手，采用比较和归纳的分析方法对美国和韩国不良资产证券化中证券设计的经验进行了分析和总结，并在此基础上运用现代金融风险管理理论进行了我国商业银行不良资产证券化的证券设计。 在资产池的设计中，首先对信用风险管理理论和现代资产组合理论作了简要介绍，说明了将现代资产组合理论运用于不良资产组合风险管理的局限性，在此基础上提出运用KMV信用监控模型和现代资产组合理论相结合的资产组合模型求得一定预期收益率水平下的资产池最小风险组合，并针对一个资产池设计案例进行了实证分析。 在证券结构设计中，首先根据高级／次级结构原理将我国不良资产支持证券分割为期限、风险和收益水平各不同的四类证券；然后通过对资产证券化各参与主体成本及收益的原理分析，用实证的分析方法确定出我国资本市场环境下，满足证券化各参与主体利益最大化需求的不良资产支持证券的发行利率区间；并采用为国外信用评级机构普遍使用的“偿债保障比”法合理规划证券的发行额度；最后采用现金流贴现模型进行了不良资产支持证券的定价。
Aim at the security design, which is the key in the process of non-performing (NPA) asset securitizaiton, this paper begins with the brief introduction of the basic principle of asset securitization, and then makes a deep analysis on the security design characteristics of the United States and Korea. Based on the basic theory and the experiences from other countries, this paper uses the modern risk management theory to make the security design, which consists of asset pool design and securiy structure design.In the design of asset pool, the credit risk management theory and the modern portfolio theory (MPT) is firstly introduced, and then the limitation of applying MPT to NPA portfolio management is argued. Based on the analysis above, this paper puts forward the idea that the model combining KMV credit monitor model with MPT can be used to achieve the risk-minimized NPA portfolio under certain expected return level. A case is analyzed here to make it clearer.In the design of security structure, the NPA-backed security is firstly divided into four securities, which have deferent terms, different risks and deferent returns. To follow, the cost and earnings of each participant in the securitizaiton is studied, thus the fluctuating zones of the issuing interest rates that satisfies the profit-maximizing demand of each participant can be dicided. The DSCR ratio is also used as the standard to plan the security issuing volume. In the end, the Discounted Cash Flow model (DCF) is used to measure the value of the NPA-backed securities.
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