本文選題：資產證券化 + 風險評價��； 參考：《太原理工大學》2013年碩士論文

【摘要】：資產證券化是經濟高度發(fā)展的產物。作為一種重要的、創(chuàng)新的金融衍生工具,其在西方發(fā)達國家已經非常普遍,并對經濟發(fā)展有巨大的推進作用。當然,資產證券化和其它事物一樣,具有兩面性,在促進經濟發(fā)展的同時,也會帶來風險。特別是2007美國金融危機的爆發(fā),使得如何控制資產證券化的風險顯得尤為重要。中國研究資產證券化已經有近20年的歷史了,主要還是理論研究的比較多,實踐比較少。2005年,國家開發(fā)銀行和中國建設銀行分別發(fā)行了信貸資產證券化產品和抵押貸款證券化產品,這標志著我國正式進入了資產證券化試點階段。但是,美國次貸危機的爆發(fā),使我國不得不停止對資產證券化的試點。直到2012年,我國重啟資產證券化。正因為資產證券化的風險使得我國監(jiān)管機構非常謹慎,不能任由其發(fā)展。 資產證券化產品具有融資成本低、豐富金融市場產品、信用級別高及優(yōu)化資源配置等特點。從長期來看,我國發(fā)展資產證券化是必然趨勢。在資產證券化發(fā)展過程中,必須注意其與我國的經濟實體相適應,同時做好對資產證券化的風險控制和防范。 資產證券化過程中主要存在的風險：首先,資產證券化涉及的參與主體多,因此要建立有效的市場準入機制,防止信用風險的發(fā)生。其次,資產證券化要求發(fā)行人表內基礎資產的“真實出售”,把基礎資產從發(fā)行人的資產負債表中移除,從而真正實現“破產隔離”。這需要我國建立相關的法律法規(guī)保證“真實出售”。第三,評級機構要切實做好評級工作,避免其參與資產證券化的交易,從而給其它參與主體帶來損失。第四,注意資產證券化交易中存在的信息不對稱風險,即逆向選擇風險和道德風險。這就要求相關監(jiān)管機構制定相應的信息披露制度,保證證券化市場的公開、公平、公正。 正是基于上述資產證券化過程中的存在問題,筆者提出相應的對策及建議。本文共分為六個部分。第一部分介紹了本文的選題依據、研究目的和意義、相關研究綜述以及研究的主要內容和方法。第二部分對風險和資產證券化的概念進行了界定,闡述了基礎資產現金流分析理論、資產重組理論、風險隔離理論、信用增級理論、委托代理理論及灰色系統理論六個與資產證券化風險評價有關的理論,為本文的研究提供了理論依據。第三部分把資產證券化風險分為系統風險和非系統風險,詳細的分析了系統風險和非系統風險的構成要素,為建立資產證券化風險指標體系提供依據。第四部分闡述了灰色系統理論的風險評價程序,建立了資產證券化風險指標體系,并且對資產證券化風險進行了計量及分析。第五部分從微觀上和宏觀上分別針對資產證券化的風險提出了相關對策建議。第六部分總結本文研究結論,同時指出了本研究的局限與不足。
[Abstract]:Asset securitization is the product of high economic development.As an important and innovative financial derivative, it is very common in western developed countries and has a great role in promoting economic development.Of course, asset securitization, like everything else, has two sides and brings risks while promoting economic development.Especially with the outbreak of the American financial crisis in 2007, it is very important to control the risk of asset securitization.China has been studying asset securitization for nearly 20 years, mainly in theory and practice. In 2005,China Development Bank and China Construction Bank issued credit asset securitization products and mortgage securitization products respectively, which marks that China has formally entered the pilot stage of asset securitization.However, with the outbreak of the subprime mortgage crisis in the United States, China has to stop the pilot of asset securitization.Until 2012, our country restarts asset securitization.Because of the risk of asset securitization, China's regulators are too cautious to allow it to develop.Asset securitization products are characterized by low financing cost, rich financial market products, high credit level and optimized resource allocation.In the long run, the development of asset securitization in China is an inevitable trend.In the course of the development of asset securitization, we must pay attention to its adaptation to the economic entities of our country, and control and prevent the risk of asset securitization at the same time.The main risks in the process of asset securitization are: firstly, there are many participants in asset securitization, so it is necessary to establish an effective market access mechanism to prevent the occurrence of credit risk.Second, asset securitization requires the "real sale" of the underlying assets in the issuer's balance sheet and the removal of the underlying assets from the issuer's balance sheet, thus truly achieving "bankruptcy isolation".This needs our country to establish the relevant laws and regulations to guarantee the "real sale".Third, rating agencies should do a good job of rating to avoid their participation in asset securitization transactions, thus causing losses to other participants.Fourthly, attention should be paid to the risk of asymmetric information in asset securitization transactions, that is, adverse selection risk and moral hazard.This requires relevant regulators to establish the corresponding information disclosure system to ensure the openness, fairness and fairness of the securitization market.Based on the above problems in the process of asset securitization, the author puts forward the corresponding countermeasures and suggestions.This paper is divided into six parts.The first part introduces the basis, purpose and significance of this paper, and the main contents and methods of the research.The second part defines the concepts of risk and asset securitization, expounds the basic asset cash flow analysis theory, asset restructuring theory, risk isolation theory, credit enhancement theory,The principal-agent theory and the grey system theory are related to the risk evaluation of asset securitization, which provides the theoretical basis for the study of this paper.The third part divides the risk of asset securitization into systematic risk and non-systematic risk, and analyzes the constituent elements of system risk and non-system risk in detail, which provides the basis for establishing the risk index system of asset securitization.In the fourth part, the risk evaluation procedure of grey system theory is expounded, the risk index system of asset securitization is established, and the risk of asset securitization is measured and analyzed.In the fifth part, the author puts forward some countermeasures and suggestions on the risk of asset securitization.The sixth part summarizes the conclusions of this study, and points out the limitations and shortcomings of this study.
【學位授予單位】：太原理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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