發(fā)布時(shí)間：2018-01-03 00:10

  本文關(guān)鍵詞：我國(guó)資產(chǎn)證券化的信用評(píng)級(jí)研究　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 資產(chǎn)證券化 信用評(píng)級(jí) 風(fēng)險(xiǎn) SPV 基礎(chǔ)資產(chǎn)

【摘要】：資產(chǎn)證券化,就是指將本身缺乏流動(dòng)性但在未來能夠產(chǎn)生穩(wěn)定現(xiàn)金流的基礎(chǔ)資產(chǎn),將其所有的風(fēng)險(xiǎn)和收益通過“真實(shí)銷售”轉(zhuǎn)移給特殊目的載體(special purpose vehicle SPV),再通過結(jié)構(gòu)性重組,轉(zhuǎn)變?yōu)榭梢栽诮鹑谑袌?chǎng)上銷售和流通的證券。我國(guó)資產(chǎn)證券化的實(shí)踐發(fā)展則更加緩慢,2007年,由美國(guó)爆發(fā)的次貸危機(jī)引發(fā)的全球金融危機(jī),罪魁禍?zhǔn)渍敲绹?guó)發(fā)行的房地產(chǎn)抵押次級(jí)貸款資產(chǎn)證券化產(chǎn)品(如CDS、CDO等),由于美國(guó)發(fā)行的次級(jí)貸款衍生品都是由國(guó)際三大評(píng)級(jí)機(jī)構(gòu)進(jìn)行的評(píng)級(jí),且大部分產(chǎn)品的級(jí)別都得到較高的級(jí)別,所以,隨著危機(jī)的不斷蔓延,資產(chǎn)證券化和信用評(píng)級(jí)機(jī)構(gòu)都受到國(guó)際輿論的普遍譴責(zé),評(píng)級(jí)機(jī)構(gòu)在證券化產(chǎn)品評(píng)級(jí)的客觀公正性受到人們普遍質(zhì)疑。資產(chǎn)證券化的信用評(píng)級(jí)是資產(chǎn)支持證券發(fā)行的重要步驟,通過信用評(píng)級(jí),向投資者披露和揭示投資風(fēng)險(xiǎn),從而起到降低發(fā)行者的資金融通成本和投資者因?yàn)樾畔⒉粚?duì)稱產(chǎn)生的信息搜集成本和投資風(fēng)險(xiǎn),將對(duì)資產(chǎn)證券化的業(yè)務(wù)的開展產(chǎn)生深刻的影響。本文在對(duì)國(guó)內(nèi)外相關(guān)文獻(xiàn)以及資產(chǎn)證券化和信用評(píng)級(jí)相關(guān)理論的深入研究的基礎(chǔ)之上,建立了適合于我國(guó)資產(chǎn)證券化信用評(píng)級(jí)方法理論,最后運(yùn)用案例對(duì)所提出的資產(chǎn)證券化信用評(píng)級(jí)方法理論進(jìn)行實(shí)踐運(yùn)用,其中運(yùn)用到了蒙特卡洛模擬以及壓力測(cè)試等分析方法,對(duì)我國(guó)資產(chǎn)證券化信用評(píng)級(jí)的理論和實(shí)踐進(jìn)行全面的研究。本文資產(chǎn)支持證券信用評(píng)級(jí)方法理論是在全面借鑒參考了國(guó)際著名評(píng)級(jí)機(jī)構(gòu)的資產(chǎn)證券化評(píng)級(jí)技術(shù),并充分考慮了我國(guó)經(jīng)濟(jì)和資本市場(chǎng)特點(diǎn),以考查資產(chǎn)支持證券按時(shí)、足額獲得本息償付的可能性為核心,主要對(duì)資產(chǎn)證券化交易的四個(gè)方面進(jìn)行分析：基礎(chǔ)資產(chǎn)池分析、交易結(jié)構(gòu)分析、參與各方分析以及法律分析。對(duì)案例分析的結(jié)果表明,我國(guó)資產(chǎn)證券化信用評(píng)級(jí)最終的分層和級(jí)別存在不唯一性。
[Abstract]:Asset securitization refers to the basic assets which are illiquid but can produce stable cash flow in the future. All its risks and benefits are transferred to special purpose vehicle through "real sales", and then through structural reorganization. The practice of asset securitization in China developed more slowly. In 2007, the global financial crisis caused by the subprime mortgage crisis broke out in the United States. The culprit is the securitisation of mortgage-backed real estate assets issued by the United States (such as CDSU CDO, etc.), because the subprime derivatives issued by the United States are rated by the three major international rating agencies. And most of the product levels are higher, so, as the crisis continues to spread, asset securitization and credit rating agencies are widely condemned by international public opinion. The credit rating of asset securitization is an important step in the issuance of asset-backed securities through credit rating. Disclosure and disclosure of investment risks to investors, thus reducing the issuer's financing costs and investors because of asymmetric information generated by the cost of information collection and investment risks. It will have a profound impact on the development of asset securitization business. This paper based on the domestic and foreign related literature and asset securitization and credit rating related theory on the basis of in-depth research. The theory of credit rating method suitable for asset securitization in our country is established. Finally, the theory of credit rating method of asset securitization is put into practice by case study. The Monte Carlo simulation and stress test are used. This paper studies the theory and practice of asset securitization credit rating in China. The theory of asset-backed securities credit rating method refers to the asset securitization rating technology of international famous rating agencies. And fully considered the characteristics of China's economy and capital markets, to examine the asset-backed securities on time, the full amount of the possibility of repayment of principal and interest as the core. This paper mainly analyzes four aspects of asset securitization transaction: basic asset pool analysis, transaction structure analysis, participants' analysis and legal analysis. The credit rating of asset securitization in China is not unique.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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