發(fā)布時(shí)間：2018-03-16 13:14

  本文選題：商業(yè)銀行　切入點(diǎn)：信貸資產(chǎn)　出處：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：資產(chǎn)證券化是20世紀(jì)的一個(gè)偉大創(chuàng)新,它的出現(xiàn)為全世界的金融市場(chǎng)增添了新的生命力,造就了金融市場(chǎng)欣欣向榮的局面。銀行是金融市場(chǎng)的主要參與者,它可以將其部分信貸資產(chǎn)進(jìn)行證券化,這樣流動(dòng)性弱的信貸資產(chǎn)就可以出售給特殊機(jī)構(gòu),從而使銀行獲得大量的現(xiàn)金流,加速了銀行資金的流動(dòng)效率。與此同時(shí),證券化還能轉(zhuǎn)移銀行的一部分風(fēng)險(xiǎn)資產(chǎn),改善銀行資本結(jié)構(gòu),提高資本充足率,這為銀行在經(jīng)營(yíng)中提供了一種新的運(yùn)行模式。目前中國(guó)經(jīng)濟(jì)處于低谷時(shí)期,企業(yè)陷入困境,導(dǎo)致銀行不良資產(chǎn)率屢屢攀升,通過(guò)利用資產(chǎn)證券化這一金融工具銀行可以更好的解決他們面對(duì)的問(wèn)題。理論上來(lái)說(shuō)銀行開(kāi)展信貸資產(chǎn)證券化業(yè)務(wù)會(huì)從兩個(gè)方面改善銀行的資本充足率,一方面通過(guò)改善流動(dòng)性和降低融資成本從而提高銀行的資本凈額;另一方面是直接減少銀行的加權(quán)風(fēng)險(xiǎn)資產(chǎn)總額,但事實(shí)是否如此還需要運(yùn)用實(shí)際數(shù)據(jù)進(jìn)行檢驗(yàn)。本文選取我國(guó)十家上市商業(yè)銀行2012至2016年的季度財(cái)務(wù)報(bào)表數(shù)據(jù),根據(jù)統(tǒng)計(jì)量F的值選用面板數(shù)據(jù)中的混合模型,實(shí)證研究了當(dāng)前我國(guó)十家上市商業(yè)銀行開(kāi)展信貸資產(chǎn)證券化業(yè)務(wù)對(duì)其資本充足率的影響、不同性質(zhì)的貸款資產(chǎn)證券化對(duì)銀行資本充足率的作用結(jié)果和作用程度。結(jié)果表明將不良貸款作為基礎(chǔ)資產(chǎn)進(jìn)行證券化可以顯著提高我國(guó)十家上市商業(yè)銀行的資本充足率,而使用優(yōu)良貸款進(jìn)行證券化則會(huì)使得我國(guó)十家上市商業(yè)銀行的資本充足率下降,并且因?yàn)橹袊?guó)銀行業(yè)自2012年發(fā)行信貸資產(chǎn)支持證券以來(lái),大部分都是使用優(yōu)良貸款進(jìn)行證券化,不良貸款證券化的數(shù)額占比僅為1.4%,所以最終導(dǎo)致銀行在實(shí)施信貸資產(chǎn)證券化之后降低了它們的資本充足率,即我國(guó)商業(yè)銀行過(guò)度運(yùn)用優(yōu)良貸款進(jìn)行證券化致使其資本充足率下降。根據(jù)上述分析結(jié)果,提出了減少優(yōu)良貸款證券化的規(guī)模,增加不良貸款證券化可以有效改善我國(guó)商業(yè)銀行的資本充足率的建議。
[Abstract]:Asset securitization was a great innovation in 20th century. Its emergence has added new vitality to the world's financial markets and created a thriving financial market. Banks are the main participants in the financial markets. It can securitize some of its credit assets so that illiquid credit assets can be sold to special institutions, giving banks a lot of cash flow and accelerating the efficiency of their capital flow. Securitization can also transfer some of the banks' risky assets, improve their capital structure and increase their capital adequacy ratio, which provides a new mode of operation for banks. As a result of the rise in the rate of non-performing assets of banks, By using asset securitisation as a financial instrument, banks can better solve the problems they face. In theory, banks developing credit asset securitization will improve banks' capital adequacy ratio in two ways. On the one hand, increasing the net capital of banks by improving liquidity and reducing the cost of financing, on the other hand, directly reducing the total weighted risk assets of banks, In this paper, we select the quarterly financial statement data of ten listed commercial banks from 2012 to 2016, and select the mixed model of panel data according to the value of statistics F. This paper empirically studies the effect of credit asset securitization on the capital adequacy of ten listed commercial banks in China. The results show that the securitization of non-performing loans as the basic assets can significantly improve the capital adequacy ratio of the ten listed commercial banks in China. However, securitization with good loans will reduce the capital adequacy ratio of the ten listed commercial banks in China, and since 2012, most of the Chinese banks have used good loans to securitize, and since the issuance of credit asset-backed securities in 2012, most of the Chinese banks have been securitized with good loans. The amount of non-performing loan securitisation was only 1.4%, so it eventually led banks to reduce their capital adequacy ratio after securitization of credit assets. That is, the excessive use of excellent loans for securitization by commercial banks in China leads to a decrease in their capital adequacy ratio. According to the above analysis, the paper proposes to reduce the scale of securitization of good loans. Increasing non-performing loan securitization can effectively improve the capital adequacy ratio of commercial banks in China.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.4;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳忠陽(yáng);李麗君;;資產(chǎn)證券化中存在逆向選擇嗎?——基于美國(guó)銀行層面數(shù)據(jù)的實(shí)證分析[J];國(guó)際金融研究;2016年02期

2 鄒曉梅;張明;高蓓;;資產(chǎn)證券化與商業(yè)銀行盈利水平:相關(guān)性、影響路徑與危機(jī)沖擊[J];世界經(jīng)濟(jì);2015年11期

3 包安娜;;面板數(shù)據(jù)模型在信貸資產(chǎn)證券化中的應(yīng)用[J];內(nèi)蒙古師范大學(xué)學(xué)報(bào)(自然科學(xué)漢文版);2015年03期

4 劉紅霞;幸麗霞;;商業(yè)銀行信貸資產(chǎn)證券化融資動(dòng)機(jī)研究——基于2005-2014年信貸資產(chǎn)支持證券試點(diǎn)的實(shí)證檢驗(yàn)[J];南方金融;2015年04期

5 鄒曉梅;張明;高蓓;;美國(guó)資產(chǎn)證券化的實(shí)踐:起因、類(lèi)型、問(wèn)題與啟示[J];國(guó)際金融研究;2014年12期

6 鄒曉梅;張明;高蓓;;資產(chǎn)證券化的供給和需求:文獻(xiàn)綜述[J];金融評(píng)論;2014年04期

7 郭桂霞;巫和懋;魏旭;王勇;;銀行資產(chǎn)證券化的風(fēng)險(xiǎn)自留監(jiān)管:作用機(jī)制和福利效果[J];經(jīng)濟(jì)學(xué)(季刊);2014年03期

8 祁小偉;全卉;;信貸資產(chǎn)證券化理論及中國(guó)的現(xiàn)狀[J];經(jīng)濟(jì)論壇;2014年03期

9 陳珠明;鄒添杰;丁慧;;影響我國(guó)上市銀行資本充足率困境因素分析[J];管理評(píng)論;2014年01期

10 鐘永紅;;商業(yè)銀行核心資本充足率影響因素實(shí)證分析[J];國(guó)際金融研究;2014年01期

相關(guān)博士學(xué)位論文 前1條

1 閻炯智;我國(guó)商業(yè)銀行不良資產(chǎn)證券化研究[D];河北工業(yè)大學(xué);2010年

相關(guān)碩士學(xué)位論文 前3條

1 趙鳳雙;我國(guó)商業(yè)銀行信貸資產(chǎn)證券化研究[D];首都經(jīng)濟(jì)貿(mào)易大學(xué);2015年

2 陳國(guó)炳;信貸資產(chǎn)證券化風(fēng)險(xiǎn)研究[D];山東大學(xué);2013年

3 李甘;中國(guó)商業(yè)銀行資本充足率影響因素的實(shí)證研究[D];上海交通大學(xué);2012年

，

本文編號(hào)：1620072