银行信贷资产证券化的风险分析与防范
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本文在阐述了信贷资产证券化的交易结构，基本流程的基础上，系统分析了资产证券 化中的风险及成因，提出资产证券化中资产的主要风险为提前偿付风险和信用风险。
通过内涵界定、生成机理、风险度量三方面对提前偿付风险进行了详尽的研究，提出 了适合我国的防范此风险的措施。本文认为，银行信贷资产证券化中的信用风险主要包括 资产的信用风险和参与人的信用风险。对资产池的信用风险的分析主要采用改进的 KMV 模 型来衡量资产池的违约概率。在对参与人信用风险分析中，本文以契约关系为载体，通过 分析契约关系来分析参与人信用风险的传递。此外本文提出信用风险的管理框架。比较了 度量信用风险的四个模型，提出了每个模型在我国使用的优势与障碍；建立了外部信用增 级的优化模型；根据当前我国的市场环境特点，提出几点完善我国信用管理体系的措施。
关键词：资产证券化，提前偿付风险，信用风险，信用增级
i
银行信贷资产证券化的风险分析与防范
பைடு நூலகம்RISK ANALYSIS AND PREVENTIONS OF
BANK CREDIT ASSET SECURITIZATION
Abstract
Asset securitization is one of the most important and vigorous innovations on the financial market eversince 1930s. However,asset securitization is a financial innovative project with a complicated structure with many parties involved.With the remarkable structural benefits it offers,it brings us various risks.We should make the best of the macroeconomic and microeconomicbenefits brought by securitization on one hand and carefully plan the prevention of securitization risks on the other.
After elaborating trade structure and basic process of the credit asset securitization,the text analyzes the risk and its reason about asset securitization and suggest that the main risk of credit asset securitization is prepayment risk and credit risk.
知识水坝论文
河北工业大学 硕士学位论文 银行信贷资产证券化的风险分析与防范 姓名：邢佳菲 申请学位级别：硕士 专业：技术经济及管理 指导教师：陈敬武
20071101
知识水坝论文
河北工业大学硕士学位论文
银行信贷资产证券化的风险分析与防范
摘要
资产证券化是 20 世纪 30 年代以来金融市场上最重要、最具有生命力的创新之一， 它在具有宏微观经济效益的同时，风险也显得集中与复杂。因此，在积极推动资产证券化 的同时，系统地分析风险，谨慎的做好证券化风险的防范工作，无疑是很有必要的。
The text makes a detailed research on the prepayment risk through three aspects: defination, measure and analysis of reasons.And then,to prevent this risk,the text puts forward the measure suitable for our country.This paper thinks there are tow kinds of credit risk: the asset's credit risk and the participants' credit risk. When analyzing the participants' credit risk, this paper bases the analysis on the contractual relationship.To analyze the asset's credit risk,it use the KMV model. This text puts forward the management frame of credit risk . Make a comparition of the KMV model,the Creditmetrics model of the JP Morgan,the creditrisk+ model of McKinsey company and the Creditprotfolilview model of McKindey,and then summarize each advantage and obstacle that the model uses in the our country;Built up exterior credit enhancement model;According to the current market environment characteristics of our country ,to put forward measures to perfect our country's credit management system.
结合建设银行 2006 年第一期资产证券化“开元”的案例，分析其交易结构及信用增 级方式的特点，研究此次证券化发行中面临的主要风险及应对措施，结合案例及当前法律、 经济政策情况，提出如何构建国内资产证券化信用增级模式。
论文主要采用了案例分析、文献研究、数据分析归纳等研究方法。在参考和研究大量 国内外文献的基础上提炼出作者的观点，并在理论研究及我国的实例分析的基础上，提出 了我国资产证券化信用增级模式的构建，具有一定的实践意义。
通过内涵界定、生成机理、风险度量三方面对提前偿付风险进行了详尽的研究，提出 了适合我国的防范此风险的措施。本文认为，银行信贷资产证券化中的信用风险主要包括 资产的信用风险和参与人的信用风险。对资产池的信用风险的分析主要采用改进的 KMV 模 型来衡量资产池的违约概率。在对参与人信用风险分析中，本文以契约关系为载体，通过 分析契约关系来分析参与人信用风险的传递。此外本文提出信用风险的管理框架。比较了 度量信用风险的四个模型，提出了每个模型在我国使用的优势与障碍；建立了外部信用增 级的优化模型；根据当前我国的市场环境特点，提出几点完善我国信用管理体系的措施。
关键词：资产证券化，提前偿付风险，信用风险，信用增级
i
银行信贷资产证券化的风险分析与防范
பைடு நூலகம்RISK ANALYSIS AND PREVENTIONS OF
BANK CREDIT ASSET SECURITIZATION
Abstract
Asset securitization is one of the most important and vigorous innovations on the financial market eversince 1930s. However,asset securitization is a financial innovative project with a complicated structure with many parties involved.With the remarkable structural benefits it offers,it brings us various risks.We should make the best of the macroeconomic and microeconomicbenefits brought by securitization on one hand and carefully plan the prevention of securitization risks on the other.
After elaborating trade structure and basic process of the credit asset securitization,the text analyzes the risk and its reason about asset securitization and suggest that the main risk of credit asset securitization is prepayment risk and credit risk.
知识水坝论文
河北工业大学 硕士学位论文 银行信贷资产证券化的风险分析与防范 姓名：邢佳菲 申请学位级别：硕士 专业：技术经济及管理 指导教师：陈敬武
20071101
知识水坝论文
河北工业大学硕士学位论文
银行信贷资产证券化的风险分析与防范
摘要
资产证券化是 20 世纪 30 年代以来金融市场上最重要、最具有生命力的创新之一， 它在具有宏微观经济效益的同时，风险也显得集中与复杂。因此，在积极推动资产证券化 的同时，系统地分析风险，谨慎的做好证券化风险的防范工作，无疑是很有必要的。
The text makes a detailed research on the prepayment risk through three aspects: defination, measure and analysis of reasons.And then,to prevent this risk,the text puts forward the measure suitable for our country.This paper thinks there are tow kinds of credit risk: the asset's credit risk and the participants' credit risk. When analyzing the participants' credit risk, this paper bases the analysis on the contractual relationship.To analyze the asset's credit risk,it use the KMV model. This text puts forward the management frame of credit risk . Make a comparition of the KMV model,the Creditmetrics model of the JP Morgan,the creditrisk+ model of McKinsey company and the Creditprotfolilview model of McKindey,and then summarize each advantage and obstacle that the model uses in the our country;Built up exterior credit enhancement model;According to the current market environment characteristics of our country ,to put forward measures to perfect our country's credit management system.
结合建设银行 2006 年第一期资产证券化“开元”的案例，分析其交易结构及信用增 级方式的特点，研究此次证券化发行中面临的主要风险及应对措施，结合案例及当前法律、 经济政策情况，提出如何构建国内资产证券化信用增级模式。
论文主要采用了案例分析、文献研究、数据分析归纳等研究方法。在参考和研究大量 国内外文献的基础上提炼出作者的观点，并在理论研究及我国的实例分析的基础上，提出 了我国资产证券化信用增级模式的构建，具有一定的实践意义。