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《供应链金融资产证券化问题研究的文献综述6000字》

《供应链金融资产证券化问题研究的文献综述6000字》

供应链金融资产证券化问题研究的国内外文献综述目录供应链金融资产证券化问题研究的国内外文献综述 (1)一、供应链金融资产证券化研究 (1)(一)供应链金融 (1)(二)供应链金融资产证券化 (2)二、资产证券化定价方法研究 (3)(一)现金流折现法 (3)(二)回归分析法 (4)三、资产证券化定价影响因素研究 (5)四、文献述评 (6)参考文献 (6)一、供应链金融资产证券化研究(一)供应链金融Timme(2000)认为供应链金融是由核心企业、中小企业以及金融服务机构共同参与而形成的一种合作关系,这种合作关系的目的在于降低整个供应链的成本 [1]。

Hofmann(2005)将供应链金融定义为供应链中的多个主体合作,通过计划、组织和控制等一系列活动促使金融资源在供应链中流动,最终实现共同创造价值的目标[2]。

Peterson(1994)指出供应链金融不仅能使企业获得低成本的融资,还有利于加强企业与供应链系统中其他企业的联系,其本质是一种关系型融资[3]。

丁汀、李雪梅(2009)分析了供应链金融保兑仓模式、应收账款模式和融通仓模式的具体流程[4]。

沈敏(2015)则按主导特征不同划分为应收类融资、预付类融资和存货类融资三种模式进行分析[5]。

夏芳(2013)认为基于应收账款融资的保理业务可以缓解企业的资金周转困难的问题,而商业保理可以更好地解决中小微企业的融资难问题 [6]。

于宏新(2010)分析了供应链金融的风险来源和表现形式,并提出了具体的防范对策[7]。

熊熊(2009)在考虑主体评级和债项评级的基础上使用主成分分析和Logistic回归构建了信用风险评价模型[8]。

胡海青(2012)提出中小企业信用风险评估指标体系需要将核心企业资信与供应链关系因素考虑在内,并对比了支持向量机和BP神经网络算法在构建信用风险评估模型时的有效性[9]。

(二)供应链金融资产证券化美国证券交易委员将资产证券化定义为把弱流通性资产出售给特设目的载体并进一步设计为具有流通性的金融产品的融资方式[10]。

不良资产证券化理论研究外文文献翻译

不良资产证券化理论研究外文文献翻译

外文文献翻译原文+译文文献出处作者:Chacko G期刊:International Journal of Applied Financial Management Perspectives2016年,第2卷,第3期,31-39.原文The theory study of Non-performing assets securitizationChacko GAbstractThe securities and exchange commission (SEC) defines asset securitization as a new financing techniques: the lack of liquidity of assets, in most cases) are combined and translated into a more freely in the capital market financing tool to issue and sell. In general, asset securitization is the lack of liquidity but has the stable future cash flow of assets as a basis, through restructuring and credit enhancement, available for investment capital market securities issued a way of financing.Key words: Non-performing assets; Securitization; Characteristic; Theory study1 IntroductionSince the 1970 s, asset securitization as an important financial innovation, in a mature financial market development for many years, the United States, Europe, Japan and some mature financial markets have the asset securitization as an important financial tool, its essence is the issuer will be of the future cash flow of earnings of the securitization of financial assets transferred to investors, asset securitization brings the benefits of western developed countries are increasingly aware of the importance of asset securitization. In the process of the implementation of asset securitization, with the western developed countries continuously to the deepening of the research and practice, such as housing mortgage loan securitization, Banks non-performing assets securitization is accompanied with the further development of asset securitization. In the late 1980 s, to solve the problem of bank a lot of bad assets, the first has been successfully used in the securitization of non-performing assets in the United States, very successful. Asset securitization as a means of financing with the advantages of low cost, intensive attention by countries with alarge number of non-performing assets, in the full market economy countries, solve the problem of non-performing assets, asset securitization become one of the first method. It can accelerate the assets turnover, thus speeding up the liquidity of assets, sped up the asset disposal efficiency, to deepen the reform of the capital market provides a strong support. In addition, the securitization of non-performing assets from the bank, the development of the internal cause, the banking system since the date of birth, there are two internal structural contradictions: one is the liquidity structure contradiction. Another is the information of asymmetric information structure contradiction. Two inherent structural contradictions, make the banking industry has been under double pressures of credit risk and liquidity risk. With economy virtualization degree deepening, the financial impact on the real economy strength increasing, credit card receivables securitization within the banking system, car loan securitization, etc all kinds of forms of asset securitization have started to use, the us savings and loan crisis the problem of structural contradictions increasingly sharp and complicated, financial and even the entire national economy security hidden trouble. East Asian financial crisis, the Russian financial crisis and the financial crisis of South America have been warning to people. Therefore, asset securitization as solving the problem of non-performing bank assets and an important way to reduce the incidence of the financial crisis, more and more highlights its advantages.2 Literature reviewAsset securitization development since the last century to now, for the influence of the worlds financial increasingly significant, for a country's financial stability plays a more and more important role, but different countries have different standards, the definition of to him is not unified. In many related literature about the concept of asset securitization has certain differences in its connotation. Trace the source of the asset securitization is a word, it is the American banker Lewis Rainer in a conversation first, then the word more and more popular. Asset securitization is the meaning of the original, enterprises supported by their own all or part of the assets in the process of capital market financing. It is a replace of financing bank as intermediary. It includes enterprise supported by all of its assets to issue shares, issuing bonds, and other financing way. Later with the development of asset securitization, it is divided into physical assets securitization asset securitization (level) and securitization of financial assets (secondary asset securitization), financial asset securitization, refers to the lack of liquidity, but it is predictable and stable cashflow income assets together, converted into circulation in the capital market securities a way of financing.For asset securitization research mainly concentrated in the following aspects: first, asset securitization is helpful to reduce risk, Benefits and Berger (1987) with risk allocation model prove that securitization will help dissolve the enterprise risk. Second, asset securitization is an effective method for optimization of corporate capital structure. Skarabot (2002), the company model is verified through the establishment of a more assets securitization is an effective method for optimization of corporate capital structure. Third, the relationship between information asymmetry and asset securitization, such as Greenbaum and Thakor (1987) established signal model results show that there is information asymmetry and no government intervention, bank will high-quality assets securitization.3 The basic theory3.1 The conceptNon-performing bank asset securitization is a set of bad assets loans or less liquid assets, through asset integration processing, in the future has a predictable and stable cash flow income, after insurance institutions of credit guarantee at the same time, improve the reliability of assets after converted into circulation in the capital market securities a way of financing.3.2 FeaturesNon-performing bank asset securitization is a kind of important financial innovation of the 20th century tool, compared with other financing way has its own characteristics.Firstly, the selectivity of assetsTo set up asset pool, the core of asset securitization, namely to the asset pool of assets to choose, not debt enterprise all the assets or the issuer can enter pool, especially full of bad credit, hollow is resolute can't into the pool of assets, only those who are predictable, can produce stable future cash flow of assets can enter pool, investors' investment in the future, namely the full amount of principal and interest back to provide security, to ensure the normal operation of non-performing bank asset securitization, and otherwise, if the poor quality assets into the pool, interruption, cannot maintain regular payments to investors, the operation of non-performing bank asset securitization will be hindered, unsustainable. So assets choice of non-performing bank asset securitization operation has a crucial effect, the stand or fall of asset selection directly determinesthe success or failure of securitization, it is the core element of the asset securitization.Secondly, assets source dispersionThe source of the pooling of assets has the characteristics of scattered, it is not like or all of the listed companies are the assets of the enterprise itself, and asset securitization into the pool of assets can be a part of the enterprise property, can also is the enterprise of all assets. At the same time into the pool of assets can be dispersed in a place, can also be scattered in multiple regions, also can be at home, also can be assets abroad. Dispersive of the assets, can avoid the risk of regional, such doing can prevent overall bad assets, such as a place of bad assets does not affect other parts of the quality of assets, if the proportion of assets again small, there is little influence on the overall assets. Issuers will come from different parts of assets integration, filtering and elaborate filter, and homogenous assets to bundle and package, through these assets as collateral to support the issuing bank non-performing assets securitization products. Asset source dispersion is the objective requirement of non-performing assets securitization, only to do so is likely to form a certain scale of many kinds of similar assets to support the issue of securities.Thirdly, the division of assetsAssets of segmentation is one of the important characteristics of non-performing bank asset securitization, the division of assets is the pooling of assets with the original debt assets to be isolated, reach the legal recognition of the actual sales, after the debt enterprises even bankruptcy liquidation to participate in the securitization of assets has no recourse. In order to achieve the smooth progress of non-performing bank asset securitization, there must be the introduction of a special agency to exercise the function, the establishment of the SPV (special purpose vehicle) just to satisfy the functional requirements, it is an operating assets securitization independent agency, is an independent corporate body, not participate in the business of has nothing to do with the asset securitization, SPV such intervention is essentially have the effect of the firewall, investors can focus on into the pool of assets quality, don't have to be careful debt enterprise management situation and the bankruptcy liquidation. Only into the pool of assets to take risks, and at the same time its revenues. Asset isolation played a real debt companies and investors of the division of rights and interests, promote the smooth progress of non-performing bank asset securitization, it is the necessary link of bank non-performing assets securitization.Fourth, the reliability of the assetsBanks non-performing assets securitization of the ultimate goal is to sell non-performing bank asset securitization products, so it must be to accurately assess the risk of product, determine the expected default rates, and evaluate comprehensive market conditions and other factors, to determine the accurate pricing, at the same time, the determination of price and meet the demand of the stability of the investor benefits, in order to achieve this goal, you must first through the credit guarantee institutions for product guarantee, the stability of the products to strengthen, namely each issue for investors to the stability of the principal and interest on time full specified amount pays to strengthen, in order to attract buyers investment in the Banks non-performing assets securitization, credit enhancement with internal credit enhancement and external credit enhancement in two ways, including assigning priorities within level classification and so on, the external includes third-party guarantees and other ways such as obligation.4 The basic principles of asset securitization4.1 Principle of asset reorganizationAssets reorganization principle is the re-engineering of assets and match, returns to split, the process of asset securitization to reach equilibrium. Portfolio has three characteristics: first, the assets are scattered. Reorganization of assets can be a all the assets of the business can also be a part of the property, it can also be multiple enterprise with capital assets, the distribution of the assets can also be in different areas, such doing can avoid certain regional economic risks. Second, composed of assets must be stable cash flow income in the future. It is advantageous to the issuing bank non-performing assets securitization products, to finance. Third, the participation subject interest balance. Asset restructuring must take care of the interests of all aspects, to promote the development of asset securitization.4.2 Risk isolation principleRisk isolation principle is refers to in the process of asset securitization, use the special purpose vehicle will restructure assets and enterprise assets to the risk of isolation, reach the legal recognition of the "true sale" is the original enterprise bankruptcy and liquidation even happen in the future also have no right of recourse, the reorganization of the assets in essence to form the property rights of isolation and risk of break up, so as to achieve the goal of real sales. Investors can focus on assets in the pool. There is no need to care about the risk of the original enterprise. Risk isolation is the most critical step asset securitization.4.3 Credit enhancement principleCredit enhancement principle is the steps necessary to asset securitization product distribution, it mainly refers to the issue of securitized products through the credit guarantee institutions guarantee to improve the reliability of the principal and interest paid to investors. Credit enhancement is to guard against the risk of asset securitization is quite useful measures. Credit enhancement can spread risk, and distributed to investors willing to take risks, to take risks at the same time, also can let investors enjoy greater investment returns. Overall, participants for credit enhancement can get higher returns. Usually use most internal credit enhancement and credit enhancement techniques have external credit enhancement.译文不良资产证券化理论研究Chacko G摘要美国证券交易委员会(SEC)将资产证券化定义为一种新的融资技术:即将缺乏流动性的资产(大多数情况)进行组合并转化为一种更自由地在资本市场上发行和出售的融资工具。

金融危机后的资产证券化法律监管

金融危机后的资产证券化法律监管

金融危机后的资产证券化法律监管于朝印【摘要】As a kind of tool of financial innovation,asset-backed securitization suffered seriously in the financial crisis.With the efforts of relative international financial organizations and some governments of developed countries,asset-backed securitization is recovering.In order to maintain the normal development of asset-backed securitization,we must make some reforms for the regulatory institution.The fundamental goal of regulatory reform to asset-backed securitization is financial security,to which the pursuit of financial efficiency and financial freedom must be followed.Relative regulatory reforms of international financial organizations and some countries showed that the logic starting point of financial regulation is financial security.%作为一种金融创新工具,资产证券化在金融危机中遭受质疑和约束。

在相关国际金融组织及主要发达国家的努力下,资产证券化正在逐步得以恢复。

资产证券化文献综述

资产证券化文献综述

资产证券化文献综述作者:李玉梅来源:《商情》2017年第11期(西南财经大学,四川成都 610000)【摘要】资产证券化于20世纪70年代末起源于美国,首先被用于住房抵押贷款问题的解决,经过40多年的发展,资产支持证券已经成为一种应用广泛的金融创新工具,学术和理论界也对此进行了大量研究。

【关键词】资产证券化;理论;实践;风险1国外研究成果综述国外从20世纪70年代开始对资产证券化进行研究,主要从资产证券化定义、动因、风险、定价及收益等角度进行分析,对资产证券化结构设计已深入到利用计量模型进行实证分析的层面,理论研究相当成熟。

1.1资产证券化的定义美国投资银行家 Lewis S.Ranier(1977)首先提出“资产证券化”(Asset Securitization)这个概念。

James A.Rosenthal & Juan M.Ocampo(1988)认为,广义的证券化是指一切以证券为媒介的一般化现象。

“证券化之父”Frank J.Fabzzi教授认为资产证券化可被视为一个过程,通过该过程将具有同类性质的贷款、租赁合约、应收账款、分期付款合同以及其它缺乏流动性的资产打包成可在市场流通的带息证券。

1.2资产证券化的动因上个世纪50年代,Anrrowand Debreu 运用数理统计分析方法,证明了经济主体可以利用有价证券来防范金融风险,从而为金融资产证券化的理论动因提供了依据。

Steven L.Schwarcz (1994)将资产证券化视为一种“炼金术”,即通过资产证券化的运作原理与机制,企业可以通过SPV从资本市场上筹得资金,从而降低融资成本。

Claire A.Hill(1996)认为资产证券化过程中的风险隔离机制可以有效降低信息成本。

上述相关理论主要是按实践进程发展延伸的,相对集中于论述证券化某一单一方面的社会经济功能。

与此同时,很多国外学者从综合性角度对资产证券化的积极效应进行了考证。

资产证券化论文参考文献范例

资产证券化论文参考文献范例

资产证券化论文参考文献一、资产证券化论文期刊参考文献[1].基于层次分析法的不良资产证券化风险评价.《哈尔滨工业大学学报》.被中信所《中国科技期刊引证报告》收录ISTIC.被EI收录EI.被北京大学《中文核心期刊要目总览》收录PKU.2007年12期.李鹏雁.刘刚.[2].美国次级贷款危机:根源、走势、影响.《中国人民大学学报》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2008年1期.杜厚文.初春莉.[3]."影子银行体系"信贷危机的金融分析.《江海学刊》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2009年3期.易宪容.[4].我国资产证券化的现实思考与路径选择.《财经研究》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2001年9期.孙奉军.[5].科技成果收益权资产证券化法律问题研究.《科技进步与对策》.被中信所《中国科技期刊引证报告》收录ISTIC.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2013年24期.黄勇.[6].企业资产证券化融资的财富效应——基于浦东建设资产证券化研究. 《财经理论与实践》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2013年2期.邱成梅.赵如.[7].论我国资产证券化中特殊目的机构的法律构建.《武汉大学学报《生产力研究》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2004年2期.陈晓东.[10].中国新一轮资产证券化的缘起、进展及前景分析.《人文杂志》.被北京大学《中文核心期刊要目总览》收录PKU.被南京大学《核心期刊目录》收录CSSCI.2014年1期.胡海峰.陈世金.二、资产证券化论文参考文献学位论文类[1].资产证券化若干法律问题比较研究.被引次数:62作者:洪艳蓉.国际法学厦门大学2002(学位年度)[2].协同视角下资产证券化流动性研究.被引次数:2作者:倪伟康.管理科学与工程东华大学2011(学位年度)[3].融资租赁资产证券化法律规制研究——风险社会中的激励性进路.作者:刘中杰.西南政法大学2014(学位年度)[4].信贷资产证券化对货币供给和货币政策传导渠道的影响分析.被引次数:3作者:姚昶.金融学山东大学2013(学位年度)[5].我国商业银行资产证券化风险管理研究.被引次数:1作者:徐艺颖.金融学内蒙古大学2014(学位年度)[6].中国资产证券化发展对策研究.被引次数:2作者:李龙龙.金融学云南财经大学2014(学位年度)[7].基于灰色系统理论的中国资产证券化风险评价及防范研究.被引次数:2作者:杨斌.会计学太原理工大学2013(学位年度)[8].证券公司企业资产证券化业务发展研究.被引次数:2作者:许登月.工商管理河南大学2014(学位年度)[9].中国资产证券化研究:基于资产证券化产品的分析.作者:杨淳.金融学对外经济贸易大学2013(学位年度)[10].中小企业资产证券化业务模式研究——基于中小企业融资问题探讨. 作者:郑灵怡.应用经济学(金融学)对外经济贸易大学2014(学位年度)三、相关资产证券化论文外文参考文献[1]Someissuesindisintermediationandsecuritization.NwoguguM《Appliedmathematicsandcomputation》,被EI收录EI.被SCI收录SCI.20072[2]BaselIIIandAssetSecuritization.M.MpunduM.A.PetersenJ.MukuddemPetersenF.Gideon 《Discretedynamicsinnatureandsociety》,被SCI收录SCI.2013Pt.3[3]Amultidimensionalknapsackmodelforassetbackedsecuritization. MansiniR.SperanzaMG.《TheJournaloftheOperationalResearchSociety》,被EI收录EI.被SCI收录SCI.20028[4]AssetbackedSecuritization―aNewFinancingChannelfortheTelecomIn dustry.WUHong《ThejournalofChinaUniversitiesofPostsandTelecommunications》,被EI收录EI.20032[5]DiscussionontheChineseModelofManagementAssetSecuritization. Zhangrao2010[6]DeterminantOfSecuritizationAssetPricingInMalaysia.Bakri,M.HAli.RIsmail,SSufian.FA.HBaharom2014[7]DiscussiononassetbackedsecuritizationofPVpowerplants. YifengWang2014[8]DevelopmentalObstaclesandCountermeasureforAssetSecuritizationi nChina.ChaoqiongYang2012[9]StudyonChina'sAssetSecuritization. SONGJianboZHANGZhiqianWANGZhi2011[10]ResearchonChineseCreditCardAssetSecuritizationPricing. ZhehuaWangRongzhuChenMiaomiaoJiang2012四、资产证券化论文专著参考文献[1]基于Shapley值模型资产证券化利益相关者的利益分配研究.江燕.孔德成.侯光明,20132013InternationalConferenceonBusinessAnalyticsandManagementScienc e[2]对资产证券化过程中各交易主体的税收思考.王伟,2012中国税收筹划研究会第六届年会暨企业依法纳税平安经营与高校税收专业社会实践与教学研讨会[3]BT项目资产证券化可行性与关键问题分析.郭亮.王青娥.谈雨婷,20132013中国工程管理论坛[4]后危机时代美国资产证券化监管改革的启示.赵静,20112011年中国法学会银行法学研究会年会[5]杭绍台高速公路资产证券化融资模式探讨.孙振华,2012全国城市公路学会第二十一次学术年会[6]军工企业资产证券化路径:基于军民融合的战略视角.刘建昌.任丽明.王曲,2011中国工程科技论坛第123场——2011国防科技工业科学发展论坛[7]资产证券化在飞机融资租赁中的应用探讨.陈昊晔,2012上海市科学技术协会第十届学术年会暨上海市航空学会2012年学术年会[8]国有资产证券化发展的障碍及对策分析.秦捷.陈静,20112011世界华商管理大会、第15届世界管理论坛暨东方管理论坛[9]后金融危机下的资产证券化业务构想.张龙清.孙碧,2009第三届亚太经济与金融论坛[10]我国金融资产证券化法律监管体系的构建基于金融危机的反思与启示. 赵超,2009稳定与创新:后危机下的金融司法论坛。

证券市场行为金融中英文对照外文翻译文献

证券市场行为金融中英文对照外文翻译文献

中英文对照外文翻译文献中英文对照外文翻译文献(文档含英文原文和中文翻译)外文翻译:Behavioral Finance1. IntroductionBehavioral finance is the paradigm where financial markets are studied using models that are less narrow than those based on Von Neumann–Morgenstern expected utility theory and arbitrage assumptions. Specifically, behavioral finance has two building blocks: cognitive psychology and the limits to arbitrage. Cognitive refers to how people think. There is a huge psychology literature documenting that people make systematic errors in the way that they think: They are overconfident, they put too much weight on recent experience, etc. Their preferences may also create distortions. Behavioral finance uses this body of knowledge rather than taking the arrogant approach that it should be ignored. Limits to arbitrage refers to predicting in what circumstances arbitrage forces will be effective, and when they will not be.Behavioral finance uses models in which some agents are not fully rational, either because of preferences or because of mistaken beliefs. An example of an assumption about preferences is that people are loss averse—a $2 gain might make people feel better by as much as a $1 loss makes them feel worse. Mistaken beliefs arise because people are bad Bayesians. Modern finance has as a building block the Efficient Markets Hypothesis (EMH). The EMH argues that competition between investors seeking abnormal profits drives prices to their “correct” value. The EMH does not assume that all investors are rational, but it does assume that markets are rational. The EMH does not assume that markets can foresee the future, but it does assume that markets make unbiased forecasts of the future. In contrast, behavioral finance assumes that, in some circumstances, financial markets are informationally inefficient.Not all misvaluations are caused by psychological biases, however. Some are just due to temporary supply and demand imbalances. For example, the tyranny of indexing can lead to demand shifts that are unrelated to the future cash flows of the firm. When Yahoo was added to the S&P 500 in December 1999, index fund managers had to buy the stock even though it had a limited public float. This extra demand drove up the price by over 50% in a week and over 100% in a month. Eighteen months later, the stock price was down by over 90% from where it was shortly after being added to the S&P.If it is easy to take positions (shorting overvalued stocks or buying undervalued stocks) and these misvaluations are certain to be corrected over a short period, then “arbitrageurs” will take positions and eliminate these mispricings before they become large. However, if it is difficult to take these positions, due to short sales constraints, for instance, or if there is no guarantee that the mispricing will be corrected within a reasonable timeframe, then arbitrage will fail to correct themispricing.1 Indeed, arbitrageurs may even choose to avoid the markets where the mispricing is most severe, because the risks are too great. This is especially true when one is dealing with a large market, such as the Japanese stock market in the late 1980s or the US market for technology stocks in the late 1990s. Arbitrageurs that attempted to short Japanese stocks in mid-1987 and hedge by going long in US stocks were right in the long run, but they lost huge amounts of money in October 1987 when the US market crashed by more than the Japanese market (because of Japanese government intervention). If the arbitrageurs have limited funds, they would be forced to cover their positions just when the relative misvaluations were greatest, resulting in additional buying pressure for Japanese stocks just when they were most overvalued!5. ConclusionsThis brief introduction to behavioral finance has only touched on a few points. More extensive analysis can be found in Barberis and Thaler (2003), Hirshleifer (2001), Shefrin (2000), and Shiller (2000).It is very difficult to find trading strategies that reliably make money. This does not imply that financial markets are informationally efficient, however. Low-frequency misvaluations may be large, without presenting any opportunity to reliably make money. As an example, individuals or institutions who shorted Japanese stocks in 1987–1988 when they were substantially overvalued, or Taiwanese stocks in early 1989 when they were substantially overvalued, or TMT stocks in the US, Europe, and Hong Kong in early 1999 when they were substantially overvalued, all lost enormous amounts of money as these stocks became even more overvalued. Most of these shortsellers, who were right in the long run, were wiped out before the misvaluations started to disappear. Thus, the forces of arbitrage, which work well for high-frequency events, work very poorly for low-frequency eventsBehavioral finance is, relatively speaking, in its infancy. It is not a separate discipline, but instead will increasingly be part of mainstream finance.行为金融1.引言行为金融学就是用来研究金融市场的一种新型的模型。

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献(文档含英文原文和中文翻译)Securitization of Financial assetsAsset-Backed Securitization (ABS) is a financial tool which allows financial institutions (usually commercial banks) to move unmarketable assets (e.g.lease assets mortgage assets or commercial papers) from their balance sheets in exchange for a long term loan which can be ploughed back into more profitable investments. More precisely ,the financial assets are converted into bonds (so called notes ) and the proceeds of their market issuance become a long term loan for the assets owner (the originator ).We will look at the ABS operation mainlyfrom the point of view of this financial institution.Our analysis will concentrate on the critical phase of the ABS operation avoiding to describe in detail the role of some of the participating operators, such as banks and insurance companies, which provide the credit protection (risk hedging) of the operation .It should be noted that the issue of credit protection is an interesting research topic in itself .However ,the corresponding features such as credit guarantees and cash flow riskiness are beyond the scope of this paper .In an ABS, the assets are sold by the originator to a special purpose vehicle (SPV), an institution created solely for that purpose .The SPV funds the purchase through issuing debt securities-the notes-which are collateralized by the assets. Note that the assets transfer is a true sale. Thus , if the originator becomes insolvent or is involved in bankruptcy the transferred financial assets will not be part of the bankruptcy the transferred financial assets will not be part of the bankruptcy assets. This makes the notes an interesting investment opportunity .In apass through payment scheme the final investors who buy these notes receive periodic inflows (interests on their investments). These are directly relatedto the periodic installments paid by the holders of the assets (e.g. lessees or mortgage holders) to the originator (e.g. the lessor ). Using the ABS structure the originator bypasses the problem of an impossible outright sale of its assets and thus reduces its overall exposure to them. For instance ,lease or mortgage contracts which tie up the capital of leasing companies can be moved into notes. This replacement of illiquid assets improves the return on equity (ROE).From the point of view of the originator, an ABS allows the achievement of three mainFinancial objectives:1.Replacement of the assets in the balance sheet, therebyimproving ROE and allowing ( if the originator is a bank)a more flexible keeping of the asset/liability compositionconstraints imposed by the control authorities (i.e. the Central Bank).2.Diversification of fund sources. Althrough the originatormay be low rated, its notes usually get a higher rating(e.g. AAA) due to the presence of banks and insurancecompanies which guarantee the whole operation .This implies that such notes can be dealt on the main financialmarkets allowing the originator to reach markets which would otherwise be unaccessible for him since attended only by more established companies.3.Higher rated notes are more reliable investments and thusare allowed to pay lower interest rates to holders. If the cost to get a higher rating is lower than the saving obtained by issuing notes which higher rating, then the global cost to acquire funds decreases. Let us assume that an institution with a BB rating can get money at a rate such as Libor (London interbank offering rate) plus 150 basis points. Such an institution, as originator, may decide pay an additional 100 basis points to get credit warranties 1 and be able to issue notes with rating AAA at the cost of Libor plus 10 basis points. In this case an ABS will produce a saving on interest rates of 40 basis points. This situation applies in practice, since there is no efficient market for the underlying assets. The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the pulic institution in charge of the management of the social security system, i.e. the Istituto Nazionale dellaPrevidenza Sociale (INPS).This operation has allowed INPS to move delinquent contributions from its balance sheet.Other transactions of this type took place in the area of public housing agencies.The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the public institution in charge of the management of the social security system, i.e. the Istituto Nazionale della Previdenza Sociale (INPS). This operation has allowed INPS to move delinquent con-tributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies.Many papers dealing with ABS from a modeling point of view have appeared in the last few years. Since an extensive review is beyond the scope of this paper we will only mention the papers by Kang and Zenios [6,7] and by Mansini and Speranza [12,13] and refer to the references given therein. For a better insight in the complex problem of securitization we suggest the textbooks [3,5,15].In particular, motivated by the analysis of a real-worldcase, Mansini in [11] and then Mansini and Speranza in [12] have studied the problem of optimally selecting the assets to refund the loan. In other case only lease assets are considered, although many other types of assets have the same basic characteristics. In their paper the outstanding principal of the assets is computed based on constant general installments (the so called French amortization). The resulting problem of selecting assets at unique date can be modeled as a d-dimensional knapsack problem, which is hardly tractable by exact algorithms but is typically solved by constructive heuristics (see e.g.[1,16]) or metaheuristics (see e.g.[2,4]. The authors also show that in the special case where all lease assets share the same financial characteristics (amortization rule, internal interest rate and term ) all but one constraint turn out to be redundant and hence the model reduces to a classical 0-1 knapsack problem (KP), which is relatively easy to handle (cf.[8,9,14]). See [10] for a general introduction to knapsack problems. Their work does not take into account the occurrence of a different rule for the asset amortization. In many practical applications (both for lease and mortgage contracts) thecustomers receiving the assets choose to pay back their debt by constant periodic principal installments (the rule is known as Italian amortization). Up to now this common rule has been totally ignored in models formalization.The objective of this paper is twofold .First of all we innovate with respect to previous modeling approaches by introducing a general model to select financial assets at multiple dates. The motivation derives from the practical need of finding alternative and possibly more effective formulations for the problem of asset selection in ABS to achieve a better utilization for the long term loan.Secondly, we analyze the frequently encountered practical case in which the assets (lease or mortgage contracts) are paid back by constant periodic principal installments ( Italian amortization rule). In this way the paper aim to provide analysis of an alternative amortization rule available in practices as well as the development of better tools for the institutions responsible for the planning and management of ABS.Before defining the new model we should give a more detailed sketch of the ABS process. To help the reader invisualizing and better understanding the structure of an ABS process. The SPV issues notes on the financial market receiving funds from institutional investors who purchase the notes and hold them until maturity subject to the availability of acceptable short-term financing. The proceeds obtained by the notes’issuance are used by the SPV to make revolving purchases of the unrated assets from the originator. The latter receives a long term loan which is payable solely by assets. In particular, the originator has to select the assets to be handed over for the loan reimbursement. These assets are“converted into” the notes issued by the SPV.The assets which are included in an ABS process have to be selected in a way such that the sum of their outstanding principals never exceeds the outstanding principal of the received loan (from now on simply the main outstanding principal) at any point in time. Now in order to maximize the financial gain of the operation the critical problem for the originator consists of minimizing the gap between the main outstanding principal and the outstanding principal of the selected assets over all points in time. This gap constitutes a loss of profit due to missing moreprofitable investments with higher yields.Actually the area of the main outstanding principal covered by the sum of outstanding principals of the handed-over assets yields a return for the originator ( e.g. the lessor) depending on the difference between the percent interest rate per year that the originator got from its customers (e.g. the lessees) and the lower percent interest rate paid to the note holders. If the sum of the outstanding principals of the selected assets has a global reimbursement profile which decreases more rapidly than that of the main outstanding principal, then the originator gets funds from its customers in advance with respect to the deadline at which it should pay the capital installment to the SPV. Such funds have to be reinvested in some predefined type of investments indicated in the ABS agreement. These investments last for a brief period (from the date in which they are available to the following date of reimbursement for the main loan) and usually yield a very low interest rate. Given the rate B payed for the notes it frequently happens that B is close to zero and may also be negative involving a loss for the originator. This justifies the interest in minimizing thegap between the two profiles and stresses the importance of studying alternative shapes for the outstanding principals.Another important aspect in an ABS process is the risk of assets prepayment (cf.Schwartz and Torous [18]).A decline in interest rates may cause an earlier repayment of the outstanding principals of the assets and hence has a negative effect on the value of the objective function over time since the gap towards the main outstanding principal increases.For some types of assets such as auto loans or credit card receivables this prepayment is unusual. However, leasing-like assets do face the risk of interest-rate based prepayment. Since prepayment events are non-predictable they cannot be taken explicitly into account in a deterministic off-line optimization model. Implicitly, it is assumed that all assets have the same probability of prepayment. In all cases where the risk of early paybacks is particularly high, a re-optimization of the whole ABS process at a later point in time is strongly recommended.Concerning the time line, in our case the assets arehanded over by the originator and purchased by the SPV starting at a closing date (initial date for the loan) and on a Fixed basis thereafter during the so called revolving period.. Each date at which a purchase takes place is called settlement date. The assets handed over by the originator at the closing date and thereafter at the settlement dates are collectively referred to as the initial and subsequent portfolios, respectively. Issued notes yield an interest payable on periodic bases (usually quarterly) and are redeemed at different final maturity dates. For this reason, notes are divided into tranches characterized by different deadlines.The reimbursement to the holders of the principals of a tranche of notes corresponds to a reimbursement installment of the main outstanding principal. Hence, the outline of the outstanding principal of the loan has as many installments (steps)as the number of notes with different maturity issued on the market.The main source of payment of interest and principal on notes are recoveries arising out of the assets. In particular, the cash-flow deriving from assets is used by the SPV to satisfy its obligations to the holders of notes.Naturally, the outstanding principal of an asset depends on the rule used for amortization.As mentioned above, two different rules mainly appear in practice, In the first rule, usually known as French amortization, the general periodic installment (sum of periodic interests and principal installment) is constant over time. In this case the customers who hold assets (mortgage or lease contracts) have to pay the same geometrically over time .In this case the customers who hold assets (mortgage or lease contracts) have to pay the same constant amount at each deadline. Since the principal installments increase geometrically over time (see figure 2(b) ), the outstanding principal can be approximated by a concave piece-wise linear function.Source: D. Bertsimas and R. Demir. Securitization of Financial Assets: Approximation in Theory and Practice. Computational Optimization and Applications, 2008(29), P147-171翻译:金融资产证券化资产证券化(ABS)是一种金融工具,它可以让金融机构(通常是商业银行)的流动资产(如租赁资产滞销,抵押资产或商业证件)在他们的资产负债表中转换为长期贷款。

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献Financial Asset nAsset-Backed n (ABS) ___ ns。

typically commercial banks。

to remove unmarketable assets。

such as lease assets。

mortgage assets。

or commercial papers。

from their balance sheets in exchange for a long-term loan that can be ___。

the financial assets are transformed into bonds。

known as notes。

and the proceeds from their market issuance e a long-term loan for the asset owner。

also known as the originator。

This article will primarily focus on the n of ABS.ABS nThe ABS ___:1.___ a pool of financial assets that it intends to securitize.2.___ of the assets to a special purpose vehicle (SPV)。

which is created for the sole purpose of holding the assets and issuing the notes.3.The SPV issues the notes。

which are backed by the cash flows generated by the underlying assets.4.The notes are sold to investors in the capital markets。

《商业银行资产证券化业务发展研究国内外文献综述2300字》

《商业银行资产证券化业务发展研究国内外文献综述2300字》

商业银行资产证券化业务发展研究国内外文献综述(一)国外文献综述关于资产证券化对商业银行风险的影响:国外相关研究显示,在经营风险方面,资产证券化对商业银行的确有影响。

资产证券化对于商业银行风险程度的影响存在“证券化-稳定”与“证券化-不稳定”两种不同观点。

Jiangli.w(2008)的“证券化-稳定”理论认为,资产证券化过程中建立特殊spv能把风险转移并隔离,风险转移过程中商业银行相当于为经济中的逆向选择和道德风险购买了保险。

2008年次贷危机之后,更多的研究支持了“证券化-不稳定”的理论。

Allen和Carletti(2006)Acharya等(2013)认为资产证券化强化了金融机构的关联性,增强了风险的溢出性和感染性,诱发了整个银行体系的崩溃。

关于城商行的研究:在国外,银行被划分为大银行和中小银行,但是国外并没有城市商业银行的说法。

由于从本质上来看,城市商业银行本质上属于中小型商业银行,所以,在发展过程中,国外关于商业银行发展方面的研究成果和发展经验可以给我国城市商业银行的发展提供有益的借鉴和启发。

Brickley和James(2003)认为,地方政府的介入对商业银行的发展有着重要的促进作用。

在日本,大多数地方银行的总部都设在地方城市,而这些地方银行无例外地与当地政府、企业以及公共团体有着紧密的联系。

由此他们得出:得到政府的大力支持,能够促进商业银行的发展,从而刺激地方经济的增长。

2007年,Allen N.Bergel9在对美国的社区银行的发展历史的基础,进一步研究了各家银行不同的发展模式和路径。

总之,国外商业银行有关的发展研究比较多。

从研究主体上看,有学术专家,还有新闻报刊、研究机构、知名信用评级机构等 ;从研究主题上看,主要有对城市商业银行发展现状、趋势的研究,对城市商业银行跨区域经营的研究,对银行上市的研究等等。

国外的研究成果不仅对于探讨我国城市商业银行发展提供了不可或缺的理论支撑,同时,从现实意义而言,国外的发展经验对S城市商业银行的发展提供了借鉴和启发。

金融资产证券化【外文翻译】

金融资产证券化【外文翻译】

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《融资租赁行业资产证券化问题研究国内外文献综述》

《融资租赁行业资产证券化问题研究国内外文献综述》

融资租赁行业资产证券化问题研究国内外文献综述1.国外研究现状及发展资产证券化(ABS)是由美国20世纪70年代的住房抵押证券(MBS)演变而来的,20世纪80年代得到了蓬勃的发展,20世纪90年代亚洲市场逐渐引入资产证券化。

这也使得外国对资产证券化的分析研究远远领先于中国。

Jobst(1975)认为资产证券化是一种新的融资方式,通过证券化,融资方的资产信用可以直接提供给资本市场,而不是通过金融中介机构,从而最大限度地提高融资效率,降低企业成本。

Thomas(1999)通过实证分析得出以下结论,即对于信用等级较低的企业,通过债权进行证券化融资是一种不错的手段,同时也可以降低从银行获得资金的成本。

Schwarcz(2002)提出在证券化的发展过程中,能够参考资产差异特征,区分不同种类,分离流动性较低的资产,其形成的现金流在资本市场上融入资金,融资成本通常小于股权融资。

在租赁资产证券化角度,Sudhir P.amemba(2000)分析研究了融资租赁市场的发展,论述了融资租赁业对社会经济的宏观效应。

Charles W.calomiris和Joseph R.Mason(2004)通过对资产证券化的深入研究,对融资租赁业证券化提出了建设性构想。

通关开展对融资租赁业资产证券化的系统分析,建立操作模型。

外国对资产证券化行业领域的分析从含义、原理与交易结构等多个方面,进一步探索研究到更为细微的层面,对资产支持证券化的研究更为细致,这也表明国外资产证券化在理论和实践方面更加成熟。

在资产证券化的动机方面,Charles W.calomiris(2004)发现企业通过开展资产证券化业务可以拓宽融资渠道。

Shawn D Halladay(2005)提出融资租赁公司开展资产证券化业务可以缓解融资压力,从而缓解自身融资困难。

在信用增级方面,Fabozzi&kothari(2011)认为企业可以通过设计资产证券化产品,提高产品的信用评级,减少企业与投资者之间的信息不对称程度。

金融资产证券化外文文献资料及翻译(可编辑)

金融资产证券化外文文献资料及翻译(可编辑)

金融资产证券化外文文献资料及翻译(可编辑)金融资产证券化外文文献资料及翻译Securitization of Financial assetsAsset-Backed Securitization ABS is a financial tool which allows financial institutions usually commercial banks to move unmarketable assets //.se assets mortgage assets or commercial papers from their balance sheets in exchange for a long term loan which can be ploughed back into more profitable investments. More precisely ,the financial assets are converted into bonds so called notes and the proceeds of their market issuance become a long term loan for the assets owner the originator .We will look at the ABS operation mainly from the point of view of this financial institution Our analysis will concentrate on the critical phase of the ABS operation avoiding to describe in detail the role of some of the participating operators, such as banks and insurance companies, which provide the credit protection risk hedging of the operation .It should be noted that the issue of credit protection is an interesting research topic initself .However ,the corresponding features such as credit guarantees and cash flow riskiness are beyond the scope of this paper In an ABS, the assets are sold by the originator to a special purpose vehicle SPV, an institution created solely for that purpose .The SPV funds the purchase through issuing debt securities-the notes-which are collateralized by the assets. Note that the assets transfer is atrue sale. Thus , if the originator becomes insolvent or is involved inbankruptcy the transferred financial assets will not be part of the bankruptcy the transferred financial assets will not be part of the bankruptcy assets. This makes the notes an interesting investment opportunity .In apass through payment scheme the final investors who buy these notes receive periodic inflows interests on their investments. These are directly related to the periodic installments paid by the holders of the assets e.g. lessees or mortgage holders to the originator e.g. the lessor . Using the ABS structure the originator bypasses the problem of an impossible outright sale of its assets and thus reducesits overall exposure to them. For instance ,lease or mortgage contracts which tie up the capital of leasing companies can be moved into notes. This replacement of illiquid assets improves the return on equity ROE From the point of view of the originator, an ABS allows the achievement of three mainFinancial objectives:Replacement of the assets in the balance sheet, thereby improving ROE and allowing if the originator is a bank a more flexible keeping of the asset/liability composition constraints imposed by the control authorities i.e. the Central Bank.Diversification of fund sources. Althrough the originator may be low rated, its notes usually get a higher rating e.g. AAA due to the presenceof banks and insurance companies which guarantee the wholeoperation .This implies that such notes can be dealt on the main financial markets allowing the originator to reach markets which wouldotherwise be unaccessible for him since attended only by more established companies.Higher rated notes are more reliable investments and thus areallowed to pay lower interest rates to holders. If the cost to get a higher rating is lower than the saving obtained by issuing notes which higher rating, then the global cost to acquire funds decreases. Let us assume that an institution with a BB rating can get money at a rate such as Libor London interbank offering rate plus 150 basis points. Such an institution, as originator, may decide pay an additional 100 basis points to get credit warranties 1 and be able to issue notes with rating AAA at the cost of Libor plus 10 basis points. In this case an ABS will produce a saving on interest rates of 40 basis points. This situation applies in practice, since there is no efficient market for the underlying assets. The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the pulic institution in charge of the management of the social security system, i.e. theIstituto Nazionale della Previdenza Sociale INPS.This operation has allowed INPS to move delinquent contributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies The interest in this financialoperation drastically increased in the last years all over Europe.In Italy, one of the most recent and relevant ABS has been performed by the public institution in charge of the management of the socialsecurity system, i.e. the Istituto Nazionale della Previdenza Sociale INPS. This operation has allowed INPS to move delinquent con-tributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies Many papers dealing with ABS from a modeling point of view have appeared in the last few years. Since an extensive review is beyond the scope of this paper we will only mention the papers by Kang and Zenios [6,7] and by Mansini and Speranza [12,13] and refer to the references given therein. For a better insight in the complex problem of securitization we suggest the textbooks [3,5,15] In particular, motivated by the analysis of a real-world case, Mansini in [11] and then Mansini and Speranza in [12] have studied the problem of optimally selecting the assets to refund the loan. In other case only lease assets are considered, although many other types of assets have the same basic characteristics. In their paper the outstanding principal of the assets is computed based on constant general installments the so called French amortization. The resulting problem of selecting assets at unique date can be modeled as a d-dimensional knapsack problem, which is hardly tractable by exact algorithms but is typically solved by constructive heuristics see e.g.[1,16] or metaheuristics see e.g.[2,4]. The authorsalso show that in the special case where all lease assets share the same financial characteristics amortization rule, internal interest rate and term all but one constraint turn out to be redundant and hence the model reduces to a classical 0-1 knapsack problem KP, which isrelatively easy to handle cf.[8,9,14]. See [10] for a generalintroduction to knapsack problems. Their work does not take into account the occurrence of a different rule for the asset amortization. In many practical applications both for lease and mortgage contracts the customers receiving the assets choose to pay back their debt by constant periodic principal installments the rule is known as Italian amortization. Up to now this common rule has been totally ignored in models formalization The objective of this paper is twofold .First ofall we innovate with respect to previous modeling approaches by introducing a general model to select financial assets at multiple dates. The motivation derives from the practical need of finding alternativeand possibly more effective formulations for the problem of asset selection in ABS to achieve a better utilization for the long term loan. Secondly, we analyze the frequently encountered practical case in which the assets lease or mortgage contracts are paid back by constantperiodic principal installments Italian amortization rule. In this way the paper aim to provide analysis of an alternative amortization rule available in practices as well as the development of better tools forthe institutions responsible for the planning and management of ABSBeforedefining the new model we should give a more detailed sketch of the ABS process. To help the reader in visualizing and better understanding the structure of an ABS process. The SPV issues notes on the financial market receiving funds from institutional investors who purchase thenotes and hold them until maturity subject to the availability of acceptable short-term financing. The procee ds obtained by the notes’ issuance are used by the SPV to make revolving purchases of the unrated assets from the originator. The latter receives a long term loan whichis payable solely by assets. In particular, the originator has to select the assets to be handed over for the loan reimbursement. These assets are“converted into” the notes issued by the SPV.The assets which are included in an ABS process have to be selected in a way such that the sum of their outstanding principals never exceeds the outstanding principal of the received loan from now on simply the main outstanding principal at any point in time. Now in order to imize the financial gain of the operation the critical problem for the originator consists of minimizing the gap between the main outstanding principal and the outstanding principal of the selected assets over all points in time. This gap constitutes a loss of profit due to missing more profitable investments with higher yields.Actually the area of the main outstanding principal covered by the sum of outstanding principals of the handed-over assets yields a return for the originator e.g. the lessor depending on the difference between the percent interest rate per year that the originator got from its customers e.g. the lessees and the lower percent interest rate paid to the note holders. If the sum of the outstanding principals of the selected assets has a global reimbursement profile which decreases more rapidly than that of the main outstanding principal, then the originatorgets funds from its customers in advance with respect to the deadline at which it should pay the capital installment to the SPV. Such funds haveto be reinvested in some predefined type of investments indicated in the ABS agreement. These investments last for a brief period from the datein which they are available to the following date of reimbursement forthe main loan and usually yield a very low interest rate. Given the rateB payed for the notes it frequently happens that B is close to zero and may also be negative involving a loss for the originator. This justifies the interest in minimizing the gap between the two profiles and stresses the importance of studying alternative shapes for the outstanding principals.Another important aspect in an ABS process is the risk of assets prepayment cf.Schwartz and Torous [18].A decline in interest rates may cause an earlier repayment of the outstanding principals of the assetsand hence has a negative effect on the value of the objective function over time since the gap towards the main outstanding principal increases.For some types of assets such as auto loans or credit cardreceivables this prepayment is unusual. However, leasing-like assetsdo face the risk of interest-rate based prepayment. Since prepayment events are non-predictable they cannot be taken explicitly into accountin a deterministic off-line optimization model. Implicitly, it is assumed that all assets have the same probability of prepayment. In all cases where the risk of early paybacks is particularly high, a re-optimization of the whole ABS process at a later point in time is strongly recommended.Concerning the time line, in our case the assets are handed over by the originator and purchased by the SPV starting at a closing date initial date for the loan and on a Fixed basis thereafter during the so called revolving periodEach date at which a purchase takes place is called settlement date. The assets handed over by the originator at the closing date and thereafter at the settlement dates are collectively referred to as the initial and subsequent portfolios, respectively. Issued notes yield an interest payable on periodic bases usually quarterly and are redeemed at different final maturity dates. For this reason, notes are divided into tranches characterized by different deadlines The reimbursement to the holders of the principals of a tranche of notes corresponds to a reimbursement installment of the main outstanding principalHence, the outline of the outstanding principal of the loan has as many installments stepsas the number of notes with different maturity issued on the market The main source of payment of interest and principalon notes are recoveries arising out of the assets. In particular, the cash-flow deriving from assets is used by the SPV to satisfy its obligations to the holders of notes. Naturally, the outstanding principal of an asset depends on the rule used for amortization As mentioned above, two different rules mainly appear in practice, In the first rule, usually known as French amortization, the general periodicinstallment sum of periodic interests and principal installment is constant over time. In this case the customers who hold assets mortgage or lease contracts have to pay the same geometrically over time .In this case the customers who hold assets mortgage or lease contracts have to pay the same constant amount at each deadline. Since the principal installments increase geometrically over time see figure 2b , the outstanding principal can be approximated by a concave piece-wise linear function Source: D. Bertsimas and R. Demir. Securitization of Financial Assets: Approximation in Theory and Practice. Computational Optimization and Applications, 200829, P147-171附录B:中文翻译金融资产证券化资产证券化ABS是一种金融工具,它可以让金融机构通常是商业银行的流动资产如租赁资产滞销,抵押资产或商业证件在他们的资产负债表中转换为长期贷款。

资产证券化文献综述

资产证券化文献综述

关于资产证券化研究的文献综述资产证券化, ( Asset Backed Securitization) ,是指将性质类似、风险相近的基础资产组合为资产池,并以该资产池在未来所产生的可预见的、稳定的现金流为支撑,面向广大投资者所发行的一种固定收益证券。

根据基础资产来源的不同,其又可以具体细分为以商业银行为发行主体的信贷资产证券化,和以企业的应收账款证券化、未来收益等为基础资产的企业资产证券化等。

2015年以来,我国资产证券化支持政策陆续出台,资产证券化未来走向备受关注。

我国资产证券化能否迎来发展良机,资产证券化产品发行和交易现状何如,供需前景又将如何变化以及资产证券化将如何影响市场投融资、银行等金融机构业务,甚至宏观经济结构转型等,对这些问题的思考与探索,对于进一步发展和完善我国的资产证券化业务具有重大的意义,本文献综述将围绕资产证券化从发展历程、经验回顾、发展现状等方面对前人的研究成果进行梳理与分析。

一、资产证券化发展历程回顾(一)国际方面资产证券化起源于美国,其主要是为了应对二战之后婴儿潮的购房问题以及促进本国房地产市场的发展进而寻求新的经济增长点。

在发展过程中,为了解决税收、法人地位等约束,美国政府通过不断立法( 如1986年著名的REMIC 法案) ,逐渐为本国资产证券化发展过程中的相关问题扫清了障碍。

之后,资产证券化也迅速在其他国家和地区发展壮大,包括欧洲、日本和澳大利亚。

根据伦敦国际金融服务公司( International FinancialServices London) 2010 年的报告,从2000 年至2006 年,全球范围内证券化的资产总量已经从1.022 万亿美元迅速增长到3.298 万亿美元。

而美国在2007 年有40%的银行贷款通过资产证券化进行操作,虽然金融危机使其有所收缩,但该国资产支持证券的发行量依然超过了当年本国公司债市场的规模( Loutskina, 2011) 。

商业银行不良贷款证券化外文文献翻译

商业银行不良贷款证券化外文文献翻译

商业银行不良贷款证券化外文文献翻译外文文献翻译原文+译文原文The study on the securitization of non-performance loans of commercial banksAhmad WAbstractCommercial Banks non-performing assets is to point to in a good operating state, not normal brings to the commercial bank interest income in time even can't take back the principal bank assets in a timely manner. The essence of the non-performing assets is an additional commercial Banks operating costs. The seriousness of the problem, however, far from it, because the bank in the special position in social economic life and the important role of non-performing assets in which could lead to an increase in commercial Banks operating costs at the same time, also implies a higher social costs. Throughout the history of the world, all previous banking crises, financial crisis and the outbreak of the global economic crisis, with Banks non-performing assets. Unwind the bad assets, and eliminate the root causes of bad assets are imperative. Keywords: Non-performing loans; Asset securitization; Commercial Banks1 IntroductionNon-performing assets disposal of the most common method is operated Banks, specific include: collection, debt restructuring, on the basis of repay the principal reduction, litigation and court execution, loan interest cancel after verification, etc. Among them, the collection, a debt restructuring and reduction method of interest is the premise of the borrowerhas certain repayment sincerity and reimbursement ability. Action to perform, loans verification method is suitable for borrowing the lack of sincerity reimbursement or reimbursement ability. Many reasons for the formation of non-performing assets of commercial Banks, credit conditions are an important reason. Credit system is imperfect, bilk not directly caused a large number of enterprises also phenomenon. Many private enterprises and unable to repay bank loans, its legal representative or the shareholders itself will not be affected by any; moreover, they can through the prior registered a new company to continue to run their business. It is because of bad credit environment, led to made the borrower's subjective repaymentwillingness is not strong, lack of credit consciousness, so the collection way to deal with the effect of bad assets always is not very good, a lot of the time can only play the role of interrupt litigation efficiency., with some success, of course, but generally this borrowing has full mortgage or guarantee. Debt restructuring, breaks the interest is the bank to the borrower has certain repayment willingness, but a kind of measures taken by the reimbursement ability is insufficient. Such treatment clause contains both the preferential policies of the bank to the borrower, and the limitation of the bank. Debt restructuring is mainly for the duration of the loan, mortgage, guarantee, loan, make changes to form new loans, to reduce risk. Reduction of interest by a certain amount of relief, recover all loan principal. These two approaches in the bank received a lot of use. Litigation and court execution way has always been one of the important ways of bad assets disposal, bad credit environment, concentrated in many borrowers bilk not also, the bank must takecompulsory means of recovery of the loans. As Banks and borrowers are format contract signed, the guarantor, so the problem of loans made to basically guaranteed. But the problem is the execution phase, if the lack of sufficient assets available for execution, the loans are still hard to fully recover, sometimes even the action to perform advancements cannot take back. Even so, as a result of litigation compulsory execution, these ways of disposal gradually become one of the most main way. Finally, on the premise of any loan, it will not be repaid, Banks into bad debt verification procedures. Visible, the non-performing assets of commercial Banks have formed a set of business process, according to the customer's specific repayment willingness and repayment capacity, formulate the corresponding disposal measures, and the process is in the process of improving.2 The affect factors of the non-performing loan recovery2.1 Loan timeIn theory, the loan last failed to repay the longer, may also produce bad debt loss, the greater the non-performing loans of borrowing the earlier time, time will be long overdue, and recovery rate is generally low. Countries to borrow after transfer, a large number of non-performing loans to appear, but state-owned enterprises did not returnthe bank loans as a must, the idea has not changed, also think that is a country in support, and the commercial bank reform has not yet started, have to bear the certain function of finance. Appear in this phase of the non-performing loan is a big difficulty, in their evaluations, to especially pay attention to this stage of the lent loans, in has been calculated based on the assessment of the value should be lowered accordingly.2.2 Loan sectorDifferent industry development direction, development potential, payment is also different. But more important is the nature of industry difference also means different organic composition, the different proportion of tangible and intangible assets, can be used for the assets of a mortgage. Enterprises of different industries in the face of the repayment pressure or liquidation, creditors can perform an asset and its degree, and thus to creditors have different ability of guarantee. The real estate, construction even if there will be a lot of bad debts occur to pay off the building and construction materials, realizable ability, such as financial services when bad debts occur or bankruptcy is available to sell anything.2.3 The enterprise ownershipNon-performing loan ratio highest is state-owned enterprises and collective enterprises, and foreign enterprises and individual enterprises is generally lower. According to incomplete statistics of non-performing loans of state-owned enterprises and collective enterprises accounted for the big four Banks non-performing loans is about 75% of the total. For a long time, the main commercial Banks is a state of absolute holding, so its loan direction mainly in the face of state-owned enterprises and collective enterprises, in the process of loan, sometimes under the intervention of the government, the bank will be for some, redundant construction, low management level of the product unsalable make loans to the state-owned enterprises, such loans are usually difficult to recover. And many of the state-owned enterprises in the business at the same time also in bear the heavy burden on society, such companies can once cannot reimbursement is not bankruptcy liquidation, because it will affect the stability of the local society to a certain extent. Thestate-owned enterprises and local government relations are complex, is likely to encounter in the process ofrecovery of loans the government. So we can expect, state-owned enterprises non-performing loan recovery rate is relatively low.2.4 Loan purposesThe purpose of the enterprise loans directly affect the loans become non-performing loans after its recovery, loans for infrastructure construction such as highway, hydropower station, even out of business, but has invested assets can still corresponding cash. As for working capital turnover or to repay debt, once enterprises shut down at this moment, it will be difficult to get a loan.2.5 Enterprise operating conditionsEnterprise only keep operating, will speed up the turnover of assets and value-added, its assets only in continuous operation at the same time, will be to the value of its future cash flow measurement. If the enterprise is unable to maintain normal operation, under the period of shut down or even bankruptcy, on the one hand, the source of enterprises to raise funds dried up, room for turnover decreases, and on the other hand, itself can no longer produce inflows, on the degree of guarantee creditors will decline.3 Theory of asset securitization and the process3.1 DefinitionsOf future earnings of the asset securitization is simply the assets transferred to investors in the form of securities issuance, its low cost, high rate of financing characteristics have drawn the attention of the governments and financial institutions. Since the United States created the beginning of asset securitization, in justa few decades the development has begun to take shape, more developed in many areas, asset securitization has become a of non-performing assets of Banks and other financial institutions to solve the important means. Law fare that asset securitization is savers and borrowers by financial markets to some or all of the matching process and tools, under the arrangement, the development of the market credit replaced by Banks or other financial institutions to provide closed market credibility. American Yale set professor argues that "asset securitization can be broadly defined as a process, through this process will have a common characteristic of loans, consumer installment contracts, leases, accounts receivable and other illiquid assets into market-oriented investment characteristics of interest-bearing securities. "Visible, the meaning of asset securitization, which consists of a series of financial asset through restructuring, the construction of asset pool, in order to get more stable cash flow, and then through a variety of credit enhancement, in order to achieve the standard of securities issuance, so as to issue securities, and based on the payment of securities of the asset pool cash flow.3.2 The theory analysisBasic operation principle of asset securitization together is the securitizations of assets, the restructuring its cash flow and handed it to investors. Because our country banking non-performing loans is not completely get rid of the constraint, staying in more than two system, formed the situation of non-performing loans is basically equivalent to default loans. Therefore, for single non-performing loans, because the borrower has defaulted, difficult to timely recovery of the loans in the future through the normal way, so its cash flow is uncertain,extreme without any occurrence of cash flow is possible. So, expect the cash flow of non-performing assets of Banks is a very difficult thing, this factor has become a part of the opposition of non-performing assets securitization of scholars is a major reason.But, in fact, for a group of loans, even though the cash flow is the combination of the combination of each loan sum of cash flows, but because of the role of the law of large Numbers, the combination of the cash flow may present a certain regularity, the premise is the number of borrowers in loan portfolio enough, correlation between small enough, industry and region, the loan scale widely enough and so on. So the individual loans often large deviation, but can the whole portfolio cash flow has credible estimates. On this basis, it can be bad assets together, structural reorganization, and divided the resale market for securities investors. Bad assets the damage to the financial sector and the whole regional economy is self-evident, bad assets for the financial system is always a great safety hidden trouble, while asset securitization is the most common especially in some developed areas in the world of the methods to solve the problem of non-performing assets. This section is to analyze the necessity and feasibility of securitization of non-performing assets.文献出处:Ahmad W. The study on the securitization of non-performance loans of commercial banks [J]. Journal f Basic and Applied Scientific Research, 2016, 4(3): 241-250.译文商业银行不良贷款证券化研究Ahmad W摘要商业银行不良资产是指处于非良好经营状态,不能及时给商业银行带来正常利息收入甚至不能及时收回本金的银行资产。

金融体系中英文对照外文翻译文献

金融体系中英文对照外文翻译文献

金融体系中英文对照外文翻译文献(文档含英文原文和中文翻译)Comparative Financial Systems1 What is a Financial System?The purpose of a financial system is to channel funds from agents with surpluses to agents with deficits. In the traditional literature there have be en two approaches to analyzing this process. The first is to consider how agents interact through financial markets. The second looks at the operation offinancial intermediaries such as banks and insurance companies. Fifty years ago, the financial system co uld be neatly bifurcated in this way. Rich house-holds and large firms used the equity and bond markets,while less wealthy house-holds and medium and small firms used banks, insurance companies and other financial institutions. Table 1, for example, shows the ownership of corporate equities in 1950. Households owned over 90 percent. By 2000 it can be seen that the situation had changed dramatically.By then households held less than 40 percent, nonbank intermediaries, primarily pension funds and mutual funds, held over 40 percent. This change illustrates why it is no longer possible to consider the role of financial markets and financial institutions separately. Rather than intermediating directly between households and firms, financial institutions have increasingly come to intermediate between households and markets, on the one hand, and between firms and markets,on the other. This makes it necessary to consider the financial system as anirreducible whole.The notion that a financial system transfers resources between households and firms is, of course, a simplification. Governments usually play a significant role in the financial system. They are major borrowers, particularlyduring times of war, recession, or when large infrastructure projects are being undertaken. They sometimes also save significant amounts of funds. For example, when countries such as Norway and many Middle Eastern States have access to large amounts of natural resources (oil), the government may acquire large trust funds on behalf of the population.In addition to their roles as borrowers or savers, governments usually playa number of other important roles. Central banks typically issue fiat money and are extensively involved in the payments system. Financial systems with unregulated markets and intermediaries, such as the US in the late nineteenth century, often experience financial crises.The desire to eliminate these crises led many governments to intervene in a significant way in the financial system. Central banks or some other regulatory authority are charged with regulating the banking system and other intermediaries, such as insurance companies. So in most countries governments play an important role in the operation of financialsystems. This intervention means that the political system, which determines the government and its policies, is also relevant for the financial system.There are some historical instances where financial markets and institutions have operated in the absence of a well-defined legal system, relyinginstead on reputation and other im plicit mechanisms. However, in most financial systems the law plays an important role. It determines what kinds ofcontracts are feasible, what kinds of governance mechanisms can be used for corporations, the restrictions that can be placed on securities and so forth. Hence, the legal system is an important component of a financial system.A financial system is much more than all of this, however. An important pre-requisite of the ability to write contracts and enforce rights of various kinds is a system of accounting. In addition to allowing contracts to be written, an accounting system allows investors to value a company more easily and to assess how much it would be prudent to lend to it. Accounting information is only one type of information (albeit the most important) required by financial systems. The incentives to generate and disseminate information are crucial features of a financial system.Without significant amounts of human capital it will not be possible for any of these components of a financial system to operate effectively. Well-trained lawyers, accountants and financial professionals such as bankers are crucial for an effective financial system, as the experience of Eastern Europe demonstrates.The literature on comparative financial systems is at an early stage. Our survey builds on previous overviews by Allen (1993), Allen and Gale (1995) and Thakor (1996). These overviews have focused on two sets of issues.(1)Normative: How effective are different types of financial system atvarious functions?(2) Positive: What drives the evolution of the financial system?The first set of issues is considered in Sections 2-6, which focus on issues of investment and saving, growth, risk sharing, information provision and corporate governance, respectively. Section 7 consider s the influence of law and politics on the financial system while Section 8 looks at the role financial crises have had in shaping the financial system. Section 9 contains concludingremarks.2 Investment and SavingOne of the primary purposes of the financial system is to allow savings to be invested in firms. In a series of important papers, Mayer (1988, 1990) documents how firms obtained funds and financed investment in a number of different countries. Table 2 shows the results from the most recent set of studies, based on data from 1970-1989, using Mayer’s methodology. The figures use data obtained from sources-and-uses-of-funds statements. For France, the data are from Bertero (1994), while for the US, UK, Japan and Germany they are from Corbett and Jenkinson (1996). It can be seen that internal finance is by far the most important source of funds in all countries.Bank finance is moderately important in most countries and particularly important in Japan and France. Bond finance is only important in the US and equity finance is either unimportant or negative (i.e., shares are being repurchased in aggregate) in all countries. Mayer’s studies and those using his methodology have had an important impact because they have raised the question of how important financial marke ts are in terms of providing funds for investment. It seems that, at least in the aggregate, equity markets are unimportant while bond markets are important only in the US. These findings contrast strongly with theemphasis on equity and bond markets in the traditional finance literature. Bank finance is important in all countries,but not as important as internal finance.Another perspective on how the financial system operates is obtained by looking at savings and the holding of financial assets. Table 3 shows t he relative importance of banks and markets in the US, UK, Japan, France and Germany. It can be seen that the US is at one extreme and Germany at the other. In the US, banks are relatively unimportant: the ratio of assets to GDP is only 53%, about a third the German ratio of 152%. On the other hand, the US ratio of equity market capitalization to GDP is 82%, three times the German ratio of 24%. Japan and the UK are interesting intermediate cases where banks and markets are both important. In France, banks are important and markets less so. The US and UK are often referred to as market-based systems while Germany, Japan and France are often referred to as bank-based systems. Table 4 shows the total portfolio allocation of assets ultimately owned by the household sector. In the US and UK, equity is a much more important component of household assets than in Japan,Germany and France. For cash and cash equivalents (which includes bank accounts), the reverse is true. Tables 3 and 4 provide an interesting contrast to Table 2. One would expect that, in the long run, household portfolios would reflect the financing patterns of firms. Since internal finance accrues to equity holders, one might expect that equity would be much more important in Japan, France and Germany. There are, of course, differences in the data sets underlying the different tables. For example, household portfolios consist of financial assets and exclude privately held firms, whereas the sources-and-uses-of-funds data include all firms. Nevertheless, it seem s unlikely that these differences could cause such huge discrepancies. It is puzzling that these different ways of viewing the financial system produce such radically different results.Another puzzle concerning internal versus external finance is the difference between the developed world and emerging countries. Although it is true for the US, UK, Japan, France, Germany and for most other developed countries that internal finance dominates external finance, this is not the case for emerging countries. Singh and Hamid (1992) and Singh (1995) show that, for a range of emerging economies, external finance is more important than internal finance. Moreover, equity is the most important financing instrument and dominates debt. This difference between the industrialized nations and the emerging countries has so far received little attention. There is a large theoretical literature on the operation of and rationale for internal capital markets. Internal capital markets differ from external capital markets because of asymmetric information, investment incentives, asset specificity, control rights, transaction costs or incomplete markets There has also been considerable debate on the relationship between liquidity and investment (see, for example, Fazzari, Hubbard and Petersen(1988), Hoshi, Kashyap and Scharfstein (1991))that the lender will not carry out the threat in practice, the incentive effect disappears. Although the lender’s behavior is now ex post optimal, both parties may be worse off ex ante.The time inconsistency of commitments that are optimal ex ante and suboptimal ex post is typical in contracting problems. The contract commits one to certain courses of action in order to influence the behavior of the other party. Then once that party’s behavior has been determined, the benefit of the commitment disappears and there is now an incentive to depart from it.Whatever agreements have been entered into are subject to revision because both parties can typically be made better offby “renegotiating” the original agreement. The possibility of renegotiation puts additional restrictions on the kind of contract or agreement that is feasible (we are referring here to the contract or agreement as executed, ratherthan the contract as originally written or conceived) and, to that extent, tends to reduce the welfare of both parties ex ante. Anything that gives the parties a greater power to commit themselves to the terms of the contract will, conversely, be welfare-enhancing.Dewatripont and Maskin (1995) (included as a chapter in this section) have suggested that financial markets have an advantage over financial intermediaries in maintaining commitments to refuse further funding. If the firm obtains its funding from the bond market, th en, in the event that it needs additional investment, it will have to go back to the bond market. Because the bonds are widely held, however, the firm will find it difficult to renegotiate with the bond holders. Apart from the transaction costs involved in negotiating with a large number of bond holders, there is a free-rider problem. Each bond holder would like to maintain his original claim over the returns to the project, while allowing the others to renegotiate their claims in order to finance the additional investment. The free-rider problem, which is often thought of as the curse of cooperative enterprises, turns out to be a virtue in disguise when it comes to maintaining commitments.From a theoretical point of view, there are many ways of maintaining a commitment. Financial institutions may develop a valuable reputation for maintaining commitments. In any one case, it is worth incurring the small cost of a sub-optimal action in order to maintain the value of the reputation. Incomplete information about the borrower’s type may lead to a similar outcome. If default causes the institution to change its beliefs about the defaulter’s type, then it may be optimal to refuse to deal with a firm after it has defaulted. Institutional strategies such as delegating decisions to agents who are given no discretion to renegotiate may also be an effective commitment device.Several authors have argued that, under certain circumstances, renegotiation is welfare-improving. In that case, the Dewatripont-Maskin argument is turned on its head. Intermediaries that establish long-term relationships with clients may have an advantage over financial markets precisely because it is easier for them to renegotiate contracts.The crucial assumption is that contracts are incomplete. Because of the high transaction costs of writing complete contracts, some potentially Pareto-improving contingencies are left out of contracts and securities. This incompleteness of contracts may make renegotiation desirable. The missing contingencies can be replaced by contract adjustments that are negotiated by the parties ex post, after they observe the realization of variables on which the contingencies would have been based. The incomplete contract determines the status quo for the ex post bargaining game (i.e., renegotiation)that determines the final outcome.An import ant question in this whole area is “How important are these relationships empirically?” Here there does not seem to be a lot of evidence.As far as the importance of renegotiation in the sense of Dewatripont and Maskin (1995), the work of Asquith, Gertner and Scharfstein (1994) suggests that little renegotiation occurs in the case of financially distressed firms.Conventional wisdom holds that banks are so well secured that they can and do “pull the plug” as soon as a borrower becomes distressed, leaving theunsecured creditors and other claimants holding the bag.Petersen and Rajan (1994) suggest that firms that have a longer relationship with a bank do have greater access to credit, controlling for a number of features of the borrowers’ history. It is not clea r from their work exactly what lies behind the value of the relationship. For example, the increased access to credit could be an incentive device or it could be the result ofgreater information or the relationship itself could make the borrower more credit worthy. Berger and Udell (1992) find that banks smooth loan rates in response to interest rate shocks. Petersen and Rajan (1995) and Berlin and Mester (1997) find that smoothing occurs as a firm’s credit risk changes.Berlin and Mester (1998) find that loan rate smoothing is associated with lower bank profits. They argue that this suggests the smoothing does not arise as part of an optimal relationship.This section has pointed to a number of issues for future research.• What is the relationship between th e sources of funds for investment,as revealed by Mayer (1988, 1990), and the portfolio choices of investorsand institutions? The answer to this question may shed some light onthe relative importance of external and internal finance.• Why are financing patterns so different in developing and developedeconomies?• What is the empirical importance of long-term relationships? Is renegotiationimportant is it a good thing or a bad thing?• Do long-term relationships constitute an important advantage of bankbasedsystems over market-based systems?金融体系的比较1、什么是金融体系?一个金融系统的目的(作用)是将资金从盈余者(机构)向短缺者(机构)转移(输送)。

国内外关于资产证券化研究动态的文献综述

国内外关于资产证券化研究动态的文献综述

国内外关于资产证券化研究动态的文献综述资产证券的概念和发展模式,操作步骤及结构图:国外的研究动态综述:国内的研究动态:在中国,由于资产证券化研究比较晚,因此没有对资产证券化做具体的定量研究,而且研究深度不足,特别是将资产定价理论应用于实际的研究的研究还很少。

虽然最近有不少国内学者对资产证券化的研究展开了一些工作,但多数都偏重于资产证券化的机理介绍及制度设计层面的研究。

研究范围主要汇集在银行不良资产和住房抵押贷款的资产证券化的定性研究,对证券化的动因和企业特别是中小企业资产证券化的研究还很少,而针对国内现实问题做资产证券化的定量研究就更少了。

何小峰(2002)在《资产证券化.中国的模式》一书中比较系统地介绍了资产证券化的概念,发展历程,操作步骤。

集中体现在对中国地产和汽车信贷等市场方面的应用,可以说是第一本全面介绍资产证券化的著作。

关于资产证券化的效率问题,孙奉军(2004)提出了提前偿付风险的防范机制,并提出了资产证券化的定价思想,定性地分析了中国资产证券化市场的供求与效率,也提出了中国资产证券化的发展模式和策略建议。

胡旭阳(2001)主要从金融经济学角度分析了资产证券化融资结构的效率提升机制及其决定因素。

对于资产证券化的动因方面的研究,也出现了不少学者对这方面的研究,张超英(2004)提出了包括监督技术假说、管制税假说、担保假说、道德风险假说、市场机制假说、流动性假说以及比较优势假说等七个假说,是中国资产证券化动因研究比较前沿的成果。

而这之前,尹龙(1999)也研究了资产证券化的动力约束与制度安排,指出资产证券化不仅仅是一种新的金融工具,它涉及到了金融体系的方方面面,是一项严谨而复杂的金融工程。

因此事先建立相应的制度安排,有效地解决好各种客观的条件约束就显得尤为重要。

何德旭(2000)研究了中国住房抵押贷款证券化的可行性,指出当时的中国推行住房抵押与证券化的基础还十分脆弱,基于当时的经济环境,虽然可以再中国局部地区进行试点,但更主要的的任务还是为住房抵押贷款证券化创造各种市场条件和制度条件。

广发银行资产证券化案例

广发银行资产证券化案例

广发银行资产证券化案例(中英文版)Case Study: Guangfa Bank Asset Securitization广发银行资产证券化案例研究Asset securitization is a financial instrument that allows banks to convert illiquid assets into liquid securities.Guangfa Bank, a leading commercial bank in China, has successfully implemented an asset securitization program, which has demonstrated significant benefits for the bank and its stakeholders.资产证券化是一种金融工具,它使得银行能够将非流动资产转化为流动的证券。

广发银行作为我国一家领先的商业银行,成功实施了一项资产证券化计划,这对其及其利益相关方带来了显著的好处。

The securitization process involved the bundling of various assets, such as loans and mortgages, into a single security.This security was then sold to investors, who received regular payments based on the cash flows from the underlying assets.By doing this, Guangfa Bank was able to free up capital that was tied up in these assets, and reinvest it in other areas of the bank.证券化过程包括将各种资产,如贷款和按揭贷款,捆绑成单一证券。

资产证券化的研究——一个文献综述

资产证券化的研究——一个文献综述

河北经贸大学硕士课程论文资产证券化的研究:一个文献综述**:***学院及专业:财税学院财政学课程名称:货币金融理论专题学号:****************:***二〇一五年六月二十四日摘要:随着金融技术的迅猛发展和全球经济一体化的到来,世界经济的白热化竞争和对金融创新的强烈需求,使得世界各国政府面临着前所未有的巨大压力,而同时也带来了空前的发展机遇和巨大挑战。

其中,作为金融创新领域的重要手段之一的资产证券化,受到世界各国的普遍关注,并成为当代国际金融、资本市场领域研究的重要问题。

资产证券化(Asset Securitization)是指针对流动性较差的资产,通过一定的结构设计、信用增级、信用评级等手段转换为可以自由买卖的证券的过程,使之具有流动性。

资产证券化作为近年来出现的金融创新思想和方法,为各国有效管理经济和金融风险,发挥金融市场投融资功能并促进经济稳定发展提供了新的思路。

资产证券化产品是成熟资本市场的重要品种,无论是从政府的管理视角和金融创新规律来看,还是从银行、企业和广大社会投资者的不断变化和增加的需求来看,资产证券化理论研究及其创新应用的构筑等都是十分必要的,同时也是金融管理现代化的必然选择。

关键词:资产证券化;次贷危机;资本市场;信用评级一、国外相关研究文献综述首先,美国对资产证券化的研究最早也最为全面,而且大量的研究依据实践经验的基础上而得以相互支持。

在2008年的次货危机以后,大量的研究更多的开始涌现。

其次,Theodor Baums, E. Wymeersch(1996)对欧洲各主要国家如奥地利、比利时、丹麦、芬兰、英法德、西班牙等国的资产支持证券化进行了深度的研究与论述,介绍了资产证券化的起源与发展、产品与市场等,认为资产证券化在欧盟各国起到了重要的作用,作者较全面的,并着重探讨了在资产证券化相关的法律和监管框架以及税务等方面的问题,指出立法在资产证券化中扮演了重要的角色。

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金融资产证券化外文文献Securitization of Financial assetsAsset-Backed Securitization (ABS) is a financial tool which allows financial institutions (usually commercial banks) to move unmarketable assets (e.g.lease assets mortgage assets or commercial papers) fromtheir balance sheets in exchange for a long term loan which can be ploughed back into more profitable investments. More precisely ,the financial assets are converted into bonds (so called notes ) and the proceeds of their market issuance become a long term loan for the assets owner (the originator ).We will look at the ABS operation mainly from the point of view of this financial institution.Our analysis will concentrate on the critical phase of the ABS operation avoiding to describe in detail the role of some of the participating operators, such as banks and insurance companies, which provide the credit protection (risk hedging) of the operation .It should be noted that the issue of credit protection is an interesting research topic in itself .However ,the corresponding features such as credit guarantees and cash flow riskiness are beyond the scope of this paper .In an ABS, the assets are sold by the originator to a special purpose vehicle (SPV), an institution created solely for thatpurpose .The SPV funds the purchase through issuing debt securities-the notes-which are collateralized by the assets. Note that the assetstransfer is a true sale. Thus , if the originator becomes insolvent oris involved in bankruptcythe transferred financial assets will not be part of the bankruptcy the transferred financial assets will not be part of the bankruptcy assets. This makes the notes an interesting investment opportunity .In apass through payment scheme the final investors who buy these notes receive periodic inflows (interests on their investments). These are directly related to the periodic installments paid by the holders of the assets (e.g. lessees or mortgage holders) to the originator (e.g. the lessor ). Using the ABS structure the originator bypasses the problem of an impossible outright sale of its assets and thus reduces its overall exposure to them. For instance ,lease or mortgage contracts which tie up the capital of leasing companies can be moved into notes. This replacement of illiquid assets improves the return on equity (ROE).From the point of view of the originator, an ABS allows the achievement of three mainFinancial objectives:1. Replacement of the assets in the balance sheet, thereby improvingROE and allowing ( if the originator is a bank) a more flexiblekeeping of the asset/liability composition constraints imposed by the control authorities (i.e. the Central Bank).2. Diversification of fund sources. Althrough the originator may below rated, its notes usually get a higher rating (e.g. AAA) due to thepresence of banks and insurance companies which guarantee the whole operation .This implies that such notes can be dealt on the main financial markets allowing the originator to reach markets which would otherwise be unaccessible for him since attended only by more established companies.3. Higher rated notes are more reliable investments and thus are allowed to pay lower interest rates to holders. If the cost to get a higher rating is lower than the saving obtained by issuing notes which higher rating, then the global cost to acquire funds decreases. Let us assume that an institution with a BB rating can get money at a rate such as Libor (London interbank offering rate) plus 150 basis points. Such an institution, as originator, may decide pay an additional 100 basis points to get credit warranties 1 and be able to issue notes with rating AAA at the cost of Libor plus 10 basis points. In this case an ABS will produce a saving on interest rates of 40 basis points. This situation applies in practice, since there is no efficient market for the underlying assets. The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the pulic institution in charge of the management of the social security system, i.e. theIstituto Nazionale della Previdenza Sociale (INPS).This operation has allowed INPS tomove delinquent contributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies.The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the public institution in charge of the management of the social security system, i.e. the Istituto Nazionale della Previdenza Sociale (INPS). This operation has allowed INPS to move delinquent con-tributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies.Many papers dealing with ABS from a modeling point of view have appeared in the last few years. Since an extensive review is beyond the scope of this paper we will only mention the papers by Kang and Zenios [6,7] and by Mansini and Speranza [12,13] and refer to the references given therein. For a better insight in the complex problem of securitization we suggest the textbooks [3,5,15].In particular, motivated by the analysis of a real-world case, Mansini in [11] and then Mansini and Speranza in [12] have studied the problem of optimally selecting the assets to refund theloan. In other case only lease assets are considered, although many other types of assets have the same basic characteristics. In their paper the outstanding principal of the assets is computed based on constant general installments (the so called French amortization). Theresulting problem of selecting assets at unique date can be modeled as ad-dimensional knapsack problem, which is hardly tractable by exact algorithms but is typically solved by constructive heuristics (seee.g.[1,16]) or metaheuristics (see e.g.[2,4]. The authors also show thatin the special case where all lease assets share the same financial characteristics (amortization rule, internal interest rate and term )all but one constraint turn out to be redundant and hence the model reduces to a classical 0-1 knapsack problem (KP), which is relativelyeasy to handle (cf.[8,9,14]). See [10] for a general introduction to knapsack problems. Their work does not take into account the occurrenceof a different rule for the asset amortization. In many practical applications (both for lease and mortgage contracts) the customers receiving the assets choose to pay back their debt by constant periodic principal installments (the rule is known as Italian amortization). Upto now this common rule has been totally ignored in models formalization.The objective of this paper is twofold .First of all we innovatewith respect to previous modeling approaches by introducing a general model to select financial assets at multiple dates. The motivation derives from the practical need of finding alternative and possibly more effective formulations for the problem of asset selectionin ABS to achieve a better utilization for the long term loan. Secondly, we analyze the frequently encountered practical case in which the assets (lease or mortgage contracts) are paid back by constant periodicprincipal installments ( Italian amortization rule). In this way thepaper aim to provide analysis of an alternative amortization rule available in practices as well as the development of better tools for the institutions responsible for the planning and management of ABS.Before defining the new model we should give a more detailed sketch of the ABS process. To help the reader in visualizing and better understanding the structure of an ABS process. The SPV issues notes on the financial market receiving funds from institutional investors who purchase the notes and hold them until maturity subject to the availability of acceptable short-term financing. The proceeds obtained by the notes’ issuance are used bythe SPV to make revolving purchases of the unrated assets from the originator. The latter receives a long term loan which is payable solely by assets. In particular, the originator has to select the assets to be handed over for the loan reimbursement. These assets are“converted into” the notes issued by the SPV.The assets which are included in an ABS process have to be selected in a way such that the sum of their outstanding principals never exceeds the outstanding principal of the received loan (from now on simply the main outstanding principal) at any point in time. Now in order to maximize the financial gain of the operation the critical problem for the originator consists of minimizing the gap between the main outstanding principal and the outstanding principal of the selected assets over all points in time. This gap constitutes a loss of profit due to missing more profitable investments with higher yields.Actually the area of the main outstanding principal covered by the sum of outstanding principals of the handed-over assets yields a return for the originator ( e.g. the lessor) depending on the difference between the percent interest rate per year that the originator got from its customers (e.g. the lessees) and the lower percent interest rate paid to the note holders. If the sum of the outstanding principals of the selected assets has a global reimbursement profile which decreases more rapidly than that of the main outstanding principal, then the originator gets funds from its customers in advance with respect to the deadline at which it should pay the capital installment to the SPV. Such funds have tobe reinvested in some predefined type of investments indicated inthe ABS agreement. These investments last for a brief period (from the date in which they are available to the following date of reimbursement for the main loan) and usually yield a very low interest rate. Given the rate B payed for the notes it frequently happens that B is close to zero and may also be negative involving a loss for the originator. This justifies the interest in minimizing the gap between the two profiles and stresses the importance of studying alternative shapes for the outstanding principals. Another important aspect in an ABS process is the risk of assets prepayment (cf.Schwartz and Torous [18]).A decline in interest rates may cause an earlier repayment of the outstanding principals of the assets and hence has a negative effect on the value ofthe objective function over time since the gap towards the main outstanding principal increases.For some types of assets such as auto loans or credit card receivables this prepayment is unusual. However, leasing-like assets do face the risk of interest-rate based prepayment. Since prepayment events are non-predictable they cannot be taken explicitly into account in a deterministic off-line optimization model. Implicitly, it is assumedthat all assets have the same probability of prepayment. In all cases where the risk of earlypaybacks is particularly high, a re-optimization of the whole ABS process at a later point in time is strongly recommended. Concerning the time line, in our case the assets are handed over by the originator and purchased by the SPV starting at a closing date (initial date for the loan) and on a Fixed basis thereafter during the so called revolving period.. Each date at which a purchase takes place is called settlement date. The assets handed over by the originator at the closing date and thereafter at the settlement dates are collectively referred to as the initial and subsequent portfolios, respectively. Issued notes yield an interest payable on periodic bases (usually quarterly) and are redeemed at different final maturity dates. For this reason, notes are divided into tranches characterized by different deadlines.The reimbursement to the holders of the principals of a tranche of notes corresponds to a reimbursement installment of the main outstanding principal. Hence, the outline of the outstanding principal of the loanhas as many installments (steps)as the number of notes with different maturity issued on the market.The main source of payment of interest and principal on notes are recoveries arising out of the assets. In particular, the cash-flow deriving from assets is used by the SPV to satisfy its obligations to the holders of notes. Naturally, the outstanding principal of an asset depends on the rule used for amortization.As mentioned above, two different rules mainly appear in practice,In the first rule, usually known as French amortization, the general periodic installment (sum of periodic interests and principal installment) is constant over time. In this case the customers who hold assets (mortgage or lease contracts) have to pay the same geometrically over time .In this case the customers who hold assets (mortgage or lease contracts) have to pay the same constant amount at each deadline. Since the principal installments increase geometrically over time (see figure 2(b) ), the outstanding principal can be approximated by a concavepiece-wise linear function.Source: D. Bertsimas and R. Demir. Securitization of Financial Assets: Approximation in Theory and Practice. Computational Optimization and Applications, 2008(29), P147-171。

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