基础资产选择对于商业银行资产证 券化成本收益影响的研究-金融学专业论文.docxVIP

PAGE PAGE III 摘 要 资产证券化又叫资产支持证券，统称 ABS（Asset Backed Securities），泛指 将缺乏流动性的资产包装使其成为具有流动性的证券进行出售的行为。 对于商业银行来说，在每一笔资产证券化业务中，根据选取的基础资产情况 不同其具体的产品结构设计也会有所差别，进而证券化后产品为商业银行所带来 的成本收益也会有所不同。因此，如何恰当选取或者搭配基础资产就成为了整个 业务中关键的一环。我们所要研究的就是在一定的结构设计之下，如何选取或者 搭配基础资产会实现资产证券化业务的成本收益衡量最优化。 在我们的研究中，首先进行了一系列基础性工作。我们对于基础资产选择对 资产支持证券的结构影响进行了分析，并且引用了实践中的例子加以论证；其次 引用美国资产证券化的基础资产数据，考察其基础资产的分类情况，从而对于我 们接下来制定基础资产的考量标准提供借鉴；第三，我们通过阅读国内产品的产 品说明书以及结合上述分析，划定我们对于基础资产的分类标准，按照基础资产 的质量即评级指标对国内产品的基础资产情况以及对应的产品结构进行总结，得 出较为普遍的规律。 在以上工作做好之后，我们选取了某银行就一笔基础资产所进行的资产证券 化业务，通过量化分析系统对这笔业务带给商业银行的成本、收益、风险等情况 进行了计算，得出初步的结果。在得到初步结果之后，我们进而对其面对的不同 外部状况进行了情景分析，得到了该笔业务基础资产选择的不足。最后，我们通 过对于不同评级基础资产的选择安排相应的结构，进而重新考量对应的成本收 益，选取通用的指标衡量，最终得到最优的基础资产选择结果，实现对基础资产 选择的优化。 关键词：资产证券化 基础资产 成本收益 Abstract Asset securitization is also called asset-backed securities, which is short for ABS. Collectively; it means the process of packing the asset which lack of liquidity into the securities which is of liquidity. For commercial banks, different arrangement of the underlying asset means the different structures of the ABS, and the different structure of the ABS means the different profitability. So, the choice and the arrangement of the underlying asset is the key of the whole business of ABS. What we are looking for is the best choice and arrangement for the underlying asset to maximize the benefit of the ABS. We first made some basic work. The first, we use the analysis and the examples to discuss the impact of the choice or the arrangement of the underlying asset to the structure of ABS. The second, we refer to the data of the ABS in the USA to analyze the circumstance of its underlying asset, to support the later discussion. The third, we read all the instructions of the ABS of China, and refer to the former analysis, and then we concluded the standard of classifying the underlying asset, to classify them by the credit rating. At last, we concluded the underlying asset of the ABS in China and its structure, and we get the general rule be