银行信贷资产证券化的信用风险分析

摘    要
银行信贷资产证券化是自上世纪七十年代以来金融领域中最重要的金融创新工具之一。它通过将金融机构持有的缺乏流动性，但能够产生稳定现金流的资产转换成可以流动的证券，来增加金融机构资产的流动性，提供新的融资渠道。我国真正意义上的银行信贷资产证券化是2005年底由国家开发银行和中国建设银行股份公司发行的个人住房抵押贷款支持证券。尽管这两支证券化的试点在市场高涨的呼声中脱颖而出，但是其表现并没有达到市场预期的程度。其主要原因之一是资产证券化的风险分析机制不完善，从而导致市场上的定价机制以及预期难以形成。因此本文主要针对银行信贷资产证券化中的信用风险进行分析。
本文认为，银行信贷资产证券化中的信用风险主要包括资产的信用风险和参与人的信用风险。资产的信用风险是整个资产证券化中信用风险的根源。对资产池的信用风险的分析主要采用改进的KMV模型来衡量资产池的违约概率。参与人的信用风险是资产证券化中由于人的因素而产生的风险。在对参与人信用风险分析中，本文以契约关系为载体，通过分析契约关系来分析参与人信用风险的传递。在此基础上，本文深入探讨了在资产和契约关系相互作用下的资产证券化的整体信用风险。
本文除摘要外共分六部分，主要结构安排如下。第一部分导论。介绍了论文的背景并且提出了问题。在此基础上对相关文献进行了回顾，并做分析性评论。第二部分对银行信贷资产证券化中的信用风险的承担者进行了分类。提出了信用风险的承担者主要有投资者、SPV和发起人银行的观点，并且根据证券类型分析了其承担的风险大小。第三部分主要针对银行信贷资产证券化中资产的信用风险进行论述。运用KMV模型的核心思想并对KMV模型进行了改进，使其适合于资产证券化中的资产池信用风险评估。第四部分主要分析了银行信贷资产证券化中的参与人信用风险。以信用风险的可传递性为依据，以参与人的契约关系为载体，从信息不对称、契约不完全等角度对参与人的信用风险进行剖析。第五部分综合第三部分与第四部分的分析，对资产证券化中的总体信用风险进行了论述。第六部分提出了信用风险的防范措施。

关键词：资产证券化；信用风险SPV KMV；模型契约关系
 
 
Abstract
Asset securitization has been one of the most important financial innovation since 1970s'.the unique mechanism of asset securitization can put the financial organization hold asset, which is lack of liquidity but can produce steady cash flows, into security.
Through this way, the financial organization can enhance its asset liquidity and find a new source of finance channel. The true asset securitization in China is publicly offered by China Development Bank and China Construction Bank in 2005. Although these two trials were highly expected by the whole market, they did not perform well enough. One of the most important reasons is that the risk analysis system has not been established and as a result the pricing system and the steady expectation can not be built. So this paper mainly focuses on the analysis of credit risk which is one of the most important kinds of risk in asset securitization.
    This paper thinks there are tow kinds of credit risk in the banks' asset securitization one is the asset's credit risk and the other is the participants' credit risk. The asset's credit risk is the root of the credit risk of the whole securitization, and when the asset pool's cash flows can not afford to pay for the principle and interests of the security, credit risk occurs. The participants' credit risk is the risk caused by the participants. When analyzing the participants' credit risk, this paper bases the analysis on the contractual relationship. And this paper thinks the credit risk can be transferred through the participants the contractual relationship. After analyzing these two kinds of credit risk, this paper discusses the synthetic credit risk by analyzing the mutual effect of the asset credit risk and the participants' credit risk.
Besides the preface, this paper is divided into sixth parts. The arrangements of this paper are as follows. The first part is introduction. It introduces the background of the thesis, and advances the problem which is to be settled. And then reviews the researches made by the ancestors, and made some analytic comments. In the second part, this paper classifies the undertakers of the credit risk in the bank's asset securitization. It advances the point of view that there are three kinds of credit risk undertakers in the bank's asset securitization. They are the bank which acts as the initiator, the SPV and the investors. Further more, it analyzes the undertaker's amount of the credit risk according to the type of securitization. In the third part, it analyzes the asset's credit risk in the bank's asset securitization. It utilizes the core thinking of the KMV credit risk model, and improves it so as to make the model be suitable for the evaluation of the credit risk of the asset pool. In the forth part, it analyzes the participants' credit risk. The process of the analysis bases on the theory that the credit risk is transferable. It then analyzes the participants' credit risk by explaining the contractual relationship, under the angle of asymmetric information and incomplete contract. The fifth part integrated the analysis of part three and part four, and discusses the whole credit risk of the bank's asset securitization. The sixth part is the last part of the paper and it raises some measures to avoid the credit risk.

Key Words: Asset securitization; Credit risk; SPV; KMV model
          Contractual relationship

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