对外经济贸易大学
硕士学位论文
中国商业银行不良资产证券化可行性分析
姓名:阳朵
申请学位级别:硕士
专业:金融学
指导教师:李青
20040501
中文提要
我国银行大量的不良资产已对我国的金融安全构成了严重的威胁制约了我国经济
快速健康的发展我国不良资产的产生有体制上和技术上原因如何有效的解决这一难
题已经成为关系我国金融体制发展和经济改革的重要议题资产证券化作为一种在国外
有着多年的成功经验的金融创新工具在转移风险提高流动性和信用创造上都有着显
著的优势但它的实施需要一定的经济环境和制度支持我国能否在现阶段利用这种工
具化解不良资产是一个倍受争议的焦点
本文通过对我国不良资产的特殊性的分析根据资产证券化的三个基本原理资产
重组原理风险隔离原理和信用增级原理对利用资产证券化来化解我国不良资产进
行了可行性分析将重点放在对资产重组原理涉及的技术问题分析上这里的技术问题
主要包括了不良资产证券化的条件分析和证券化过程中不良资产的确定问题在不良资
产的选择分析中主要利用了我国商业银行的历史资料和相关的数据模型阐明了不良
资产选择和确定的可行方式然后对我国目前有利的外部经济条件和国际上的成功经验
做了系统分析突出了我国实行不良资产证券化的有利条件最后对风险隔离原理和信
用增级原理所涉及的真实销售的设立和信用增级难点问题做了制度上的和环境上
的分析并提出了相应的解决对策从而论证了我国实施不良资产证券化的可行性并
对我国不良资产证券化的实施有一定的参考价值
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Abstract
The large amount of non-performing assets existing mercial banks has e one
of the largest obstacles to China’s financial reform. Non-performing assets have negative
impacts on the development of China’s economy as well as the security of its financial system.
Asset securitization, as one of the effective financial tools in dealing with the non-performing
assets, has attracted more and more attention from the government mercial banks. But
its application to non-performing assets requires an advanced economic situation and market
system. Whether it is applicable to China or not is a controversial focus in the academic circle.
According to the basic principle of asset securitization and based on the historical data of
mercial banks, this paper attempts to prove the feasibility of this measure from
capital anization, risk segregation and credit enhancement respectively. Focus on the
selection technology, this paper employs the mathematical method to analyze the feasibility of
the process in selecting the suitable non-performing assets for securitization. And then the
positive aspect of the current economic environment and essful experiences are given a
detailed treatment, which intends to further strengthen the standpoint of this paper. The whole
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