文档介绍：万方数据
基于CreditMetrics模型的中国信贷资产证券化信用风险研究

摘要

随着中国利率市场化的步步推进,传统的银行信贷业务正受到越来
越大的冲击。如何转型寻找新的利润增长点,这是近年来许多银行管理
层都在思考的问题,而信贷资产证券化,从长期而言,定是这其中不可
或缺的业务之一。
正是在此背景下,2012年央行、银监会和财政部联合发布了《关于
进一步扩大信贷资产证券化试点有关事项的通知》,正式重启信贷资产
证券化业务。信贷资产证券化的重启,对于商业银行和金融市场而言,
在提供了新的业务品种和投资产品的同时,也提出了新的问题:未来如
何为银行信贷资产证券化产品定价,如何评估其信用风险等等,这些都
会成为市场和社会公众所关注的问题,因此研究中国信贷资产证券化的
信用风险问题具有相当大的现实意义。
本论文将中国与西方成熟市场的信贷资产证券化产品进行比较,对
中国信贷资产证券化的特点进行详尽地分析,在此基础上,本文进一步
讨论了CreditMetrics模型和KMV模型在中国资产证券化产品风险评估中
的适用性,并根据中国金融市场的特点对模型进行了微调,最后论文将
微调后的模型套用到案例中进行可行性的验证。本文对信贷资产证券化
在中国市场环境中的风险评估和管理有一定参考价值。

关键词:中国信贷资产证券化;信用风险评估;CreditMetrics模型

万方数据
CREDIT RISK RESEARCH OF
CREDIT ASSETS SECUTIZATION IN CHINA
BASED ON CREDITMETRICS MODEL

ABSTRACT

With the proceeding of market-based reform of interest rates in China,
the banks' traditional credit lines are facing more impact. How to transform to
find a new growth area, is a key point that is wildly concerned by many
bank's managements, however, credit assets securitization, in long-term, will
surely play an important parts in this issue.
Under this situation, PBC, CBRC and the Ministry of Finance jointly
issued The Notice on Further Expanding the Credit Assets Securitization
related Matters, and restarted credit assets securitization in 2012. Beside a
new kind of business and investment product, the restart carried out a series
of questions such as how would the credit assets securitization product be
priced and how to evaluate the risk of it, which will attract the close attention
of the market and the public. So credit risk research of credit assets
securitization in China will have a great practical significance.
This pares credit assets securitization in China and western
mature markets, and emphasizes the characteristics on China credit assets
securitization, on this base, the thesis further discusses the applicability of
CreditMetrics Model and KMV Model