文档介绍：华中科技大学
硕士学位论文
我国商业银行不良资产证券化模式研究
姓名:黄先波
申请学位级别:硕士
专业:西方经济学
指导教师:张玉英
20060418
华中科技大学硕士学位论文
摘要
资产证券化是二十世纪国际金融领域中最重要的一项金融创新。它是指将缺乏流
动性,但能够产生可预见的稳定现金流的资产通过一定的结构安排,对风险与收益要
素进行分离与重组,进而转化成在金融市场上可以出售和流通的证券的过程。
我国国有商业银行的巨额不良资产对我国金融体系的稳定产生了很大的影响。不
良资产证券化有利于增强银行资产的流动性,促进银行业的稳健经营,对于化解金融
风险,使国民经济持续、健康的发展具有重要的意义。不良资产证券化中的证券设计
包括对资产池的设计和对证券结构的设计是我国不良资产证券化过程中的关键技术
难点。本文针对该问题,提出了适合我国商业银行实际情况的不良资产评价体系和资
产池组建方法,即以现金回收能力为评估不良资产的评级标准,将不良资产证券化的
资产池设计为以不良资产为主,辅以部分优质资产的结构。在此基础上运用现代资产
组合理论对资产池进行风险度量,为后文定价模型提供分析基础。本文选择以静态现
金流折现法为证券定价模型,该模型的关键是求出每期的现金流量和证券的风险收益
率。未来每期的现金流量可以根据资金偿还日期及还款方式很容易计算出来;运用资
本资产定价理论分析市场上与拟发行证券相类似的证券数据,可以计算出不良
资产支持债券的风险收益率,从而最终确定证券的内在价值。

关键词:不良资产证券化证券设计资产池设计静态现金流折现法
风险收益率
I
华中科技大学硕士学位论文
Abstract
The asset securitization is one of the most important finance innovations in the
international finance in 20th century. That means the assets, which are in lack of liquidity but
can produce stable cash flow, are restructured by separating and anizing the risks and
e, and then convert them to a new portfolio that can be sold on the financial market.
The huge sum of non-performing asset of state-mercial bank has impacted
the stabilization of financial system greatly in China. Non-performing asset securitization is
propitious to improve the liquidity of the asset mercial banks, and promote the steady
management of the banks, and further reduce the financial risk, and it is also has great
significance for the healthy development of national economy. The security design of
non-performing assets, which including the design of the asset pool and the security
structure, is the key to the process of securitization. Given these problems, this paper builds
up an evaluating system concerning non-performing assets and a new technique for
organizing the asset pool. That is, anizing the asset-pool, non-performing assets are
chosen as the main body of it and some high quality assets as supplement, using the r