【作者】 陈志宏；

【导师】 刘国成；

【作者基本信息】 东北林业大学 ， 林业经济管理， 2007， 博士

【摘要】 资产证券化是近三十年来，世界最有前景的金融创新，也是一项复杂的金融技术，是对证券化资产的风险与收益的时间和空间重组。也是一项对资产现金流的分配与管理技术。企业资产证券化的融资基础是被隔离的未来能产生稳定现金流的资产，其信用基础是企业部分资产的信用而不是整体信用；企业资产证券化融资既是对企业已有存量资产的优化配置，又是能在不增加企业负债或资产的前提下实现的融资。而且企业资产证券化特有的交易结构和技术实现了企业证券化资产与非证券化资产的破产隔离，使企业和投资者可以突破股权融资或债权融资所形成的直接投资与被投资关系，在更大的范围内满足融资和投资需求，实现资源的优化配置。因此，企业资产证券化在信用基础、融资成本、融资风险、融资效率、投资者收益来源、对企业的约束控制、适用条件等方面与传统的股权融资和债权融资存在明显区别，它已成为全球资本市场上第三种主流融资方式。论文的一、二章从梳理资产证券化国内国外研究成果入手，结合我国资产证券化的最新运行实践，阐述了论文的理论基础和现实意义，提出了在财务视角之下考量资产证券化的全新研究结构：财务问题核心的出发点就是资金的运动，所以本文着重从资金运动的角度和时间，空间的角度，沿着风险-定价-收益-资本结构和我国实践的研究脉络，并结合现代经济学和金融学的模型和工具进行财务分析。本文的第三章，从资产证券化的参与者与交易流程两方面着手。分析风险的产生的原因与风险的本质。再此基础上提出了风险的避险措施，最后创新性的提出VaR法就是控制和计算资产池资产风险的方法之一。同时风险的计量和控制也为下面资产证券化定价和收益分析奠定了基础。第四章归纳了金融产品定价的一般前提，从影响资产证券化定价的因素分析入手，进一步分析了资产证券化早偿问题，归纳整理了国外几种流行的早偿风险计量模型，在此基础上给出了资产证券化定价的几种常用的模型。并且对这些模型进行了逐一的分析和评价。在综合考虑了风险和定价的前提下，本文的第五章自然就可以给出了资产证券化的收益。本文运用了定量和定性两种方法考虑了资产证券化的收益问题。在定性方面，指出了资产证券化收益的构成和及其形成的原因。在定量分析重点给出了资产证券化主要参与主体收益的现金流。并且在数量上得到了实行资产证券化的必要条件。资产证券化终极意义其实就是在对于资本结构的正效应。只有对资本结构的改善，才能真正体现资产证券化的效率。本文第六章从对定量定性的两方面分析了资产证券化对资本结构的影响。首先是指出了在MM定理的范式下，观察资产证券化对资本结构的影响。接着从资产证券化对几个财务指标和企业现金流的影响角度，指出了资产证券化对资本结构优化原因是降低了交易成本，优化了资本结构。本文的七、八两章为实务篇。创新性提出资产证券化运用到林业的可行性和必要性。界定了林业资产证券化的资产主体必须为商品林，并且设计出来了林业资产证券化模式与流程。结合我国的国情特点提出了成立林业产业投资基金做为商品林资产证券化SPV的建议。第八章以国家开发银行“开元”资产支持证券为例，进行了资产证券化实证分析。创新性的运用了博弈论的方法建立起发起人和机构投资者混合策略的纳什均衡模型，对资产池资产的选择问题进行了研究。为国家开发银行的资产证券化实践工作提供了理论上的参考，并且对我国资产证券化的开展提出了自己的建议。更多还原

【Abstract】 Asset securitization is the most prospective financial reform in the world in recent 30 years. It is also a kind of complex financial means. It is the reorganizing of the securitized asset and risk through time and space and also the rationalization and management technology on cash flow. Enterprises finance basic of asset securitization is an isolated asset in prospect of producing stable cash flow, which credit is based on the enterprises’ partial asset rather than the total asset. Asset securitization financing not only rationalizes the existing asset of the enterprises, but also assist to fulfill financing objectives without increasing the enterprises’ asset liability. Meanwhile, its unique trade structure and skills help to realize bankrupt isolation between enterprises and investors. This situation enables enterprises and investors to break through the direct and indirect investment relationship, formed by equity financing and debt financing, therefore meets the needs of financing and investing to a greater degree so as to rationalize financial resources. Consequently, Asset securitization differs from traditional equity financing and debt financing from the following aspects: credit basis, financing cost, financing risk, financing efficiency, investor’s profit sources, restraint and control of the enterprises, and adaptable conditions. It has become the third mainstream financing means in global capital market.The first two chapters of the thesis start from sifting out researches on asset securitization at home and abroad, considering the latest adaptation of asset securitization of our country, elaborate the theoretical basis and reality significance of the author, and propose a brand new research structure on optimizing capital structure from the financial point of view. Since the essential starting point of financial affairs is capital flow, the author stresses on capital flow and time and space, researches in the order of risk-price-income-capital structure and prictice in China, at the same time combines the models and tools of modern economics and finance.The third chapter of the thesis firstly discusses participants and trade flow of asset securitization. It then analyzes the causes and nature of risk. After that it raises anti-risk methods. Finally it brings forth a new idea of VaR method, which is the method of controlling and calculating asset pool asset risk. Measuring and controlling risk is the prerequisite of pricing and profit analysis.The fourth chapter of the author summaries the general financial product pricing prerequisite and starts from analyzing elements that influence asset securitization pricing, followed by further analysis of early reimbursement of asset securitization. It then provides several common models of asset securitization pricing, and analyzes and comments on each individual model. Asset securitization profit is based on the comprchensive consideration of risk and pricing in chapter five. The author studies asset securitization profit using quantitative and qualitative analysis. The author figures out the constitution of asset securitization income and the forming reason with qualitative analysis, and the main part participating cash flow with quantitative analysis, getting the essencial condition of asset securitization at the same time.The ultimate significance of asset securitization lies in positive influence of capital structure. The optimizing of capital structure is the most important goal of asset securitization and it is also an effective way of demonstrating the efficiency of asset securitization. First observating the asset securitization influnce to capitial structure under the MM theory, then analyzes the effects of asset securitization on capital structure optimizing from both quantitative and qualitative points of view in chapter six.Chapter seven and chapter eight are regarding application. It brings forth a new idea of the possibility and significance of applying asset securitization to forest industry and delimitates the commcial forest as the main part of the forestry assest securitization. It also designs a model and flowchart for forest industrial asset securitization. Combinning China’s condition, the author gives a suggestion that set up forestry industrial fund as SPV of forestry asset securitization. Finally it takes an example of the fact that the country operates the policy to encourage banks to support securities to make a case study of asset securitization in chapter eight. The author takes a new method to use Game Theory to research the choices of asset pool asset, providing the theoridical reference for National Development Bank, and puts forward his proposal for China’s asset securitization.更多还原