资产证券化的金融风险管理研究

【作者】 谭政勋；

【导师】 胡宗义；

【作者基本信息】 湖南大学 ， 数量经济学， 2002， 硕士

【摘要】 本文从资产证券化的基本原理入手，对资产证券化的利率风险度量技术和信用风险度量技术进行了深入的分析，最后讨论了资产证券化的风险管理策略及其绩效评估。 第一章介绍了资产证券化的原理、运作、特征及其在国外的发展进程，并从发展的眼观探讨了我国发展资产证券化的必要性、可行性、风险性以及资产证券化与其它金融产品相比较的竞争力。 第二章对金融风险管理的一般过程与利率风险度量方法作简要介绍后，深入分析了计量资产／抵押支持证券利率敏感性指标的新方法——期权调整利差法。其中，零息票收益曲线的构造和利率期限因素模型的定义是期权调整利差法的基础；选择适合资产／抵押支持证券的利率情景模拟技术和估价技术是其关键。 第三章介绍了资产证券化的信用风险评估技术。包括Zeta法、资信评估模型、分类和回归树、CSPP开发的信用风险附加模型；动态评估资产证券化的信用风险技术——信用风险计量法。 第四章是对前文内容的必要深入：针对风险的性质和大小选择相应的风险管理策略，并对其管理绩效进行评估。更多还原

【Abstract】 Starting with the basic principle of Asset-backed Securitization, this paper analyzes thoroughly the interest rate risk & credit risk measurement method of ABS, and ends in discussing the risk management strategy and its achievement evaluation.Chapter One introduces the principle, operation, features and development of ABS, and then explores the necessities, feasibilities and risk of putting ABS into effect in China from a perspective. Finally the thesis analyzes its competition compared with other financial instruments.Chapter Two firstly presents the general process of financial risk management and interest risk measurement methodology simply. To follow, it deeply analyzes the new methodology calculating effective duration and convexity of ABS/MBS, which is Option-adjusted Spread(OAS). It is the basis of OAS to construct zero coupon yield curve and define interest rate term factors model. The key of OAS is to select a kind of interest rate scenario simulation and evaluation methodology fitting ABS/MBS.Chapter Three is about credit risk measurement methodology such as Zeta model, Credit scoring- model, Classification & regression tree, CSFP model and Credit metrics ,the latest of which can measure the credit risk of ABS/MBS dynamically.Chapter Four is the necessary extension of the content above. It is indispensable to select risk management strategies according to the nature and exposure of risk and evaluate the management achievement.更多还原