商业银行的不良资产证券化处置研究

【作者】 彭丹；

【导师】 王道平；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2002， 硕士

【摘要】 商业银行风险是指商业银行在经营中由于各种不确定因素的存在而招致经济损失的可能性。商业银行风险管理是商业银行通过风险识别、风险估计、风险处理等方法，预防、回避、分散或转移经营中的风险，从而减少或避免经济损失，保证经营资金安全的行为。我国商业银行的风险类型与西方商业银行的风险类型基本相同，从风险因素角度，划分为信用风险、市场风险、流动性风险、操作风险、政策性风险和金融诈骗风险等基本风险。但是，我国商业银行风险与西方同业银行风险相比较，在内涵上存在较大差异。这种差异，突出地表现在我国商业银行面临的最主要风险--信贷风险方面。目前，我国商业银行的信贷资产的特点是：不良资产存量大，尤其是缺乏制约新增贷款成为不良贷款的机制，不良资产尚未得到有效的控制。随着中国加入WTO，银行业面临着前所未有的冲击。要应对资产优良的外资银行的挑战，必须加快不良贷款的处置，盘活银行信贷资产。同时，应建立起有效制约新增贷款成为不良贷款的机制。本文针对湘蓉行的不良资产处置，提出了将湘蓉行不良资产证券化的两种股权方案与一种债权方案。所谓证券化是指以缺乏流动性但具有稳定的现金流的资产作抵押，发行可以在金融市场上出售和流通的证券，据以融通资金的工程。从国际经验来看，可以证券化的资产是那些具有稳定的现金流的资产。我们现在研究进行证券化的资产是资产管理公司从商业银行接受的不良贷款，因此，证券化的具体操作就有必要对国际标准化的运作流程进行修正。本文针对我国商业银行缺乏制约新增贷款成为不良贷款的机制的问题，以湘蓉行为例，提出一种能充分挖掘指标系统内部信息，进行综合科学评估的新方法-多指标优选Fuzzy聚类分析法，从而可克服传统分析方法处理信息片面，划分待评系统内部诸多模糊复杂因素不合理等缺陷，使湘蓉行在对贷款企业进行评估决策时，科学地对企业的竞争力进行评估，更加有效地防止不良贷款的产生。更多还原

【Abstract】 The possibility of loss caused by variant uncertainty in the commercial bank business is called commercial bank risk. Risk Management of commercial bank is to defend, shun, scatter or transfer the risk in the business process through such behaviors like risk recognizing, risk evaluation, risk dealt etc. in which way to reduce or shun the economic loss and protect the security of the business capital.The type of commercial bank risk in our nation is almost the same with that of the western commercial bank, and can be divided into credit risk, market risk, liquidity risk, operation risk, policy risk and financial grifting risk and so on based on risk factor. However, the connotation of the commercial bank risk of our country is quite different from that of the western commercial bank. What’s more the difference is strongly expressed when the main commercial bank risk in our country is the credit risk. The specialties of the credit capital of our country are the large volume of the bad assets, especially lacking of the mechanism to prevent the new credit asset becoming bad asset, which means cannot control the bad asset efficiently. Alone with China’s entering WTO, the commercial bank have to face never expected strike. So, in order to deal with the challenge from foreign banks, our country’s commercial bank must pace up the disposition of the bad assets, and activate the credit asset in the same time build up the mechanism to prevent the new credit capital becoming bad asset.This article aiming at the disposition of bad asset of the XIANGRONG bank bring forward 2 way of stock rights strategy and 1 way of credit rights to securitirize the bad asset of XIANGRONG bank. Securitirization is a project to issue securities that could circulate in the financial market using the asset lacking of liquidity but has stable cash flow as guarantee. Base on the international experience, the asset could be securitirized is those have stable cash flow. What we study now is the bad credit got from the commercial bank in the asset management corporation, so we have to modify the international standard process of Securitirization. Concretely, it is to develop the pure bond issuing to issuing bond and stock at the same time during the Securitirization process, and improve the credit level of the asset that has unstable cash flow to a larger area.At the other hand, since our commercial bank lack of the mechanism to prevent the new credit becoming bad asset, this article, using XIANGRONG bank as an example, providing a new method which can full mining the inter information of the target system and to execute integrate scientific evaluation. It can overcome the shortcoming s of the traditional analytical methods like analyzing information unilaterally, set off the evaluation system illogically. So, it can help the XIANGRONG bank when making evaluation decisions to evaluate the competitive ability of enterprise scientifically, which can efficiently avoid the happen of bad credit.更多还原