【作者】 戴菊贵；

【导师】 熊大信；

【作者基本信息】 江西财经大学 ， 金融学， 2004， 硕士

【摘要】 由于分业经营、金融管制及金融风险增加等原因的影响，美国在20世纪60年代末产生了资产证券化。作为金融领域最重大和发展最快的金融创新和金融工具，资产证券化改变了传统金融的运作模式。资产证券化的本质是将缺乏流动性但能够产生可预见的稳定的现金流量的资产，通过一定的结构安排，转换成为在金融市场上可以出售和流通的证券的过程。作为一种新兴的融资方式，它具有结构化、表外化、收入导向化及低成本的特点。资产证券化不仅提高了资产的流动性、增强了企业的资产负债管理能力，而且完善了资本市场结构、促进了金融体系的分工、提高了金融市场的运作效率。但是，由于“系统缺口与学习阶段假说”和“灾难性近视假说”问题的存在，资产证券化也导致了金融系统风险的增加。 本文通过分析认为，我国发展资产证券化存在必要性和可行性，而且对资产支撑证券化也存在供给和要求，同时承认存在一些制度障碍。必要性在于：(1)有利于推动国有企业的发展：(2)有利于改善我国金融机构的经营管理：(3)有利于加快资本市场的成长和完善；(4)有利于扩大需求，促进经济增长：(5)有利于调整经济结构，促进产业升级。可行性在于：(1)实施资产证券化的宏观和微观基础已经建立：(2)已经具备实施资产证券化的资金来源；(3)具备了较成熟的机构和个人投资者群体；(4)中介机构日益完善，可为资产证券化提供服务；(5)我国已有成功案例的雏形。本文认为，当前我国住房抵押贷款及基础设施项目贷款具有相当规模，且现金收入流量也较稳定，符合证券化的要求，可以为市场提供资产支撑证券。而我国目前的投资基金具有相当规模，个人储蓄存款余额也十分巨大，对MBS存在巨大需求。另一方面，商业银行、保险公司、社保基金在保值增值的压力下，也在积极寻找新的投资渠道。随着商业银行、保险基金、社保基金直接入市步骤的加快，机构投资者将成为我国资产支撑证券的主要需求者。同时，针对我国当前资产证券化过程中在特设目的载体的设立、真实出售的确认、信用担保的实现、会计和税收的处理及市场环境方面存在的制度障碍，作者提出了改革思路和建议。作者认为应当在完善我国的法律法规体系、规范中介机构行为、扩大机构投资者的投资范围等方面做出努力。 本文认为：(1)银行不良资产信用度差，无法产生可预测的稳定现金流；(2)我国当前缺乏大规模应收账款的公司；(3)基础设施贷款证券化的国际成功经验不多，因此它们都不宜作为我国资产证券化的切入点。相反，而我国的住房抵押贷款不仅符合资产证券化所要求的条件，而且发展住房抵押贷款证券化能为住房产业的发展筹集资金来源，从而促进我国的经济增长，因此，应当选择住房抵押款作为我国资产证券化的切入点。本文同时对世界主要国家和地区住房抵押贷款证券化的运作进行了比较分析，总结了这些国家住房抵押贷款证券化的经验和对我国的借鉴意义。 本文对我国住房抵押贷款证券化的运作方案进行了初步设计，在特设目的载体设立、资产池管理、信用增级实现方式、产品品种结构及地域选择方面提出了构想。文章分析了住房抵押贷款中的提前支付行为及其对现金流量的影响.最后，本文运用蒙特卡罗模拟模型和利率二叉树模型对我国住房抵押债券的定价进行了理论上的探讨.更多还原

【Abstract】 Because of the impact of unit-banking system, financial regulation,, financial risk and so on, the asset securitization emerged in late 1960’s in America. As the most important financial innovation and fastest development financial instrument in the financial domain, asset securitization changes the traditionally finance operational model. The essence of assets securitization is, by some structrual arrangement, turn the properties which are scare liquidity but can produce predictable and stable cash flow to the securities which are able to be sold and circulate in the capital market. Being a new financing style, it’s characteristics are structured , off-balanced, income conducted and low cost. Asset securitization can raise the liquidity of property,, strOngthen the business’s management ability of accounting, perfect the structure of capital market, improve the operational efficiency of financial market , promote the division of labour of financial system. But, because of the problems of "study phrase hypothesis" and "disaster short-sight hypothesis", asset securitization also adds the risks of financial system.Through careful analysis, the author think it is necessary and possible to carry out asset securitization in china. There are also supply and demand to the asset-baceked securities in china. At present, the scale of housing mortgage loans and infrastructure item loans are considerable. Their cash flows are also comparatively stable. They are suit to be securitized, so they can supply the asset-backed securities to the investor. On the other hand, the investment fund grows rapidly and the personal savings are also very large, so the demand to ABS is very large. Moreover, under the pressure of keeping and raising value, the commercial bank, insurance company , social insurance fund are postively finding new investable chances. With the pace of direct-to-stock market being more quick, the agency investors are to be main demander of ABS. The reasons of necessity to carry out asset securitization include: one, be advantageous to push the development of state-owned enterprises; two, be advantageous to improve the management of financial department; three, be advantageous to speed up the growth and perfection of capital market; four, be advantageous to enlarge the demand and stimulate the growth of economics; five, be advantageous to adjust the structure of economics and promote the upgrade of industry. The possibility to carry out asset securitization includes: one, macroeconomical and microeconomical bases have been established; two, the fund source has been provided; three, there are comparatively mature agency and3individual investors; four, the medium agencies are more and more perfect and can supply service for asset securitization; five, there is miniature of successful case. At the same time, the author analyze the institutional obstacles in the process of asset securitization, for example, the set-up of special purpose vehicle, the confirmation of true sale, the execution of credit mortgage, the rule of accountant and tax, the environment of market and so on. Also, the author raise his suggestions to those obstacles.In the third part of the thesis, the author point out we should choose the housing mortgage as the breakthrough point in our country. Why? The author consider: the credit of bank’s non-performing loans are very bad, they can’t produce predictable and stable cash flows; the scale of bussiness’s accounts receivable is not very large; the successful experience of infrastructure item loan securitization is rare. On the contrary, the housing mortgage is in line with the character of securitized asset. The housing mortgage loan securitization can not only collect fund for the realestate industry but also promote the economical growth of our country. At end of this part, The author compare the housing mortgage securitization in America Australia Canada and HongKong, sum up their experiences and the enlightenment to us.At last, the author work out a plan which be composed of the setting-up更多还原