【作者】 杨柏松；

【导师】 王文举；

【作者基本信息】 首都经济贸易大学 ， 数量经济学， 2010， 硕士

【摘要】 始于2007年的金融危机袭击了全球的金融市场,并使得世界经济持续衰退到现在,各国政府纷纷出台救市计划,刺激经济增长。此次金融危机的罪魁就是上世纪70年代金融创新的产物——次级抵押贷款证券化产品,评级机构在其间起到了推波助澜的作用。我国的金融市场正处于蓬勃发展的阶段,资产证券化在我国还是一个年轻的产物,作为重要的融资工具有着广阔的发展前景。金融危机的爆发告诫我们：对资产证券化风险的研究和控制尤为重要。本文对资产证券化过程中部分风险的控制方法以及定价方式进行了研究,具有重大的现实意义,并对实践操作有一定的指导作用。本文共分为五个部分：第一部分为引言,主要介绍了本文的研究背景、国内外文献以及篇章结构。第二部分介绍了资产证券化的相关理论。第三部分是资产证券化的风险博弈分析,首先介绍了次贷相关产品的形成机制,分析了资产证券化运行风险；其次运用委托代理模型分析了提高基础资产质量的方法；最后运用机制设计理论分析了第三方风险。第四部分为资产证券化的定价研究。第五部分为结论和进一步研究方向。本文的创新之处共有三个方面：第一,根据委托——代理原理对基础资产的质量进行了风险博弈分析,在资产出售人和证券化产品的投资人之间构建了有关基础资产质量风险的委托代理模型；第二,借助了博弈论和显示原理的思想设计了第三方约束机制模型；第三,使用收益资本化的原理,利用计量经济学和应用随机过程中转移矩阵的方法,综合了现行信托基金的分层模式,针对中期信贷资产证券化产品,从理论上提出了带有更少且宽松的前提假定的定价模型。更多还原

【Abstract】 The financial crisis started in 2007 to combat the global financial markets, and makes the world economy continues to decline up to now. Governments have introduced a rescue package to stimulate economic growth. The product of financial innovation-subprime mortgage loan securitization appeared in the 70 years last century is the chief culprit of the financial crisis. The rating agencies played fueled role in the meantime. The financial markets of our county are in a stage of vigorous development, asset securitization in China is still a young product, as an important financing tool which has broad prospects for development. The outbreak of this crisis warned us:the research and control of asset securitization’s risk is particularly important. The research of the risk control methods and pricing is of great practical significance, and will provide a guiding role to practical operation.This paper has five parts:the first part is an introduction the background to the study of this article with the domestic and international literature review. The second part describes the relevant theory of asset securitization. Part III is risk analysis in the process of asset securitization. My article focuses on the sub-prime related products, the formation mechanisms and to analyze the operational risks of asset securitization for the original asset quality risk and third-party risks in this part. Part IV is the pricing of asset securitization on the use of credit rating transition matrix. Part V contains conclusions and further research directions.This paper has three innovations:Firstly, it analysis the quality of the underlying asset according to principal-agent theory and build a principal-agent model between the asset sale and securitization of investment. Secondly, with the help of game theory and show the ideological principles the article designs a mechanism model to restrict the third-party. Finally, using the income capitalization principle, the econometrics and application of stochastic processes in the transfer matrix approach, the article builds a theory pricing models to medium-term credit asset securitization products.更多还原