资产证券化的金融风险管理研究
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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。
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.
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。
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.
引文
[1] 王开国．资产证券化论．上海：上海财经大学出版社，1999，12
[2] 陆瑾．资产证券化作用的效率分析．财经研究,2001．4
[3] 张超英，翟祥辉．资产证券化的操作原理与实务．北京：经济科学出版社，1996
[4] 沈沛．资产证券化的国际动作．北京：中国金融出版社，2000，7
[5] 谭政勋，胡宗义．资产证券化的利率分析与优化决策．湖南大学学报(社科版)，2002．4
[6] 胡旭阳．资产证券化融资的竞争力分析．投资研究，1999，10
[7] 李庆高．经济学科中的数学原理与方法．长沙：湖南大学出版社，1998
[8] 王春峰．金融市场风险管理．天津：天津大学出版社，2001，2
[9] 唐旭等译．Anthony G.等著．利率风险的控制与管理．北京：经济科学出版社，1999，3
[10] Windras. Tom. A basis introduction to option-adjusted spread analysis, Bloomberg 1993
[11] 张陶伟等译．赫尔著．期权期货和其它衍生产品(第三版)．北京：华厦出版社，1999
[12] 2000年中国金融统计年鉴
[13] 官莹莹．债券市场乘风启航．证券市场周刊，2002年第1—2期
[14] 深圳证券交易所网站
[15] Office of Thrift Supervision, The OTS net portfolio value model: [working paper]. Risk management Division, OTS. 1994,11
[16] Richard, Scott F. and Richard Roll. R. Prepayment on fixed-rate Mortgage backed securities. Journal of Portfolio Management, 1989
[17] 陈钊．住房抵押贷款的理论与实践．上海：复旦大学出版社，2000．5
[18] Anthony G. Corny & Elizabeth Mays, Editors. Interest rate risk models: theory and practice Chicago: G.P.C. Ltd
[19] Schwartz. Prepayment & the valuation of MBS. Journal of Finance. 1989 44(2)
[20] 申立银等．国有企业资产证券化操作的主要参数分析．建筑经济，1999．7
[21] 宋逢明译,Marshell,J.F著．金融工程，北京：清华大学出版社，1998．6
[22] 薛一飞等．我国债券投资中一种利率风险最小化模型的分析．系统工程理论方法应用，1999．1
[23] 曾浩．资产证券化的原理与结构设计．广发研究，1998．4
[24] 伍戈等．对资产证券化利率风险度量的分析．数量经济技术经济研究，2000，11
[25] 张玲，张佳林．信用风险评估方法发展趋势．预测，2000．4
[26] 胡冰星．商业银行信贷风险管理[M]．上海：上海三联出版社，1995
[27] 杨力．商业银行风险管理．上海：上海财经大学出版社，1998
[28] 石红军．信用风险、信用工程与资产证券化，财经问题研究，1999．12
[29] Coleshaw. J. credit analysis: how to measure and manage credit risk. New York: wood head-Faulkner, C1989
[30] Wilson, J. Portfolio Credit Risk. Risk magazine. September and October, 1997b
[31] Best P. Beyond value at Risk. New York: John Wiley & Sons. 1998
[32] 黄芳芳编译．信用风险计量法简介(一、二)．城市金融论坛，1999．8，1999．9
[33] 泊宁编译．信用风险计量法简介(三、四、五、六)．城市金融论坛，1999．10，1999．11，1999．12，2000．1
[34] 逸舟编译．信用风险计量法简介(七、九)．城市金融论坛，2002．2，2002．3
[35] 刘宇飞译，Saunders·A著．信用风险度量：风险估值的新方法与其它范式．北京：机械工业出版社，2001
[36] Frank J. Fabozzi, Franco Modigliani, Capital Markets institutions and instruments. 清华大学出版社，1998
[37] T. H. Donaldson, FCIB credit risk and exposure in securitization and transaction. The Macmillan Press 1td. London. 1989
[38] Elizabeth Mays, Editor, Credit risk Modeling: design and application G. P. C. 1td. Chicago 1998
[39] Zaik, E., J. Walter, and J.G. Kelling, RAROC AT bank of America: From theory to practice. Journal of Applied Corporate Finance, Summer, 1996
[40] Banks, E. The Credit risk of financial instruments Basing stoke: Macmillan, C1993
[41] Bartlett, Willian W., Mortgage Backed Securities: Products, Analysis, Trading, NYIF Corp. 1989
[42] Bartlett, Willian W., The Valuation of Mortgage-Backed Securities, IRWIN. 1994
[43] Fabozzi, Frank J., The Handbook of Fixed Income Securities, 5th edition, IRWIN, 1997a
[44] Tuckman, Bruce, Fixed Income Securities: Tools for Today's markets, John Wiley & Sons, Inc. 1995
[2] 陆瑾．资产证券化作用的效率分析．财经研究,2001．4
[3] 张超英，翟祥辉．资产证券化的操作原理与实务．北京：经济科学出版社，1996
[4] 沈沛．资产证券化的国际动作．北京：中国金融出版社，2000，7
[5] 谭政勋，胡宗义．资产证券化的利率分析与优化决策．湖南大学学报(社科版)，2002．4
[6] 胡旭阳．资产证券化融资的竞争力分析．投资研究，1999，10
[7] 李庆高．经济学科中的数学原理与方法．长沙：湖南大学出版社，1998
[8] 王春峰．金融市场风险管理．天津：天津大学出版社，2001，2
[9] 唐旭等译．Anthony G.等著．利率风险的控制与管理．北京：经济科学出版社，1999，3
[10] Windras. Tom. A basis introduction to option-adjusted spread analysis, Bloomberg 1993
[11] 张陶伟等译．赫尔著．期权期货和其它衍生产品(第三版)．北京：华厦出版社，1999
[12] 2000年中国金融统计年鉴
[13] 官莹莹．债券市场乘风启航．证券市场周刊，2002年第1—2期
[14] 深圳证券交易所网站
[15] Office of Thrift Supervision, The OTS net portfolio value model: [working paper]. Risk management Division, OTS. 1994,11
[16] Richard, Scott F. and Richard Roll. R. Prepayment on fixed-rate Mortgage backed securities. Journal of Portfolio Management, 1989
[17] 陈钊．住房抵押贷款的理论与实践．上海：复旦大学出版社，2000．5
[18] Anthony G. Corny & Elizabeth Mays, Editors. Interest rate risk models: theory and practice Chicago: G.P.C. Ltd
[19] Schwartz. Prepayment & the valuation of MBS. Journal of Finance. 1989 44(2)
[20] 申立银等．国有企业资产证券化操作的主要参数分析．建筑经济，1999．7
[21] 宋逢明译,Marshell,J.F著．金融工程，北京：清华大学出版社，1998．6
[22] 薛一飞等．我国债券投资中一种利率风险最小化模型的分析．系统工程理论方法应用，1999．1
[23] 曾浩．资产证券化的原理与结构设计．广发研究，1998．4
[24] 伍戈等．对资产证券化利率风险度量的分析．数量经济技术经济研究，2000，11
[25] 张玲，张佳林．信用风险评估方法发展趋势．预测，2000．4
[26] 胡冰星．商业银行信贷风险管理[M]．上海：上海三联出版社，1995
[27] 杨力．商业银行风险管理．上海：上海财经大学出版社，1998
[28] 石红军．信用风险、信用工程与资产证券化，财经问题研究，1999．12
[29] Coleshaw. J. credit analysis: how to measure and manage credit risk. New York: wood head-Faulkner, C1989
[30] Wilson, J. Portfolio Credit Risk. Risk magazine. September and October, 1997b
[31] Best P. Beyond value at Risk. New York: John Wiley & Sons. 1998
[32] 黄芳芳编译．信用风险计量法简介(一、二)．城市金融论坛，1999．8，1999．9
[33] 泊宁编译．信用风险计量法简介(三、四、五、六)．城市金融论坛，1999．10，1999．11，1999．12，2000．1
[34] 逸舟编译．信用风险计量法简介(七、九)．城市金融论坛，2002．2，2002．3
[35] 刘宇飞译，Saunders·A著．信用风险度量：风险估值的新方法与其它范式．北京：机械工业出版社，2001
[36] Frank J. Fabozzi, Franco Modigliani, Capital Markets institutions and instruments. 清华大学出版社，1998
[37] T. H. Donaldson, FCIB credit risk and exposure in securitization and transaction. The Macmillan Press 1td. London. 1989
[38] Elizabeth Mays, Editor, Credit risk Modeling: design and application G. P. C. 1td. Chicago 1998
[39] Zaik, E., J. Walter, and J.G. Kelling, RAROC AT bank of America: From theory to practice. Journal of Applied Corporate Finance, Summer, 1996
[40] Banks, E. The Credit risk of financial instruments Basing stoke: Macmillan, C1993
[41] Bartlett, Willian W., Mortgage Backed Securities: Products, Analysis, Trading, NYIF Corp. 1989
[42] Bartlett, Willian W., The Valuation of Mortgage-Backed Securities, IRWIN. 1994
[43] Fabozzi, Frank J., The Handbook of Fixed Income Securities, 5th edition, IRWIN, 1997a
[44] Tuckman, Bruce, Fixed Income Securities: Tools for Today's markets, John Wiley & Sons, Inc. 1995
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