次贷危机背景下我国住房抵押贷款证券化的信用风险防范
摘要
住房抵押贷款证券化是国际金融市场上发展很快的一种结构性衍生金融产品。目前,我国住房抵押贷款证券化程度还很低,但随着金融市场的发展和商业银行改革步伐的加快,住房抵押贷款证券化势必成为各商业银行增加流动性、转移风险的重要手段。在现阶段,住房抵押贷款被我国各大商业银行视为优质贷款,以其为基础资产发行的债券也以违约率低、收益稳定受到投资者的青睐。但2007年爆发的美国次级债风波则充分提醒了我们资产支持证券信用风险爆发的危害性,其对国际金融体系的影响至今仍未见底。因此,在这个时期来研究我国证券化信用风险的防范问题具有十分重要的现实意义。
本文首先介绍选题的背景及意义。然后对资产证券化的基本理论与住房抵押贷款信用风险的形成机理做了必要的阐述,并进一步分析了宏观经济环境变化、社会信用制度的完善程度以及基础资产的质量对住房抵押贷款证券化信用风险的影响。接着应用量度信用风险的KMV模型,推导出适用于量化体现住房抵押贷款证券化信用风险的示警指标,为后文提供了分析工具。借助示警指标,本文接下来对美国次贷危机中信用风险的演进过程进行了较为深入的分析,并将现阶段我国住房抵押贷款证券化信用风险的阶段性特征与之类比,指出目前我国住房抵押贷款支持证券信用风险仍处于潜伏阶段,但由于存在宏观经济环境变化的可能性及自身体制的缺陷,已有进入膨胀阶段的迹象。为证明此观点,本文进一步以建元2005-1住房抵押贷款支持证券为实例,对我国商业银行证券化产品信用风险的演进趋势进行实例模拟,结合目前我国不断变化的房地产市场背景,得出该产品在房价继续下跌的情况下,信用风险发生的可能性将大幅增加。最后,本文指出应从完善住房抵押贷款证券化信用风险的识别机制、控制机制以及公示机制三个方面着手,防范住房抵押贷款证券化的信用风险。
Mortgage-backed Secretions as a structural derivative financial product has been developing rapidly in today’s international financial market. Following with the developments of financial market and the deepening of our banking reforms, China’s mortgage-backed securities, which are still at a low level at present, will be bound to become an important way to increase liquidity and transfer risk for commercial banks. Nowadays, Housing mortgage is considered as high-quality loan by Chinese commercial banks and the bond issued on basis of such asset is also favored by investors due to its low default and stable incomes. The subprime crisis broke out in 2007 demonstrated to us the credit risks’harmful effects of asset-backed securities on the international financial market. And such effects are still continuing. Therefore, it has extremely important practical significance to study how to prevent the credit risks in our China’s securitization during this period.
This paper firstly introduces the background and significance of the title. Then the author elaborated the mortgage securitization’s basic principles and the mechanism of credit risk. After that, it analyses the influences of the changes in the macroeconomic environment, the extent of improving the social credit system and the quality of the basic assets to the mortgage securitization of credit risks, on the basis of which it induces the warning indicators applying to reflect mortgage securitization’s credit risks with the applying to KMV credit risk measurement model. And then with such warning indicators, the paper makes more in-depth analysis on the evolution of credit risk in U.S. subprime crisis. Following, the author pointed out that compared with the characteristics of U.S. subprime crisis, China’s credit risk of mortgage-backed securities is still in its potential stage, but have had the sign of entering the phase of expansion with the changes in the external environment and institutional deficiencies. Further based on jianyuan2005-1, we find there is a slight decline in China’s mortgage-backed securities’default risk relative to 2005, but it is likely to trigger larger growth in default probability if the house price falls further. At last this paper puts forward to some suggestion and advice to prevent the mortgage securitization’s credit risks from improving the identification mechanisms, control mechanisms and publicity mechanism of mortgage securitization credit risk.
本文首先介绍选题的背景及意义。然后对资产证券化的基本理论与住房抵押贷款信用风险的形成机理做了必要的阐述,并进一步分析了宏观经济环境变化、社会信用制度的完善程度以及基础资产的质量对住房抵押贷款证券化信用风险的影响。接着应用量度信用风险的KMV模型,推导出适用于量化体现住房抵押贷款证券化信用风险的示警指标,为后文提供了分析工具。借助示警指标,本文接下来对美国次贷危机中信用风险的演进过程进行了较为深入的分析,并将现阶段我国住房抵押贷款证券化信用风险的阶段性特征与之类比,指出目前我国住房抵押贷款支持证券信用风险仍处于潜伏阶段,但由于存在宏观经济环境变化的可能性及自身体制的缺陷,已有进入膨胀阶段的迹象。为证明此观点,本文进一步以建元2005-1住房抵押贷款支持证券为实例,对我国商业银行证券化产品信用风险的演进趋势进行实例模拟,结合目前我国不断变化的房地产市场背景,得出该产品在房价继续下跌的情况下,信用风险发生的可能性将大幅增加。最后,本文指出应从完善住房抵押贷款证券化信用风险的识别机制、控制机制以及公示机制三个方面着手,防范住房抵押贷款证券化的信用风险。
Mortgage-backed Secretions as a structural derivative financial product has been developing rapidly in today’s international financial market. Following with the developments of financial market and the deepening of our banking reforms, China’s mortgage-backed securities, which are still at a low level at present, will be bound to become an important way to increase liquidity and transfer risk for commercial banks. Nowadays, Housing mortgage is considered as high-quality loan by Chinese commercial banks and the bond issued on basis of such asset is also favored by investors due to its low default and stable incomes. The subprime crisis broke out in 2007 demonstrated to us the credit risks’harmful effects of asset-backed securities on the international financial market. And such effects are still continuing. Therefore, it has extremely important practical significance to study how to prevent the credit risks in our China’s securitization during this period.
This paper firstly introduces the background and significance of the title. Then the author elaborated the mortgage securitization’s basic principles and the mechanism of credit risk. After that, it analyses the influences of the changes in the macroeconomic environment, the extent of improving the social credit system and the quality of the basic assets to the mortgage securitization of credit risks, on the basis of which it induces the warning indicators applying to reflect mortgage securitization’s credit risks with the applying to KMV credit risk measurement model. And then with such warning indicators, the paper makes more in-depth analysis on the evolution of credit risk in U.S. subprime crisis. Following, the author pointed out that compared with the characteristics of U.S. subprime crisis, China’s credit risk of mortgage-backed securities is still in its potential stage, but have had the sign of entering the phase of expansion with the changes in the external environment and institutional deficiencies. Further based on jianyuan2005-1, we find there is a slight decline in China’s mortgage-backed securities’default risk relative to 2005, but it is likely to trigger larger growth in default probability if the house price falls further. At last this paper puts forward to some suggestion and advice to prevent the mortgage securitization’s credit risks from improving the identification mechanisms, control mechanisms and publicity mechanism of mortgage securitization credit risk.
引文
[1] Frank J.Fabozzi. The Handbook of Mortgage Backed Securities. L.A.: The Smith Publishing house ltd, 1995,7-17
[2] John Henderson, Jonathan P.Scott. Securitization. New York Institute Of Finance , 1993,(5):79-85
[3] Alexander David. Asset Securitization: Principles and Practice. New York: Executive Enterprises Inc., 1997,67-80
[4] Lois R. Lupica. The effects of interest rates on mortgage prepayments. Journal of money, 2001,18(2):41-59
[5] Edward M. The Global Asset Backed Securities Market. London: Probus Publishing Company, 2001,256-270
[6] Dunn, McConnell .Credit Risk. Risk magazine, 1991,(9):57-70
[7] Jerry Green, B Shoven. Bond Risk Analysis: A Guide to Duration and Convexity,New York Institute of Finance, 1996,(6):175-187
[8] Schwartz, Edwardo S., Wislter N. Torous. Prepayment and the Valuation of Mortgage backed Securities. Journal of Finance, 2004,(44):145-160
[9] Sum R Hukim. The Valuation of Mortgage Backed Securities. L.A.: The Smith Publishing house ltd, 1994,245-270
[10] Von Furstenberg. The Global Asset Backed Securities Market. London: Probus Publishing Company, 1994,333-345
[11] Qiertia, Sregman. Securitization: Redefining the Bank. New York: ST. Martins press Inc, 2001,210-234
[12]何德旭.完善资产证券化的市场环境和制度条件.管理世界, 2001, (10):23-29
[13]涂永红.银行信贷资产证券化.北京:中国金融出版社, 2000, 190-201
[14]张超英.资产证券化—原理、实务、实例.北京:中国金融出版社, l999,113-129
[15]吴许均.资产证券化动因分析.经济与管理研究, 2002,(5):32-36
[16]曾小平,孙景武.从银行业务实践看住房抵押贷款证券化.国际金融研究, 2000,(4):57-65
[17]张广州,倪丽萍,龚一军.对我国实行信贷资产证券化的思考.财贸经济, 2001,(3):22-24
[18]朱武祥.资产证券化与保险资金投资增值.经济研究, 2000,(9):49-56
[19]王开国.资产证券化理论.上海:上海财经大学出版社, l999,33-39
[20]邓超,王美.我国商业银行的资产证券化及其风险管理.武汉金融, 2001,(8):66-73
[21]李键.美国资产证券化的法律风险及其防范.武汉大学学报, 2005,(1):36-42
[22]李公科.资产证券化的安全价值和投资风险防范.西华师范大学学报, 2005,(6):11-15
[23]张本照,朱毅,谢敏莉.资产证券化交易风险分析与评价研究.安徽电气工程职业技术学院学报, 2006,(6):44-49
[24]赵旭.信贷资产证券化的违约风险分析.商业研究, 2006,(9):20-24
[25]陈钊.住房抵押贷款理论与实践.上海:复旦大学出版社, 2000,103-120
[26] William W. Bartlett. The Valuation of Mortgage-backed Securitization. Cheltenham: Edward Elgar Publishing House, 1994,179-189
[27]段兵.信用风险管理的工程化趋势及应用.国际金融研究, 2002,(6):53-60
[28]虞晓芬.住房抵押贷款理性违约的决策分析.数量经济技术研究, 2000,(9):66-74
[29]曹远征.美国住房抵押贷款次级债风波的分析与启示.国际金融研究, 2007,(11):37-45
[30] Onakado. K. The Drawback of U.S Subprime Loan Markets. Economist Column, 2007,(11):97-103
[31]孙立坚,周赟,彭述涛.“次级债风波”对金融风险管理的警示.世界经济, 2007,(12):44-49
[32] Deng,Y , Gabriel, S. Risk-based Pricing and the Enhancement of Mortgage Credit Availability Among Underserved and Higher Credit-risk Populations. Journal of Money, 2006,(38):1431-1460
[33]李曜.证券化——基本理论与案例分析.上海:上海财经大学出版社, 2001,67-79
[34]程实.在风险的刀尖起舞——美国次级债风波深度解析.国际经济评论, 2007,(4):9-12
[35] Eli Lehrer,John Berlau. A Non-Prescription for Confronting the Sub-Prime Crisis, www.cei.org, 2007
[36]林泓.从美国次级债危机看中国房地产市场及银行决策建议.中国房地产金融, 2007,(12):34-37
[37] Souphalaetal. The Evolution of the Subprime Mortgage Market. Federal Reserve Bank of Sr.Louis Review, 2006,(1-2):31-56
[38]冯科.从美国次级债危机反思中国房地产金融风险.南方金融, 2007,(9):46-49
[39] Frank J.Fabozzi , T.D.Fabozzi. Prepayment, Default, and the Valuation ofMortgage Pass-Through Securitization. Journal of Business, 1992,(5):221-239
[40]中国建设银行,中信信托投资有限公司.建元2005-1个人住房抵押贷款证券化信托发行说明书, 2005
[41]安春梅.住房抵押贷款证券化的风险因素分析.财会研究, 2006,(2):40-47
[42]康茜.从美国次级债危机谈我国住房抵押贷款支持证券的法律缺失.特区经济, 2007,(11):67-69
[43]陈志健.我国住房抵押贷款证券化中的风险研究.内蒙古农业大学学报(社会科学版), 2006, (3):49-55
[44]张会恒.论产业生命周期理论.财贸研究, 2004,(6):45-49
[45]王秀芳.新巴塞尔协议下资产证券化风险转移的确认.外国经济与管理, 2006,(4):9-11
[46]张明.透视美国次级债危机及其对中国的影响.国际经济评论, 2007,(9):31-36
[47]董金玲,刘传哲.美国次级债市场的运作机制及其危机启示.中国管理信息化, 2008,(1):17-19
[2] John Henderson, Jonathan P.Scott. Securitization. New York Institute Of Finance , 1993,(5):79-85
[3] Alexander David. Asset Securitization: Principles and Practice. New York: Executive Enterprises Inc., 1997,67-80
[4] Lois R. Lupica. The effects of interest rates on mortgage prepayments. Journal of money, 2001,18(2):41-59
[5] Edward M. The Global Asset Backed Securities Market. London: Probus Publishing Company, 2001,256-270
[6] Dunn, McConnell .Credit Risk. Risk magazine, 1991,(9):57-70
[7] Jerry Green, B Shoven. Bond Risk Analysis: A Guide to Duration and Convexity,New York Institute of Finance, 1996,(6):175-187
[8] Schwartz, Edwardo S., Wislter N. Torous. Prepayment and the Valuation of Mortgage backed Securities. Journal of Finance, 2004,(44):145-160
[9] Sum R Hukim. The Valuation of Mortgage Backed Securities. L.A.: The Smith Publishing house ltd, 1994,245-270
[10] Von Furstenberg. The Global Asset Backed Securities Market. London: Probus Publishing Company, 1994,333-345
[11] Qiertia, Sregman. Securitization: Redefining the Bank. New York: ST. Martins press Inc, 2001,210-234
[12]何德旭.完善资产证券化的市场环境和制度条件.管理世界, 2001, (10):23-29
[13]涂永红.银行信贷资产证券化.北京:中国金融出版社, 2000, 190-201
[14]张超英.资产证券化—原理、实务、实例.北京:中国金融出版社, l999,113-129
[15]吴许均.资产证券化动因分析.经济与管理研究, 2002,(5):32-36
[16]曾小平,孙景武.从银行业务实践看住房抵押贷款证券化.国际金融研究, 2000,(4):57-65
[17]张广州,倪丽萍,龚一军.对我国实行信贷资产证券化的思考.财贸经济, 2001,(3):22-24
[18]朱武祥.资产证券化与保险资金投资增值.经济研究, 2000,(9):49-56
[19]王开国.资产证券化理论.上海:上海财经大学出版社, l999,33-39
[20]邓超,王美.我国商业银行的资产证券化及其风险管理.武汉金融, 2001,(8):66-73
[21]李键.美国资产证券化的法律风险及其防范.武汉大学学报, 2005,(1):36-42
[22]李公科.资产证券化的安全价值和投资风险防范.西华师范大学学报, 2005,(6):11-15
[23]张本照,朱毅,谢敏莉.资产证券化交易风险分析与评价研究.安徽电气工程职业技术学院学报, 2006,(6):44-49
[24]赵旭.信贷资产证券化的违约风险分析.商业研究, 2006,(9):20-24
[25]陈钊.住房抵押贷款理论与实践.上海:复旦大学出版社, 2000,103-120
[26] William W. Bartlett. The Valuation of Mortgage-backed Securitization. Cheltenham: Edward Elgar Publishing House, 1994,179-189
[27]段兵.信用风险管理的工程化趋势及应用.国际金融研究, 2002,(6):53-60
[28]虞晓芬.住房抵押贷款理性违约的决策分析.数量经济技术研究, 2000,(9):66-74
[29]曹远征.美国住房抵押贷款次级债风波的分析与启示.国际金融研究, 2007,(11):37-45
[30] Onakado. K. The Drawback of U.S Subprime Loan Markets. Economist Column, 2007,(11):97-103
[31]孙立坚,周赟,彭述涛.“次级债风波”对金融风险管理的警示.世界经济, 2007,(12):44-49
[32] Deng,Y , Gabriel, S. Risk-based Pricing and the Enhancement of Mortgage Credit Availability Among Underserved and Higher Credit-risk Populations. Journal of Money, 2006,(38):1431-1460
[33]李曜.证券化——基本理论与案例分析.上海:上海财经大学出版社, 2001,67-79
[34]程实.在风险的刀尖起舞——美国次级债风波深度解析.国际经济评论, 2007,(4):9-12
[35] Eli Lehrer,John Berlau. A Non-Prescription for Confronting the Sub-Prime Crisis, www.cei.org, 2007
[36]林泓.从美国次级债危机看中国房地产市场及银行决策建议.中国房地产金融, 2007,(12):34-37
[37] Souphalaetal. The Evolution of the Subprime Mortgage Market. Federal Reserve Bank of Sr.Louis Review, 2006,(1-2):31-56
[38]冯科.从美国次级债危机反思中国房地产金融风险.南方金融, 2007,(9):46-49
[39] Frank J.Fabozzi , T.D.Fabozzi. Prepayment, Default, and the Valuation ofMortgage Pass-Through Securitization. Journal of Business, 1992,(5):221-239
[40]中国建设银行,中信信托投资有限公司.建元2005-1个人住房抵押贷款证券化信托发行说明书, 2005
[41]安春梅.住房抵押贷款证券化的风险因素分析.财会研究, 2006,(2):40-47
[42]康茜.从美国次级债危机谈我国住房抵押贷款支持证券的法律缺失.特区经济, 2007,(11):67-69
[43]陈志健.我国住房抵押贷款证券化中的风险研究.内蒙古农业大学学报(社会科学版), 2006, (3):49-55
[44]张会恒.论产业生命周期理论.财贸研究, 2004,(6):45-49
[45]王秀芳.新巴塞尔协议下资产证券化风险转移的确认.外国经济与管理, 2006,(4):9-11
[46]张明.透视美国次级债危机及其对中国的影响.国际经济评论, 2007,(9):31-36
[47]董金玲,刘传哲.美国次级债市场的运作机制及其危机启示.中国管理信息化, 2008,(1):17-19