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论文编号：	2199
作者编号：	2220070935
上传时间：	2010/1/20 10:40:49
中文题目：	我国商业银行居民住房抵押贷款证券化
英文题目：	The Research on Rredit-rating Issues of Residential Mortgage-Backed Securities in China’s Commercial Bank
指导老师：	齐寅峰
中文关键字：	巴塞尔新协议 信贷资产证券化 债务抵押债券 信用增级 信用评级
英文关键字：	Basel II, Securitization of Credit Assets, collateralized debt obligations, credit enhancement, credit ratings
中文摘要：	金融危机使得商业银行的信贷资产证券化衍生产品市场走入了低谷，同时直接影响了我国商业银行信贷资产证券化进程，尽管政策面没有本质的变动，市场发行却暂时停顿。然而，2008年的中国人民银行对商业银行信贷规模指令性控制，2009年上半年为提振国民经济走出衰退商业银行信贷规模的井喷，以及我国监管部门推行新巴塞尔协议，给商业银行信贷资产证券化带来了发展的钢性需求。 本文从分析我国资产证券化试点阶段批准发行的中国建设银行股份有限公司 “2007-1个人住房抵押贷款证券化（Residential Mortgage-Backed Securities，RMBS）信托”（以下简称“建元2007-1RMBS”）产品信用评级与巴塞尔II内部评级要求入手，通过与穆迪评级方法的比较，提出了我国商业银行RMBS信用评级问题与发展方向。 纵览全文，首先介绍了论文选题的背景，提出中国商业银行在全球金融危机的背景下，面临着自身高速发展与监管标准日趋提高的矛盾，并以此引出解决矛盾的一种方法即本文研究主要问题资产证券化。 其次回顾了资产证券化的历史沿革、发展历程，重点关注资产证券化产生的外部环境以及发展资产证券化的必要条件，意在揭示商业银行资产证券化的初衷即改善资产负债表；同时概述了资产证券化的结构与现金流瀑布理论，揭示资产证券化存在的合理性即通过对现金流再分配满足不同投资偏好的投资者的需求；阐述了资产负债型抵押贷款证券 （collateral loan obligations，CLO）独特结构，重点关注该证券化产品节约商业银行资本占用的原理。 接着概要阐述了我国商业银行信贷资产证券化的现状。 随后通过以中国建设银行建元2007-1RMBS产品为标本的进行了案例分析， 通过与穆迪信用评级方法对比，找出了我国商业银行RMBS的信用评级问题与发展方向。 结论我国商业银行发展与监管的矛盾决定了信贷资产证券化必然会继续发展下去。不能简单复制发达资本主义国家的机制，而是应该建设具有中国特色的信用评级机制为我国商业银行RMBS保驾护航。
英文摘要：	The financial crisis made commercial banks’asset securitization of credit derivatives market into a downturn and also had a direct impact on demestic commercial banks’process of securitization of credit assets. Though there is no essential change in the policy side, the market issue is in suspense. However, in 2008 the People's Bank of China controled the size of credit to commercial banks mandatorily, while in the first half of 2009 the size of commercial bank credit blew out to boost the national economy out of recession, as well as our regulators implement Basel II, which all make a demand on the development of commercial banks credit assets securitization. This thesis starts from the analysis of "Residential Mortgage-Backed Securities, RMBS Trust" (hereinafter referred to as "Jianyuan 2007-1RMBS") products issued by China Construction Bank Corporation in the pilot phase of credit asset securitization in China. Through a comparison of the Moody’s rating method, the thesis raise China's commercial banks credit rating RMBS issues and makes recommendations for domestic commercial banks in the development of RMBS rating. After the overview of the full text, this thesis first describes the background of the topics, and puts forward that domestic commercial banks have to face with contradictions of the rapid development of its own requirements and regulatory standards under the circumstances of the global financial crisis. And then it leads to a method of resolving contradictions that is the asset securitization which is the main issue in this thesis. Secondly, the thesis reviews the history and development process of asset securitization, focusing on the external environment of asset securitization and the necessary conditions for development of asset securitization intended to reveal the original purpose of asset securitization that is to improve the balance sheet. Meanwhile the thesis introduces an overview of asset securitization structure and cash flow waterfall theory, and reveals the reasonable existence of asset securitization that is through the redistribution of cash flows to meet the demand of investors’different investment preferences. The thesis also describes the unique structure of assets and liabilities based mortgage-backed securities (Collateral loan obligations, CLO), focusing on the principle of savings securitization capital occupied by commercial banks. Then the thesis outlines the status of domestic commercial banks securitization of credit assets. hrough the analysisthe of Jianyuan 2007-1RMBS product samples, and comparison with the Moody’s rating method, the thesis finds the problems of domestic commercial bank RMBS in credit rating.Based on the analysis of the problems the thesis puts forward the corresponding solution. In conclusion, the contradiction between domestic commercial banks development and supervision decides securitization of credit assets will inevitably continue to develop. The development of our commercial bank RMBS issue must not copy Mechanism of developed country, we should establish own mechanism of credit rating in our style.
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