信贷资产证券化对我国商业银行风险承担的影响研究

The Impact of Securitization on the Risk-taking of Chinese Commercial Bank

本文采用2013年4季度至2016年4季度共23家银行的季度数据,构建非平衡面板模型以研究信贷资产证券化对我国商业银行风险承担的影响。研究发现:现阶段我国商业银行开展资产证券化业务能够降低其风险承担,即通过将资产负债表内风险较大的资产转移至表外,实现风险转移,优化资产结构,提高资本充足率,进而降低其风险承担。同时,本文针对规模不同的商业银行开展资产证券化业务的异质性进行了讨论。未来我国商业银行将迎来资产证券化快速的发展,针对我国银行开展资产证券化中的风险管理,本文提出相应的政策建议。

This paper uses quarter data of 23 banks from year 2013 to 2016. By establishing unbalanced panel data, it examines the effects of securitization on commercial banks＇ risk-taking. It finds that securitization can decrease risk-taking of Chinese commercial bank. Banks will remove high risk assets out of the balance sheet and achieve risk transfer, optimize asset structure, increase capital adequacy ratio and thus decrease risk-taking. In the future, commercial banks will speed up the development of securitization, considering the related risk management problems, it puts forward some suggestions.