资产证券化风险管控——基于次贷危机案例研究

Research on Asset Securitization Risk Management——Based on the Case Study of Subprime Mortgage Crisis

本文以2007年前美国次级抵押贷款证券化业务为研究对象,以风险因素——风险事件——损失为主要内容进行研究,认为资产证券化的最大风险因素在于信息不透明,这不仅缘起于该业务本身的复杂性,也在于评级机构未曾提供更多的正确信息;同时证券化各环节激励机制的缺失以及监管套利机会的存在,加大了信息不透明造成的逆向选择和道德风险。在信息高度不透明的环境下,与证券化业务相关的金融市场信心非常脆弱,任何风吹草动都有可能造成市场恐慌,进而出现交易流动性枯竭和融资流动性枯竭,这分别是金融危机前雷曼兄弟和北岩银行遭遇到的风险事件,这些事件最终导致了全球金融市场的巨大损失。本文还对我国当前证券化市场存在的风险因素进行了分析,最后就如何管控我国资产证券化业务风险给出了相应的政策建议。

This paper takes the US subprime mortgage securitization business before 2007 as the research ob. ject, and main contents studied in this paper include the risk factor--risk event--loss. It is believed that the biggest risk factor of asset securitization is information opacity, which is not only due to the complexity of the business itself, but also because the rating agencies have not provided more correct information;at the same time, the lack of incen. tives system in various aspects of securitization and the existence of regulatory arbitrage opportunities have in. creased the adverse selection and moral hazard caused by information opacity. In an environment where information is highly opaque, the financial market confidence associated with the securitization business is very fragile, and any turmoil may cause market panic, which in turn leads to depletion of trading liquidity and depletion of financing li. quidity. These were the risk events encountered by Lehman Brothers and Northern Rock Bank before the financial crisis that eventually led to huge losses in the global financial market. This paper also analyzes the risk factors exist. ing in China's current securitization market, and finally gives corresponding policy recommendations on how to con. trol the risk of China's asset securitization business.