资产证券化的风险隔离机制与完善

The Risk-remoteness Mechanism of Asset Securitization and Its Improvement

资产证券化的风险隔离机制隔离了债务人信用风险,通过利差途径和风险自留完成了风险分散和分配,实现帕累托改进,但是仍存在基础资产资金流断裂或逾期的风险,加剧了整个证券化链条中各方的风险传导,证券化产品具有信贷扩张效应,且不同性质的基础资产影响了证券违约率。比较美国风险隔离机制监管经验,结合我国现行监管体系,应当进一步完善风险自留规则使目标与实际效果相一致,降低信用评级机构的道德风险,通过提高基础资产的信用保证,改进信息披露和中介机构责任制度,利用区块链等技术完善资产证券化的风险隔离机制。

The risk-remoteness mechanism of asset securitization isolates the debtor's credit risk,completes risk dispersion and distribution through interest margin approach and risk retention,and realizes Pareto improve⁃ment.However,there is still the risk that the capital flow of basic assets is broken or overdue,which intensifies the risk transmission of all parties in the whole securitization chain.Securitization products have the effect of credit ex⁃pansion,and different natures of underlying assets affect the default rate of securities.Compared with the regulatory experience of risk-remoteness in the United States,and combined with China’s current regulatory system,this pa⁃per puts forward further improving the risk retention rules to make the objectives consistent with actual results,low⁃ering the moral hazard of credit rating agencies,and improving the risk-remoteness mechanism of asset securitiza⁃tion by heightening the credit guarantee of basic assets,improving the information disclosure and intermediary agen⁃cy liability system,and using blockchain and other relevant technologies.