信贷资产证券化模式选择与产品设计

The Model Choice and Design of Credit Assets Securitization

信贷资产证券化具有盘活非流动资产、分散本性风险等优势,是公司从资本市场获得低成本融资的主要工具之一。本文假设资产池由多个相关、且均服从算术布朗运动的资产现金流组成,运用公司证券定价理论,得到了基于资产池总现金流的证券化产品价值的解析解。以商业银行为例,研究了资产证券化的动机和最佳发行方式。数值分析表明:资产证券化不仅可以盘活资本,而且可以提高资产的价值;资产池的总价值与进入资产池的各个部分现金流之间的相关系数存在单调递减的关系。最后,针对我国商业银行的资产证券化模式提出了建议。

It is believed that asset securitization is the root cause of the recent financial crisis.But it is one of the main financing instruments to obtain cheap capital from the capital market because it has merits such as transforming illiquid assets into marketable securities and diversifying risk.China International Capital Corporation Limited forecasts that asset securitization will increase over 40 percent a year on average during next 5years in China.In addition to its importance as a financial and asset restructuring tool,securitization originates various streams of academic research.But some important questions remain unexplained.The established models don't address why the firm should securitize its assets.They don't investigate wether securitization can be a viable alternative for the firm when it chooses its optimal corporate structure.A model of the multi-asset firm which provides an answer to these questions is developed.The model analyzes various corporate structures and validates asset securitization as one of the value maximizing options which can accomplish the optimal incorporation of the assets in the firm.In the framework of the model,the multi-asset firm can optimally choose between aggregating all the assets in one firm,securitizing apart of them through a securitization vehicle,or spinning them off into single-asset firms.These problems belong to the hot and cutting-edge research fields in finance.They are innovative and interesting in application for the practice of the asset securitization.Using corporate security pricing theory,explicit solutions for valuating all contingent claims are provided under the assumption that the cash flow of bank assets follows an arithmetic Brownian motion.An commercial bank is taken as an example,the motivation of commercial bank asset securitization and the optimal issuing method are given.Numerical analysis shows that:Asset securitization can revitalize the capital,and can improve the value of assets;the securitization lever decreases with the correlation coefficient.Finally,some advice is provided to our country commercial Banks asset securitization method.