资产证券化对中国商业银行信用风险影响的研究

Research on the Impact of Asset Securitization on Credit Risk of Commercial Banks in China

信贷资产证券化作为一种金融创新工具,影响银行信用风险水平。在资产证券化业务规模不断扩大的背景下,本文基于动态面板SYS-GMM估计模型,选取了27家中国上市商业银行2012~2019年的年度数据作为研究样本,全面考察了信贷资产证券化业务的开展对中国商业银行信用风险的影响,研究发现,商业银行杠杆率与其信用风险呈正相关关系,信贷资产证券化有助于降低银行的信用风险水平,银行可以选择通过“去杠杆”转移信用风险,据此本文提出了资产证券化相关发展建议。

As a financial innovation tool, securitization of credit assets affects the level of bank credit risk. In the context of the expanding scale of asset securitization business, this paper, based on the dynamic panel SYS-GMM estimation model, selects the annual data of 27 Chinese listed commercial banks from 2012 to 2019 as the research samples, comprehensively investigates the impact of the devel-opment of credit asset securitization business on the credit risk of Chinese commercial banks, and finds that the leverage ratio of commercial banks is positively correlated with their credit risks, and the securitization of credit assets is helpful to reduce the level of credit risks of banks, and banks can choose to transfer credit risks through “deleveraging”. Based on this, this paper puts forward relevant development suggestions on the securitization of assets.