金融学院知识库

信贷资产证券化在我国得到了快速发展，并已经成为商业银行优化资产结 构、进行风险管理的重要金融手段。但同时由于信息不对称的存在，商业银行 高杠杆经营等问题也逐渐显现，导致风险在银行系统内部聚集，由美国次贷危 机引发的国际金融危机带来的深刻教训，给我国银行业的监管敲响了警钟。基 于我国商业银行资产证券化业务快速发展的背景，以及维护金融系统安全的要 求，推动资产证券化市场持续健康发展十分重要。 本文以 2012-2022 年在此期间发行过信贷资产证券化产品的 23 家上市商业 银行为样本，选取杠杆率和流动性比率作为中介变量，分析信贷资产证券化对 商业银行风险的影响机制。研究结论：第一，开展信贷资产证券化业务会提高 我国商业银行的风险水平。第二，中介效应检验显示，信贷资产证券化通过流 动性渠道降低商业银行风险，同时通过杠杆渠道提高商业银行风险。第三，不 同类型的商业银行在开展信贷资产证券化时风险水平具有异质性。相较于国有 银行和城市商业银行，信贷资产证券化作用于股份制商业银行的风险效应更为 显著。 商业银行开展信贷资产证券化业务，从业务发展前期来看，加大了商业银 行的经营风险。但从长远角度看，发行产品的规模效应得以发挥，其带来的收 益通常会高于成本。现阶段，应当进一步完善资产证券化市场的发展，鼓励商 业银行积极开展信贷资产证券化业务。因此本文提出以下建议：从银行层面， 严格控制信贷资产证券化产品发行规模，建立银行系统内部风险常态化监测， 优化基础资产质量，加强银行金融专业服务能力；从政府层面，完善信贷资产 证券化监管制度，优化信用评价体系，建立宏观审慎和微观审慎监管框架。

Credit asset securitization has developed rapidly in our country and has become an important financial means for commercial banks to optimize asset structure and risk management. But at the same time, due to the existence of asymmetric information, commercial banks' high leverage operation and other problems have gradually emerged, leading to the accumulation of risks in the banking system. The international financial crisis caused by the U.S. subprime mortgage crisis has brought profound lessons to the supervision of China's banking industry. Based on the background of the rapid development of the asset securitization business of China's commercial banks and the requirement of maintaining the security of the financial system, it is very important to promote the sustained and healthy development of the asset securitization market. This paper takes 23 listed commercial banks that have issued credit asset securitization products during 2012-2022 as samples, selects leverage ratio and liquidity ratio as intermediary variables, and analyzes the mechanism of influence of credit asset securitization on the risk of commercial banks. Research conclusions: First, the development of credit asset securitization will improve the risk level of Chinese commercial banks. Second, the intermediary effect test shows that credit asset securitization reduces the risk of commercial banks through liquidity 兰州财经大学硕士学位论文 信贷资产证券化对商业银行风险的影响机制研究 channels, and increases the risk of commercial banks through leverage channels. Third, the risk level of different types of commercial banks is heterogeneous when they carry out credit asset securitization. Compared with state-owned banks and city commercial banks, the risk effect of credit asset securitization is more significant for joint-stock commercial banks.Commercial banks carry out credit assets securitization business, from the early stage of business development, increase the business risk of commercial banks. However, in the long run, when the scale effect of issuing products is brought into play, the benefits are usually higher than the costs. At this stage, we should further improve the development of asset securitization market and encourage commercial banks to actively carry out credit asset securitization business. Therefore, this paper puts forward the following suggestions: from the bank level, strictly control the issuance scale of credit asset securitization products, establish the normal monitoring of internal risks in the banking system, optimize the quality of basic assets, and strengthen the professional financial service ability of banks; From the government level, we should improve the supervision system of credit asset securitization, optimize the credit evaluation system, and establish macro-prudential and micro-prudential regulatory frameworks.