分类号密级公开
UDC 编号20223550033
硕士学位论文
（专业学位）
房地产供应链金融资产证券化风险分析
——以万科惠和1号2023-19为例
申请人姓名林佳漫
导师姓名及职称邓超，副教授
专业学位类别金融硕士
专业学位领域金融
培养单位金融学院
学位授予单位广东外语外贸大学
2024年5月24日
I
分类号密级公开
UDC 编号20223550033
广东外语外贸大学硕士学位论文
（专业学位）
房地产供应链金融资产证券化风险分析
——以万科惠和1号2023-19为例
Risk Analysis of Supply Chain Finance Asset
Securitization in Real Estate ——A Case Study of Vanke Huihe
No.12023-19
申请人姓名林佳漫
导师姓名及职称邓超，副教授
专业学位类别金融硕士
专业学位领域金融
论文提交日期2024年5月24日
论文答辩日期2024年5月16日
答辩委员会徐枫教授
廖国民教授
梁耀仁
学位授予单位：广东外语外贸大学
摘要
房地产是我国国民经济的重要产业，在我国经济和社会发展过程中发挥着重
要的作用。随着我国经济快速发展以及资产证券化的推广和运用，房地产供应链
金融资产证券化应运而生。我国供应链金融资产证券化是以供应商应收账款为基
础资产的证券化产品，为房地产企业提供了一种创新型融资途径。近年来，在严
峻的融资压力以及外部冲击下，部分房地产企业出现资金危机，面临着债务无法
偿还、企业破产重组的风险，故引起了投资者对房地产相关金融产品的关注和警
惕。因此，对房地产供应链金融资产证券化项目的风险研究具有必要性和重要性。
本文选取国信证券-一方惠和供应链金融1号资产支持专项计划”（简称“惠
和1号2023-19”）进行研究，首先介绍了专项计划的项目内容，从项目要素情
况、重要参与方和基础资产池等展开介绍；然后分别基于房地产行业、政策背景、
核心企业和供应商的角度分析了不同主体参与供应链金融资产证券化的动因。本
文分析认为在宏观经济未实质复苏、房企销售疲软，且政策红利释放的大背景下，
供应链金融ABS 具有独特融资优势，可分别满足上游供应商和核心企业即债务
人的应收账款周转需求和企业融资需求，提高供应链整体资金周转效率。
基于惠和1号2023-19专项计划，本文采用核对表法构建风险研究框架，明
确了该专项计划主要面临宏观风险、技术风险和信用风险。进一步识别和分析发
现，信用风险为本项目的主要风险；且在基础资产、项目主体和交易结构三类信
用风险来源中，项目主体万科股份面临的信用风险较为突出，需进一步对其进行
信用风险定量测度。本文构建Z-Score 模型和KMV-Logistic 模型，基于万科股份
及同行业可比公司的财务数据和股权交易数据，对万科股份信用风险进行定量测
度，并总结得出以下结论：（1）核心企业信用风险较小，违约概率较低，整体
信用水平位于行业中上水平；（2）房企盈利能力和偿债能力、违约距离DD 对
企业违约概率具有显著影响，万科股份盈利能力和偿债能力良好，违约距离较短，
违约概率低；（3）专项计划项目整体风险较小。
本文根据对惠和1号2023-19专项计划的研究，从核心企业、投资者等角度
提出切实可行的建议，对于正确认识和评估此类房地产供应链金融资产证券化项
目的风险具有一定参考意义。
关键词供应链金融；房地产；资产证券化；Z-Score 模型；KMV-Logistic 模型
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Abstract
Real estate is an important pillar industry of China's national economy and it
plays a pivotal role in China's economic development process.With the rapid
development of China's economy and the promotion and application of asset
securitization,the asset securitization of supply chain finance in the real estate came
into being.China's supply chain finance asset securitization is a securitization product
based on supplier accounts receivable,which provides an innovative financing
channel for real estate enterprises.In recent years,under severe financing pressure
and external shocks,some real estate companies have experienced capital crises and
are facing the risk of debt repayment,corporate bankruptcy and restructuring,which
has attracted investors'attention and vigilance to real estate-related financial products.
Therefore,it is necessary and important to study the risk of real estate supply chain
finance asset securitization projects.
This paper selects Guosen Securities-Yifang Huihe Supply Chain Finance No.1
Asset-backed Special Plan (hereinafter referred to as "Huihe No.12023-19")for
research.This paper firstly introduces the project content of the special plan,and
introduces the project elements,important participants and underlying asset pools.
Then,based on the perspectives of the real estate industry,policy background,core
enterprises and suppliers,the motivations of different entities to participate in supply
chain financial asset securitization are analyzed.This paper argues that in the context
of the lack of substantial macroeconomic recovery,weak sales of real estate
enterprises,and the release of positive policy,supply chain finance ABS has unique
financing advantages.It can meet the accounts receivable turnover needs and
corporate financing needs of upstream suppliers and core enterprises,and improve the
overall capital turnover efficiency of the supply chain.
Based on the Huihe No.12023-19Special Plan,this paper uses the checklist
method to construct a risk research framework,and clarifies that the special plan
mainly faces external risks,technical risks and credit risks.Further identification and
analysis found that credit risk was the main risk of the project.In addition,among
the risk of the underlying asset pool,the risk of the project entity and the risk of the
project transaction structure,the credit risk faced by the core enterprises is more
prominent,and it is necessary to further quantitatively measure the credit risk of the
project entity and the overall risk of the project.
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Based on the qualitative analysis results of asset securitization project risk,and
the financial data and equity transaction data of Vanke and comparable companies in
the same industry,this paper constructs the Z-Score model and KMV-Logistic model
to quantitatively measure the credit risk of core enterprises,and concludes the
following conclusions:(1)The credit risk of core enterprises is small,the probability
of default is low,and Vanke’s credit level is at the upper level of the industry.(2)The
profitability and solvency of real estate enterprises and the default distance DD have a
significant impact on the default probability of enterprises.The profitability and
solvency of Vanke are good,and its default distance is short,so Vanke’s default
probability is low.(3)The overall risk of the special plan project is small.
Based on the research on the Huihe No.12023-19Special Plan,this paper puts
forward practical suggestions from the perspectives of core enterprises,plan
managers/original equity holders,regulatory authorities and investors,which has
certain reference significance for correctly understanding and evaluating the risks of
such real estate supply chain financial asset securitization projects.
Keywords Supply Chain Finance;Real Estate;Asset Securitization;Z-Score Model;
KMV-Logistic Model
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