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本文在借鉴已有评级方法的基础上,对 N 商业银行住房按揭贷款信贷数据进行了分
析,通过动态池”静态池”及迁移矩阵”进行构建,搭建了最基本的评级分析框架。除
绪论外,本文共分为五个部分:第二部分论述了资产证券化的交易主体、交易结构、业
务流程和评级方法;第三部分阐述了国内资产证券化的发展情况,重点分析了住房按揭
贷款资产证券化的发展现状;第四部分以 N 商业银行为个案,提出了相应的评级方案并
逐步实施分层评级,得到具备科学合理性的评级结果;第五部分对 N 商业银行的评级方
案进行了综合评价,指出其对于投行业务、投资业务的应用价值;第六部分对本研究方
案的整体效果及存在的不足做出分析和总结
关键词:商业银行;住房按揭贷款;资产证券化;评级方法;应用研究
分类号:C93V
Summary
The People&39;s Bank of China and China Banking Regulatory Commission issued the notice on further
to do a good job of housing financial services. The notice encourage the banking financial institutions to
revitalize the stock of mortgage assets by issuing of housing mortgage-backed securities in order to have
more credit funds to increase the first suite type and improve the housing credit. Financial institutions have
already accumulated some practical experience, but because of RMBS assets as the basis of personal
housing mortgage loan, so that it is difficult to evaluate the credit risks of the individual. At the same time,
housing loan time last so long, which is strongly influenced by macroeconomic. Expected losses of
underlying asset has great uncertainty, which cause problems for rating, asset packaging issue. However,
many small and medium-sized city commercial banks face the imperfection of the credit data. The data loss
is not rare in the process of data transformation ,which enlarge the difficulty of RMBS rating.
Through the study, comparison of the rating method, this research summarize the characteristic of the
rating of domestic and overseas. Basing on the general rating method for reference, we analyzed the
housing mortgage loan credit data of the N commercial bank and constructed a basic analytical framework
by structuring the static pool dynamic pool and transfer matrix.
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concepts, the transaction agents, which has been involved by asset securitization, the adopted structure of
deal, the business processes, the rating method and so on. The third part expound the development situation
of domestic asset securitization, in which the current situation of the development of housing mortgage
loan securitization is the main point. In the fourth part, the N commercial Bank is the example. According
to the actual situation of N bank , I put forward the corresponding rating ideas and obtained a rating
results which have a certain basis. The fifth part gave a comprehensive assessment to the rating scheme
which had been established on the example of N commercial bank. It pointed out its application value to
the investment banking and investment. The sixth part made a analysis and summary to the overall effect of
this research method and the deficiencies. Basing on the study, some suggestions for the perfection of the
future rating method were put forward.
Key words: Commercial bank, Housing mortgage loan, Asset securitization, Rating method,Application
research
Classification number:C93贵州大学工商管理硕士学位论文1 绪论
1.1 选题背景及研究意义
1.1.1 选题背景
2014 年 9 月 30 日,中国银监会与人民银行发布了《关于进一步做好住房金融服务
工作通知》,该通知明确提出要大力支持银行金融机构通过发行住房抵押贷款支持证券
(Residiual mortgage backed security,简称 RMBS),提高按揭贷款资产的周转效率,以
期将更多的资金用于投放到首套房与改善型住房方面。个人住房抵押贷款支持证券对于
抵押贷款资产支持证券(简称 MBS)来说影响较大,同时也是国家规范住房市场秩序
的有力保障,虽然最近几年,RMBS 产品在市场上比较受欢迎,并且获取了较多的市场
份额。但是,由于 RMBS 的基础资产为个人住房抵押贷款,因此在实际分析和评级程中
会比较麻烦;除此以外,国际形势复杂多变,而住房贷款在宏观经济的长周期内会受其
影响,而导致资产的预期损失评估增大;此时,如果 RMBS 遇到提前还款的情况,那么
利息收入就会大打折扣;综上所述,西方国家会在量化分析的前提下全面系统的分析
RMBS 的信用风险
本人有幸参与到 N 银行的 RMBS 项目,在项目中配合完成项目的尽职调查、产品
的设计、承做、报审及发行销售。基于获取 N 银行按揭贷款数据的便利,对项目操作过
程的熟练掌握,以及本人对该
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