iii 摘要 中国银行保险监督管理委员会统计报表显示，2018年我国商业银行不良贷款 总余额达到20254亿元人民币，较2017年增长18.74%，不良贷款率达到1.83%， 较2017年增长5.17%。我国的不良贷款率远高于世界银行公布的美国（2017年不 良贷款率1.1%）、英国（2017年不良贷款率0.7%）等欧美发达国家。同样在零售 不良资产这一细分领域，我国商业银行零售不良贷款总余额从2013年的639.6亿 元，快速增长至2017年的1914.2亿元，平均增长率高达50%。银行不良资产规模 上升将降低银行收益能力、影响银行资本金充足率、加剧银行资产业务与负债业务 的非对称性、导致银行资信等级下降等一系列影响，零售不良资产更具有单笔金额 低、处置时间长、处置成本高的特点，一直是商业银行不良资产处置实践中的难题。 论文以此为选题具有明显的现实意义。 银行不良资产成因与处置的研究很多，多立足于宏观经济与微观企业角度，且 更适用公司信贷不良资产，对于以个人作为借款主体的零售不良资产的研究略有 欠缺。本文以金融脆弱性与信息不对称等作为理论基础，总结了零售不良资产形成 的因素包括经济环境因素、政策导向因素、借款人主体因素、银行自身因素等，同 时结合商业银行不良资产处置现状，指出零售不良资产处置过程中面临处置方式 较传统、处置效果不理想、处置环境待提升、处置过程信息不对称等问题。总结了 美国、欧洲、韩国、日本等国不良资产处置经验，以我国“建鑫2016年二期”零 售不良资产证券化为案例予以分析并提出建议。 本文的主要结论有:（1）通过分析零售不良资产成因，发现商业银行零售资产 的形成易受到经济周期及政策导向等客观因素影响，同时也受到借款主体信息不 对称及银行内控合规管理欠缺等主观因素影响。（2）总结美国、欧洲、韩国、日本 等国零售不良资产处置经验，发现政府均扮演着识别、防范不良资产形成并主导自 上而下不良资产处置的重要角色，银行多种模式相结合快速处置不良资产。（3）商 业银行处置零售不良资产可采用“零售不良资产标准化催清收”方案降低不良风险 发生率，也可以采用“好银行+坏银行”、“互联网+拍卖”、“零售不良资产证券化” 等模式集中快速处置。（4）通过对我国“建鑫2016年二期”不良资产证券化产品 进行分析，发现零售不良资产具有分散度高、可回收性强等特点，适合作为证券化 产品的基础资产。 关键词：商业银行；零售不良资产；金融脆弱性；信息不对称；资产证券化 北京交通大学硕士专业学位论文 ABSTRACT iv ABSTRACT According to the statistics of the China Banking and Insurance Regulatory Commission, the total balance of non-performing loans of China's commercial Banks in 2018 reached 2025.4 billion yuan, increased 18.74 percent from 2017, and the non-performing loan ratio reached 1.83 percent, increased 5.17 percent from 2017. China's non-performing loan ratio is much higher than of developed countries in Europe and North America such as the United States (1.1% in 2017) and the United Kingdom (0.7% in 2017), according to the report by the world bank. Similarly, in the sub-sector of retail non-performing assets, the total balance of retail non-performing loans of China's commercial Banks increased rapidly from 63.96 billion yuan in 2013 to 191.42 billion yuan in 2017, with an average growth rate of up to 50%. Rising non-performing bank assets will reduce the bank’s profitability, influence the bank’s capital adequacy, aggregate the asymmetry of bank assets business and liabilities business, and result in a decline of bank credit rating . Retail non-performing assets with the characteristic of low single amount, long time and high cost of disposal, is always the problem of commercial banks’ non-performing assets disposal practices. This thesis has obvious practical significance. There are many researches on the causes and disposal of banks' non-performing assets, most of which are based on the perspectives of macro economy and micro enterprises, and more applicable to the non-performing assets of corporate credit. There is a slight lack of researches on the retail non-performing assets with individuals as the main borrowers. Based on the financial fragility and information asymmetry as theoretical basis, this thesis summarized the retail non-performing assets forming factors including economic environment, policy guidance, the borrower subject factors, and the Banks themselves, etc., and together with the present situation of commercial bank’s non- performing assets disposal at the same time, pointed out the problems of the way to disposal is traditional, the disposal effect is not ideal, the disposal environment can be improved and the disposing information is asymmetry during disposing the banks’s non- performing assets. This paper summarized the experience of the disposal of non- performing assets in the United States, Europe, South Korea, Japan and other countries, and puts forward suggestions based on the analysis of the securities of non-performing assets of China's "jianxin phase ii 2016" retail assets. The main conclusions of this paper are as follows :(1) through the analysis of the causes of retail non-performing assets, it is found that the formation of retail assets in commercial Banks is easily affected by objective factors such as economic cycle and policy guidance, as well as subjective factors such as asymmetric information of borrowers and lack of compliance management of bank internal control. (2) summarized the experience of the disposal of non-performing assets in the US, Europe, South Korea, Japan and other countries, it is found that the government all plays an important role in identifying and preventing the formation of non-performing assets and leading the top-down disposal of non-performing assets, and the banks themselves quickly dispose of non-performing assets through a combination of various modes. (3) commercial Banks can adopt the scheme of "standardized collection of retail non-performing assets" to reduce the 北京交通大学硕士专业学位论文 ABSTRACT v incidence of non-performing assets, or adopt the modes of "good bank + bad bank", "Internet + auction" and "securitization of retail non-performing assets" to conduct centralized and rapid disposal. (4) through the analysis of the securitization products of non-performing assets of "jianxin phase ii 2016" in China, it is found that the retail non- performing assets have the characteristics of high dispersion degree and strong recyclability, which are suitable for being the basic assets of the securitization products. KEYWORDS：Commercial Banks; Retail non-performing loans; Financial fragility; Information asymmetry; Asset securitization 北京交通大学硕士专业学位论文 目录 vi 目录 摘要............................ III ABSTRACT ................ IV 1 绪论 ......................... 1 1.1 研究背景及意义 .............................. 1 1.2 商业银行不良资产现状 .................. 1 1.2.1 商业银行不良资产总体状况 .. 1 1.2.2 商业银行零售不良资产现状 .. 3 1.3 论文创新点 ....... 4 1.4 论文结构安排 ... 4 2 理论基础及文献综述 ............................ 6 2.1 不良资产相关概念及分类 .............. 6 2.1.1 不良资产界定 .......................... 6 2.1.2 不良资产分类 .......................... 6 2.2 不良资产处置的相关理论 .............. 8 2.2.1 金融脆弱性理论 ...................... 8 2.2.2 信息不对称理论 ...................... 9 2.2.3 资产证券化的金融创新理论 10 2.3 文献综述 ......... 11 2.3.1 不良资产成因研究 ................ 11 2.3.2 不良资产处置研究 ................ 12 2.3.3 资产证券化研究 .................... 13 3 商业银行零售不良资产成因与处置问题 ......................... 15 3.1 我国商业银行零售不良资产成因分析 ....................... 15 3.1.1 经济因素 . 15 3.1.2 政策因素 . 16 3.1.3 借款主体因素 ........................ 16 3.1.4 银行自身因素 ........................ 17 3.2 我国商业银行零售不良资产处置问题 ....................... 18 3.2.1 零售不良资产处置方式较传统 ........................... 18 北京交通大学硕士专业学位论文 目录 vii 3.2.2 零售不良资产处置效果不理想 ........................... 20 3.2.3 零售不良资产处置环境有待提升 ....................... 22 3.2.4 零售不良资产处置信息不对称问题 ................... 22 4 国外不良资产的处置经验及零售不良资产处置启示 ..... 24 4.1 美国不良资产处置经验 ................ 24 4.1.1 美国不良资产处置背景 ........ 24 4.1.2 美国不良资产处置对策 ........ 25 4.2 欧洲不良资产处置经验 ................ 2