RH租赁资产支持商业票据风险管理研究
研究生姓名：梅凯亮
导师姓名：贤成毅
学科：金融
研究方向：资产证券化
年级：20级
中文摘要
2020年 6月，我国银行间市场交易商协会发布《交易商协会创新推出 ABCP，服务
债券市场多元化投融资需求》，标志着资产支持商业票据作为一种新型的资产支持类融
资产品正式落地，“资产支持商业票据”（ Asset-backed Commercial Paper，以下简称
“ABCP”）相较于其他资产证券化模式，产品期限设计上具有更为灵活的选择，入池
资产端期限无需再与证券端进行匹配，这也是其相较其他证券化模式最大的不同。在目
前宏观政策调控的大背景下，融资渠道逐渐收窄，对于收入主要来自于息差的租赁行业
而言，发行 ABCP成为了其融资的优选之一。那么，融资租赁公司发行 ABCP产品存在
的风险及应对举措，成为了一个值得研究的话题。
本文采用案例研究法，选取“RH融资租赁有限公司”（以下简称“RH租赁”）发
行的“RH租赁 2020年度第一期新基建资产支持商业票据”（以下简称“RH租赁 ABCP”）
为研究对象，结合全面风险管理理论、风险收益均衡理论、内部控制理论，以风险衡量、
风险识别、风险评估三个方面为框架对 RH租赁资产支持商业票据产品的风险管理情况
进行案例分析，并对产品的风险按照各个环节进行分类，最后为 RH租赁发行 ABCP提
出优化建议。全文基于研究背景、文献综述，介绍资产支持商业票据的发展历程，通过
RH租赁 ABCP的案例介绍，借鉴融资租赁资产证券化理论及风险管理理论，对案例产
品的风险管理情况进行分析。首先，进行风险衡量，利用压力测试对承租人违约及逾期
风险、租赁利率风险对产品现金流的影响程度进行敏感性分析，再针对 ABCP的续发风
险进行压力测试；其次，进行风险识别，识别出 RH租赁 ABCP在组建资产池环节、发
行环节、后续管理环节、外部因素四个方面潜在的风险；再次，通过风险识别及衡量显
示 RH租赁需要较强的财务风险管控能力，进而使用 Z-score模型分析 RH租赁财务风
险，针对各个环节的潜在风险进行了风险评估；最后，得出结论并对其提出行之有效的
风险应对建议。
关键词：RH租赁资产支持商业票据风险管理
I

Research on Risk Management of RH Financial Leasing
Asset-backed Commercial Paper
Graduate student: Mei Kailiang
Supervisor: Xian Chengyi
Major: Finance
Research direction: Asset Securitization
Grate: 2020
Abstract
In June 2020, China's Association of Interbank Market Dealers released the “Association
of Dealers Innovatively Launches ABCP to Serve diversified Investment and Financing Needs
of Bond Market”, marking the formal landing of ABCP as a new type of Asset-backed
financing product. Compared with other securitization modes, Asset-backed Commercial
Paper (hereinafter referred to as the “ABCP”) has a more flexible choice in terms of product
maturity. The maturity of the Asset end of the pool does not need to be matched with that of
the security end, which is the biggest difference between ABCP and other securitization
modes. Under the background of macro policy regulation, financing channels are gradually
narrowing. For the leasing industry, whose income mainly comes from interest margin,
issuing ABCP has become one of the preferred financing options. Then, what are the risks of
the financial leasing industry issuing ABCP products? How to deal with it? This became a
topic worth studying.
In this paper, using the case method, select “RH Financial Leasing Co., Ltd.” (hereinafter
referred to as the “RH Financial Leasing”) issued by “RH Financial Leasing lease 2020 first
phase of the new infrastructure Asset-backed Commercial Paper” (hereinafter referred to as
the “RH Financial Leasing ABCP”) as the research object, combining the theory of
Comprehensive Risk Management, Risk Benefit Balance theory, the Internal Control theory,
Based on the framework of risk measurement, risk identification and risk assessment, this
paper analyzes the risk management of RH Financial Leasing ABCP products, classifies the
risks of the products according to each link, and finally puts forward optimization suggestions
II

for RH Financial Leasing to issue ABCP. Based on the research background and literature
review, this paper introduces the development process of ABCP, constructs the risk
management theory system of ABCP, and analyzes the risk management situation of case
products by referring to the risk management theory. First of all, risk measurement is carried
out, and sensitivity analysis is made on the impact of tenant default and overdue risk, lease
interest rate risk on product cash flow by stress test. Then stress test is carried out for ABCP
renewal risk. Secondly, risk identification is carried out to identify the potential risks of RH
Financial Leasing ABCP in four aspects: asset pool establishment, issuance, follow-up
management and external factors. Thirdly, through risk identification and measurement, it is
shown that RH Financial Leasing requires strong financial risk control ability, and then
Z-Score model is used to analyze RH Financial Leasing financial risk, and risk assessment is
carried out for potential risks in each link. Finally, conclusions are drawn and effective risk
countermeasures are put forward.
Key Word: RH Financial Leasing; Asset-backed Commercial Paper (ABCP); Risk
management
III
。。。以下略