刚性兑付环境下信贷资产转让对商业银行风险偏好的影响研究  

Research on the Impact of Credit Asset Transfer on Commercial Bank's Risk Preference

作　　者：赵金鑫 王勇 杨庆运 

机构地区：[1]中国社会科学院金融研究所博士后科研流动站 [2]中国华融资产管理公司博士后科研工作站 [3]清华大学社会科学学院经济学研究所 [4]中银基金管理有限公司

出　　处：《投资研究》2017年第8期28-38,共11页Review of Investment Studies

摘　　要：本文通过建立商业银行投融资静态最优化模型,讨论了在我国特有的刚性兑付约束条件下,信贷资产转让对银行投资风险偏好的影响。研究发现:在刚性兑付约束下,由于吸储和信贷资产转让的成本不同,银行选择两种融资方式的比例不同,也影响其投资风险偏好;当打破刚性兑付约束后,融资成本只影响银行选择两种融资方式的比例。并且,持有债券劣后级的监管措施可降低银行的投资风险偏好,但大型银行依然有过度资产转让的道德风险存在。Through an optimization model of commercial bank＇ s financing strategy, this paper demonstrates the impact of credit asset transfer and possessing inferior-level bonds on bank＇s asset-liability management and investment risk preference. The study finds that the cost of deposit and assets transfer affects the ratio between the two financing methods, and then affecting the banks＇ investment risk preference when banks have the implicit guarantee constraints. However, the cost of two financing methods only has influence on the financing ratio, while banks＇ investment preference is not affected when the implicit guarantee constraints do not exist. Meanwhile the requirement for commercial bank to possess inferior-level bonds can reduce their investment risk preference effectively, but the possibility of moral hazard of excessive credit-asset transfer banks that still exists in major commercial banks.

关 键 词：刚性兑付 信贷资产转让 资产证券化 劣后级债券 

分 类 号：F832.4[经济管理—金融学]