基于抵押物处置风险的不良贷款证券化研究——以某国有商业银行的个人住房贷款资产池为例  

Securitization of NPL Based on Collateral Disposal Risk:Case from Asset Pool of Residential Mortgage Loans of a State-owned Commercial Bank

作　　者：张小茜[1] 党春辉 ZHANG Xiaoqian;DANG Chunhui(CRPE/School of Economics/Academy of Financial Research,Zhejiang Universit)

机构地区：[1]浙江大学民营经济研究中心/经济学院/金融研究院,浙江杭州310027

出　　处：《金融研究》2018年第8期102-119,共18页Journal of Financial Research

基　　金：教育部重点研究基地重大项目(14JJD790010);国家自然科学基金面上项目(71472167)的资助

摘　　要：针对债务人已违约的住房抵押贷款,本文提出从抵押物处置角度考虑其变现回收风险的资产处置方案。采用现金流贴现法测算违约损失率,发现回收资金现值对于抵押物处置期限的波动较为敏感。以测算贷款的违约损失率为核心,利用A银行已有抵押物处置历史记录,统计得到抵押物处置的回收期限概率分布密度。蒙特卡罗模拟结果显示,基于该分布对欲处置的不良贷款去除极端回收状况的损失率也近似服从正态分布特征。本文提出基于贷款分组的改进Markowitz资产组合方法,通过构建分组矩阵得到入池资产的组成比例。进一步考虑资产池出售时券商利润抽取,运用供需均衡分析资产池预期损失率和债券发行利率的确定机制,并针对违约相关性进行数值模拟检验了模型的稳健性。This paper introduces a collateral disposal method to deal with the nonperforming loans of defaulted mortgages. The default rate is calculated by discounted cash flow, finding that the present value of recovered fund is quite sensitive to the fluctuation of the disposal period. Probabilistic density of disposal duration is measured using the historical disposal records from a state-owned bank. Monte Carlo simulation results imply that the non-extreme recovered loss given defaults of the non-performing loans approximately obey normal distributions. The Markowitz portfolio theory is modified by grouping the loans into matrix and then obtains the proportion of each asset group. Based on the consideration of the profit extraction and application of the broker supply and demand equilibrium analysis method, this paper elaborated the expected LGD of asset pool and bond issuance interest rate determination mechanism. Finally, considering the correlated default into account, the simulations on different correlations indicate that our conclusion is robust.

关 键 词：不良贷款证券化 蒙特卡罗模拟 Markowitz资产组合理论 违约相关性 

分 类 号：F299.23[经济管理—国民经济] F832.4