疫情下资产证券化市场的分析框架  

An Analysis of Asset Securitization in an Epidemic

作　　者：张立 尹琦 郭杰群 

机构地区：[1]云南信托固收部 [2]厦门国金 [3]宁波(中国)供应链创新学院 [4]麻名理工学院运输与物流中心

出　　处：《金融市场研究》2020年第5期53-69,共17页Financial Market Research

摘　　要：资产支持证券是连接消费者、企业与资本市场的重要工具,但在不确定的市场波动中也会存在一定的风险。本文在分析疫情不同阶段中资产支持证券阶段风险表现特征的基础上,对个人消费类资产以及以商业地产为代表的经营性资产进行了压力测试;并在分析美国相关救市举措之后,提出对我国市场发展的建议。Asset-back securitization is an important financial tool linking consumers,small and medium enterprises and capital markets.However,it also brings financial risks at times of market volatility.After presenting ABS risk characteristics for different stages of an epidemic,we conduct stress tests for two types of ABS instruments,namely consumer asset-backed securities and commercial mortgage-backed securities.The paper further proposes suggestions for the development of China’s ABS market.

关 键 词：资产证券化 新冠肺炎疫情 压力测试 违约 

分 类 号：F832.51[经济管理—金融学]