资产证券化信用提高技术比较研究

资产证券化（Asset Securitization）是20世纪金融领域最重大的创新活动之一，它的优越之处在于可以为发起人（originator）提供更加有效、低成本的筹资渠道。通过资产证券化筹资比通过银行或其它资本市场筹资的成本要低许多，这主要是因为发起人通过资产证券化发行的证券具有比其他长期信用工具更高的信用等级，信用等级越高，发起人支付给投资的利息就越低，从而降低筹资成本。由于资产支持证券（Asset-Backed Securities）的违约、拖欠或偿付期与特设机构（SPecial PurPose Vehicle，简称SPV）安排的偿付期不相配合都会给投资带来损失，此时经信用评级，该证券得到的信用级别往往并不理想，因而很难以一个理想的价格在证券市场上销售，因此需要对资产支持证券进行信用提高（credit enhancement）经过信用提高的资产支持证券可明显提高定价和上市能力，降低发行成本。     

资产证券化案例分析——开元信贷资产支持证券案例

一、开元证券发行背景、发行方式 资产证券化在美国及其他发达国家已经发展为成熟的金融衍生品的同时，我国的资产证券化市场仍然是一片空白。虽然相关的讨论在国内理论界已经进行了很长一段时间，但是真正的破冰之行还是从2005年底国家开发银行（以下简称“国开行”）的开元信贷资产支持证券发行开始的。     

银行住房贷款资产的信托化运作

资产证券化是始发行机构以非抵押的自存收益性资产出售或转让给发行机构,发行机构将同质性收益性资产现金流进行组合和打包,使其转化为可进行市场流通的证券形式,然后通过必要的金融中介机构推销给各方面投资者的过程或趋势.     

我国资产支持证券的特征及其发展建议

2005年12月15日，首期开元信贷资产支持证券（MBS）和建元个人住房抵押贷款支持证券（ABS）在银行间市场顺利发行，这是我国首批政策规范下的资产支持证券，标志着我国信贷资产证券化试点工作取得了阶段性成果。此次试点推出的两只证券均以信贷资产为突破口，即开元证券和建元证券分别以国家开发银行发放的公司贷款和中国建设银行发放的个人住房抵押贷款为支持资产，统称信贷资产支持证券。     

我国固定收益证券中的资产支持证券优势研究

我国于2005年12月由国家开发银行在银行间债券市场成功发行首单信贷资产支持证券以来,资产支持证券在我国的发展如雨后春笋,目前规模可观,是我国证券市场的重要组成部分之一.本文主要论述固定收益证券之一的资产支持证券在我国发展的现状,最后系统性地论述我国资产支持证券的优势.     

从美国次贷危机看我国银行业的全面市场风险问题

全球金融市场中的美国次贷危机,其作用机理是在房地产高涨时期。商业银行大量发放住房抵押贷款,并通过资产证券化手段。把这些贷款打包成抵押贷款支持证券、资产支持证券等债券,发行到债券市场。众多的投资银行、商业银行和基金以为证券提供担保或者直接购买的形式参与到这些证券的发行和交易中。     

信贷资产证券化走向常态

国庆节前,中国农业发展银行的12．74亿元“发元信贷资产证券”在京成功发行。这是农发行首次发行信贷资产支持证券,也是国务院决定进一步扩大信贷资产证券化试点以来又一次涉足这一领域。     

资产证券化：让更多的资产流动起来

随着国家开发银行和建设银行试点发行开元、建元资产证券的成功，我国的信贷资产证券化取得了阶段性成果，该文从融资和搞活资产存量的角度分析了资产证券化的意义，分析了我国的资产证券化首先从银行信贷资产起步的原因，指出今后应逐步深化资产证券化，使更多的资产流动起来。     

信贷资产证券化常规化发展面临的瓶颈及化解措施

本文基于对发行情况的梳理,以主要参与方的实际需求和发展约束为切入点,研究信贷资产证券化常规化发展所面临的主要瓶颈,分析认为瓶颈主要表现为发起机构受信贷资金相对充裕、基础资产质量受限、发行成本较高等因素影响,参与动力明显不足;投资机构受发行市场分割、信贷资产支持证券流动性较低等因素影响,投资需求受到抑制;受托机构核心技术参与度不高、缺乏公开市场发行资格与经验,发挥作用极为有限.在此基础上,本文提出应适时启动不良资产证券化、完善信贷资产证券化税收优惠政策、探索信贷资产支持证券在交易所发行以及鼓励受托机构获得公开市场承销资格等化解措施.     

资产证券化：银行监管者的视角

以国家开发银行和中国建设银行的首批资产支持证券在银行间债券市场发行为标志，中国银行业的资产证券化也终于从多年的理论研究走向了实践，由此揭开了中国银行业开展资产证券化业务的新篇章。     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

Properties of time-series estimates of degree of leverage measures

Empirical studies suggest that time-series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter-intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.     

浅议金融机构的举证责任

金融纠纷案件是当事人以存单或进账单、对账单、存款合同、保险单、票据、证券等凭证为主要证据向人民法院提出诉讼的案件,对于不同种类金融纠纷的当事人的举证责任,我国现行的金融法律、法规及司法解释有不同的规定。由于金融机构的特殊法律地位,发生金融纠纷时存在有关当事人将最后偿付风险转移给金融机构承担的主观故意,在客观上会使金融机构难以提供相应的证据来对抗不法债权人的诉讼请求,而导致金融机构败诉。为此,对金融诉讼案件中金融机构的举证责任加以研究具有重要的实践意义。     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…     

银行管理信息平台建设发展的思考

一、目前国内银行IT发展现状及面临的问题 银行数据集中工作的完成,标志着银行的业务由电子化建设阶段转入信息化建设阶段.一方面银行数据的集中提供了丰富全面的基础数据,面对日益庞大的数据源,如何将数字转化为对银行有用的信息,并从中发现知识,为银行的经营决策提供支持,是摆在银行IT人员面前的一个亟待解决的问题.另一方面用户对银行信息的需求日益增长,如果银行没有一套完整、实用的信息管理系统,将对业务发展非常不利.南京爱立信公司倒戈花旗银行事件曾经轰动一时,其中一个重要原因就是中国本地银行不能满足爱立信全球总部对南京爱立信公司的要求:每周财务上报和每天贷款限额管理.这一事件为中国商业银行的未来发展敲响了警钟,如果不加快管理信息系统的开发,迅速提升业务管理水平,类似的事件还会接连不断地发生,并最终导致国内商业银行在同国外商业银行的竞争中全面溃败.