“十五”期间中国信贷市场发展展望

“十五”期间,我国金融机构贷款总量将继续增长,但增幅有所回落,贷款在企业资金来源中所占的比重与贷款占金融机构资产总额的比重将趋于下降。贷款结构趋于优化,不良贷款比率趋于下降,非国有企业贷款和外币贷款的比重快速上升,信贷市场与证券市场的关键日趋紧密,信贷资产证券化趋势增强。     

信贷资产转让的法律风险分析与防范

信贷资产转让对于我国构建信贷资产二级市场和资产证券化市场都具有重要的意义。在我国现行法律体系和监管制度下,信贷资产转让业务面临三大法律风险：债权转让风险、债权归属风险和担保权益转让风险。这三大风险严重影响信贷资产的流动性,需要通过立法加以解决。     

Do significant risk warnings in annual reports increase corporate bond credit spreads? Evidence from China

Based on listed companies issuing bonds on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2017, this study analyzes the relationship between significant risk warnings in Chinese companies’ annual reports and corporate bond credit spreads. The main findings are as follows. First, in the Chinese market, “substantial warnings of significant risks” can significantly improve corporate bond credit spreads, reflecting the risk-warning effect; second, state-owned property rights weaken this effect, which only pertains to listed companies with poor risk management and low information quality; third, significant risk warnings increase investors’ heterogeneous beliefs, also affecting credit spreads; and fourth, through textual analysis, it is found that the corporate bond credit spread is greater when the disclosed risk factors are more pessimistic and less similar to those of the previous year. The findings of this paper help to enrich the literature on credit spreads and risk disclosure.     

Credit ratings and the cross-section of stock returns

Low credit risk firms realize higher returns than high credit risk firms. This is puzzling because investors seem to pay a premium for bearing credit risk. The credit risk effect manifests itself due to the poor performance of low-rated stocks (which account for 4.2% of total market capitalization) during periods of financial distress. Around rating downgrades, low-rated firms experience considerable negative returns amid strong institutional selling, whereas returns do not differ across credit risk groups in stable or improving credit conditions. The evidence for the credit risk effect points towards mispricing generated by retail investors and sustained by illiquidity and short sell constraints.     

大数据视阈下资产证券化基础资产风险重构--以互联网消费信贷信用分析为例

针对近年来我国互联网行业推出的互联网消费信贷以及2015年以来将消费者信贷资产证券化后向投资者推出的现象,本文立足于传统信贷风险的分析并同时考虑资产证券化会为消费者信贷带来的风险因素,力图探讨这类新兴互联网金融产品的风险控制问题,同时证明建立互联网征信系统的迫切性。在分析中涉及到对于目前我国征信系统的发展概况以及大数据时代之下互联网金融征信的发展可期的方向;并与美国新兴成熟互联网征信平台ZestFinance进行对比,旨在为我国互联网消费信贷资产证券化征信平台建立提出发展的思路。     

What influences banks’ choice of credit risk management practices? Theory and evidence

Banks use different risk management practices with varying levels of sophistication. This paper examines the factors that determine the choice of risk-management practices. In a theoretical model, we identify two main determinants for the choice of risk management tools: bank competition and sector concentration in the loan market. We empirically test the predictions of our model using hand-collected data on the credit risk management of 249 German savings banks. The results are in line with our theory: Competition pushes banks to implement advanced risk management practices. Sector concentration in the loan market promotes credit portfolio modeling, but it inhibits credit risk transfer.     

逆向选择与信用配给:中小企业融资难根源分析

文章通过中美中小企业融资的渠道和结构对比,分析中国中小企业融资困难的原因,并进一步通过两个模型解释资金借贷市场上的逆向选择问题和银行被迫采用的信用配给制度.文章最后提出了解决中小企业融资困难的一些建议.     

重启资产证券化与我国的发展路径

传统金融监管不能有效应对资产证券化风险,是导致2008年次贷危机的主因。资产证券化在一国金融市场中占据重要地位,其发起-分流业务模式引发的风险需要金融监管者通过强化金融中介的激励机制和信息披露制度予以解决。美国已通过金融监管改革,在更安全、稳固的基础上重启资产证券化市场。我国有必要立足国情,完善试点法制和发挥自律组织的作用,重启并推广风险可控的资产证券化模式,以受益其功用和加快多层次资本市场的建设。     

The market for credit default swaps: new insights into investors' use of accounting information?

The market for credit default swaps has developed into a well‐functioning, global multi‐trillion dollar market, wherein investors price and transfer corporate financial instruments on the basis of credit risk. This paper first summarizes the structure and growth of the market. Next, I introduce theory and evidence on how investors price credits risk and explain how the quality of financial statement information plays a unique role in the determination of credit spread. I then review the nascent empirical accounting literature on this topic. This review sheds light on several accounting research questions that might be understood better in the setting of the credit default swap market. The final section summarizes suggestions for future work.     

中国信用风险缓释工具创新试点最新进展

信用风险缓释工具（CRM）是2010年我国债券市场最重要的信用风险管理创新工具,它将短期融资券、中期票据等信用类债券的信用风险剥离定价,并转移给愿意承担风险的投资者。本文通过对CRM试点过程中存在的投资主体单一、市场机制不完善及外部环境建设滞后等问题进行了深度剖析,并有针对性地从投资者培育、信用评级与定价、做市商机制、交易信息披露、信用事件处理、以及监管会计税收法律制度建设等方面提出政策建议,以利于CRM市场的可持续发展。     

中小企业信用担保风险形成的内在机制研究

从信息经济学角度讨论了金融市场中的信息不对称理论,接着对信息不对称导致中小企业信用担保风险形成的内在机制进行了深入研究,并基于风险识别、风险预警、科学运营、风险内部分散、风险内部转移、风险内部补偿等分目标,构建了中小企业信用担保风险的内部控制机制的整体架构,为中小企业信用担保的科学化实践提供参考.     

中债估值识别了债券信用风险吗？——基于跳跃视角的实证分析

本文以2011—2018年中国A股上市公司发行的一般公司债为样本,探究了中债估值跳跃对债券信用利差的影响及作用机制,以此说明中债估值对债券信用风险的识别作用。研究发现:中债估值跳跃能够显著提高债券信用利差,其中,中债估值上跳降低了信用利差,下跳提高了信用利差,且相对于上跳,下跳对信用利差的作用更大。异质性分析发现:中债估值跳跃对信用利差的作用在机构投资者中较大,同时在信息不对称性较严重、流动性较差及违约风险较高的债券中也较大。进一步研究发现:中债估值跳跃不仅包含了公共信息,还含有私有信息,并能改善股票分析师预测表现。本研究说明中债估值能够识别债券信用风险,具有信息含量,对于债券市场信息环境建设和系统性金融风险防范具有重要意义。     

深交所信息披露考评公告的市场效应研究

本文在对深交所信息披露考评进行分析的基础上,采用事件研究方法对考评公告的市场效应进行了实证分析。研究发现,2002～2006年度,市场对信息披露公告未做出显著反应;但2007年度,市场针对不同的信息披露考评等级做出了显著的理性反应。这一变化,反映了投资者对信息披露质量的关注程度和对深交所信息披露考评机制的认可程度在不断提高。     

商业银行表外业务风险管理及信息披露

商业银行的表外业务一直以低风险、低成本、高利润成为各国银行业竞争的焦点。我国银行业如何在金融市场逐步放开的情况下 ,在同国外银行的竞争中立于不败之地 ,表外业务的发展状况、风险管理程度及信息披露的完善程度将发挥非常重要的作用。     

银行信贷资产证券化现实意义与发展建议

由于信贷资产证券化具有合理配置资源、优化资产结构、分散经营风险、提供资金流动性等众多优势,成为商业银行加强研究、积极拓展的重点业务.本文阐述了信贷资产证券化的含义和发展进程,并就其现实意义做了深入分析,最后立足商业银行视角提出了发展建议.     

资产证券化的运行机理及其经济效应

资产证券化是20世纪最重大的金融创新成果之一,过去几十年间它获得了广泛应用和巨大成功,在次贷危机中却遭受重大挫折并给世界经济造成严重的负面冲击。本文通过理清资产证券化从资产的真实销售到经过各种技术处理变成能够在资本市场上具有投资特征的证券的过程,分析资产证券化给交易各方带来的收益和影响,将其促进效率的一面和增加风险的一面进行比较,寻求一种能够改进其现有运行机制效率的帕累托改进。