伴客户成长的小企业资产证券化

通过资产证券化方式解决小企业融资难题，是各国近年不断探索和实践的创新途径。商业银行在小企业资产证券化业务中可扮演的角色较多，包括发起人、过桥资金组织、项目管理人、信用增级、掉期交易提供等等。从简单的单个发起人、自身资金过桥贷款的现金CDO（Collateralised Debt Obligations，债务抵押证券），到多个发起人、银团贷款过桥的现金CDO，最后到纯信用风险交易的合成CDO，银行在小企业资产证券化的探索道路中，将伴随客户成长的全过程。     

个人住房贷款与家庭矛盾的案例分析

<正>个人住房抵押贷款(以下简称个人房贷)业务的开展,在改善我国居民居住条件的同时,也带来银行的资产业务规模扩大并成为新的利润增长点。据报道,个人住房抵押贷款约占银行资产业务的15%~30%,一般大城市的比例大一些,随着住房的刚性需求变化以及国家出台的一系列调控政策,其个人房贷比例将在长时间内趋于稳定。由于个人房贷具有时效性长、不易识别、影响因素多、风险链条长等风险特征,此项业务风险将长时期续存于银行经营之中,正确识别每     

个人住房贷款与家庭矛盾的案例分析

<正>个人住房抵押贷款(以下简称个人房贷)业务的开展,在改善我国居民居住条件的同时,也带来银行的资产业务规模扩大并成为新的利润增长点。据报道,个人住房抵押贷款约占银行资产业务的15%³0%,一般大城市的比例大一些,随着住房的刚性需求变化以及国家出台的一系列调控政策,其个人房贷比例将在长时间内趋于稳定。由于个人房贷具有时效性长、不易识别、影响因素多、风险链条长等风险特征,此项业务风险将长时期续存于银行经营之中,正确识别每     

合成资产证券化在我国的运用

合成资产证券化（Synthetic Securitization）的产生大概始于20世纪90年代中期的美国,当时证券化在美国的发展已经十分的成熟,然而商业银行在进行证券化的时候经常要面临的一个问题就是：当银行将贷款资产售卖给特别目的机构SPV的时候,等于将自身的客户转让给了SPV,虽然从实质上来说很多SPV都是由发起行成立的,但银行仍然会面临着客户关系遭到损害的危险。于是一种不需要将资产池（Assets Pool）转售给SPV但是仍然可以将贷款的信用风险和风险利得有效转让出去的证券化方法便应运而生了,这就是合成资产证券化（下文称为“合成证券化”）。     

商业银行紧刹房贷战车

一位银行人士认为，如果只有一套住房的房贷客户失去还贷能力，银行只能要求法院查封，而无法变卖房产以收回贷款，这也就意味着银行对该房屋所享有的抵押权将无法实现，也使得银行感觉第一套房按揭贷款的风险大大增加。     

金融机构动态

中行获准开办外币兑人民币掉期业务；建行房贷证券化产品将“瘦身”；上海银行将设立小企业贷款专业支行；中金外汇资产管理创新方案获准；交行原定“长期股权激励计划”即将实施；汇达资产托管公司开业；汇改对银行资产结构影响有限；外资私人银行进入高端理财领域。     

个人住房按揭贷款风险防范

当个人住房按揭贷款作为一项低风险业务处于上升期时，房贷风险容易被不断扩大的贷款基数所稀释、掩盖．而房贷一旦紧缩．该业务中存在的问题和风险就将逐步释放出来。从国外银行的经验分析，房贷风险一般在贷款发放后的3～8年中显现出来。因此，正确分析当前个人住房按揭贷款业务的发展趋势，把握好业务发展与风险防范的关系．尤其是在银行内部加强管理、严密环节、强化制约，架构起个人住房按揭贷款业务风险防范体系，是亟待解决的一个问题。     

债务抵押凭证（CDO）的风险与信用评级研究

债务抵押凭证（CDO）是金融市场重要的风险转移工具,具有信用级别高、收益水平高的特征,其市场规模扩展迅速。但这种金融创新产品因较复杂的基础资产和分层结构,产生出异于传统公司债券的风险特征。很多投资者没有真正了解其潜在风险,且信用评级质量不佳,致使CDO投资者在次贷危机中遭受严重损失甚至破产。因此有必要深入了解CDO所具有的风险特征和CDO产品信用评级的一般方法,纠正现有评级方法的不足,分析其对次贷危机的影响。     

房地产企业风险日趋演变为银行不良资产——对衡阳市房地产贷款风险情况的调查

一、衡阳市房地产企业信贷风险现状及特点据调查,衡阳市目前共有房地产开发企业207家,除30家企业属外地资本投资开发外,80%以上企业(168家)与当地银行发生过借贷关系,主要是由5家银行提供贷款,截止2007年6月末,该5家银行对房地产开发企业贷款余额达19亿多元,比同期增长10%以上,随着贷款投入增加,房贷风险日趋积累,不良房贷率达到28.7%,如果加上被剥离的不良房贷,实际房贷不良率高达40%以上。从房贷风险总量与结构分析,主要有以下特点。(一)房贷风险已上升为银行最主要的信贷风险据调查,近几年来房地产贷款风险一直处于高位运行,截止2007年6月末,5家银行不良房贷率达到28.7%,说明近三分之一的房贷最终成为不良,房贷风险随着房价攀升给企业带来暴利的同时却与日俱增。在该市前10户不良贷款企业中,房地产开发企业占据4户,说明房地产企业贷款风险已成为银行最主要的信贷风险。从房贷项目构成看,风险高度集中在房地产开发类贷款,5家银行房地产开发贷款不良率(房地产开发贷款占房贷比率)为40%以上,其中:住房开发贷款不良率和商业用房开发贷款不良率均为30%以上,房产开发流动资金贷款不良率接近50%,其他房地产贷款不良...     

美国经济、房地产及次级债券市场走势分析

2007年3月，以美国第二大次级抵押贷款公司新世纪金融公司濒临破产为标志，美国次级住房抵押贷款（简称次贷）危机开始爆发。2007年7月后，美国住房抵押贷款投资公司和贝尔斯登、法国巴黎银行等金融机构相继申请破产保护或宣布出现财务困难，发达国家金融市场出现剧烈动荡，英国Northern Rock银行遭遇挤兑风潮，次贷危机进一步恶化。次贷风险大规模暴露以来，不仅使美国金融机构住房抵押贷款损失大幅度增加，也使许多持有美国住房抵押贷款支持债券（简称MBS）和相关债务抵押债券（简称CDO，以下将这两类债券统称为“次级债”）的金融机构出现较大亏损。基于美国经济在全球的重要影响力，正确判断美国经济、房地产市场和相关债券市场走势，对于准确把握国际金融市场变化趋势，有着十分重要的意义。     

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

We use a contingent claims framework for valuing the the default and prepayment embedded options in certain British fixed-rate endowment mortgages, with a (capped) mortgage indemnity guarantee (MIG). This methodology provides a template for the borrower, lender, and insurer to compare mortgage terms, including the fairness of contract rates, arrangement fees, prepayment penalties, any MIG premiums required, and co-insurance exposure. With empirical inputs, this model may eventually be useful as a mark-to-value proxy for all parties, as expected parameters change (especially interest rate and house price levels, and expected future volatilities), for purposes of determining valued added accounting, appropriate reserves, and indeed for setting premiums and business drivers. Fixed-rate endowment mortgages differ from fixed-rate repayment mortgages primarily because, in the event of early termination, the amount owed by the borrower is a function of the evolution of the term structure of interest rates, whereas for a repayment mortgage it is pre-determined. We compare endownment and repayment mortgages for different levels of loan-to-value ratios, interest rate and house price volatilities.     

Mortgage defaults

A life-cycle model is developed in which households face income and house-price risk and buy houses with mortgages. This model, which accounts for key features in U.S. data, is used as a laboratory for prudential policy. Recourse mortgages increase the cost of default but also lower equity and increase payments. The effect on default is nonmonotonic. Loan-to-value (LTV) limits increase equity and lower the default rate, with negligible effects on housing demand. Combining recourse mortgages and LTV limits reduces the default rate while boosting housing demand. Together, they also prevent spikes in default after large declines in aggregate house prices.     

Mortgage convexity

Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS duration function as large-scale shocks to the quantity of interest rate risk that must be borne by professional bond investors. I develop a simple model in which the risk tolerance of bond investors is limited in the short run, so these fluctuations in MBS duration generate significant variation in bond risk premia. Specifically, bond risk premia are high when aggregate MBS duration is high. The model offers an explanation for why long-term rates could appear to be excessively sensitive to movements in short rates and explains how changes in MBS duration act as a positive-feedback mechanism that amplifies interest rate volatility. I find strong support for these predictions in the time series of US government bond returns.     

Mortgage timing

We study how the term structure of interest rates relates to mortgage choice at both household and aggregate levels. A simple utility framework of mortgage choice points to the long-term bond risk premium as distinct from the yield spread and the long yield as a theoretical determinant of mortgage choice: when the bond risk premium is high, fixed-rate mortgage payments are high, making adjustable-rate mortgages more attractive. We confirm empirically that the bulk of the time variation in both aggregate and loan-level mortgage choice can be explained by time variation in the bond risk premium, whether bond risk premia are measured using forecasters’ data, a vector autoregressive (VAR) term structure model, or a simple household decision rule based on adaptive expectations. The household decision rule moves in lock-step with mortgage choice, lending credibility to a theory of strategic mortgage timing by households.     

固定利率住房抵押贷款违约行为及其定价研究

固定利率住房抵押贷款的信用风险主要是违约风险,基于理性期权的定价模型往往会低估借款人的违约概率.通过分析违约成本及非理性违约因素,可以确定借款人违约时贷款机构收回的现金流,得到固定利率住房抵押贷款定价的期望值模型,并得出模型的求解方法.     

Mortgage Default during the U.S. Mortgage Crisis

Which theory can quantitatively explain the rise in mortgage defaults during the U.S. mortgage crisis? This paper finds that the double‐trigger hypothesis, which attributes mortgage default to the joint occurrence of negative equity and a life event such as unemployment, is consistent with the evidence. By contrast, a traditional frictionless default model strongly overpredicts the increase in default rates. This paper provides microfoundations for double‐trigger behavior in a model where unemployment causes liquidity problems for the borrower. This framework implies that mortgage crises may be mitigated at a lower cost by bailing out borrowers instead of lenders.     

动产抵押的新拓展:枣庄活体畜禽抵押贷款案例

加大对畜牧业的信贷投入、缓解融资困境已成为调整农村产业结构、促进农村经济发展的重要内容.枣庄市峄城区农联社创办了"活体畜禽抵押"贷款新模式,为破解畜禽养殖企业融资困境提供了一条新途径.     

典当:枯木逢春

一度绝迹 典当,是一个古老的行业,堪称金融业的鼻祖,迄今已有1700余年的历史了. 新中国建立后,典当行一度绝迹.1987年12月,四川成都开办了新中国第一家典当行--华茂典当服务商社,率先恢复了古老的典当行.自此,开办典当行之风大兴,大有席卷全国之势,最盛时的1993年全国各地开设了3000多家典当行,几经沉浮,如今尚存1000余家.这其中的大起大落,也与对典当行定位的认识不清、把握不准有关.     

抵押选择性风险转移产品

选择性风格转移产品（Alternative Risk Transfer，简称ART）的发展，是近年来引起国际保险界广泛关注的一个问题。ART产品之所以兴起，其根本原因就在于全球经济的迅速发展，适应于广大股东对新型保险产品的迫切需求，代表着21世纪保险业发展的新趋势。     

Optimal Mortgage Contract Choice Decision in the Presence of Pay Option Adjustable Rate Mortgage and the Balloon Mortgage

The unprecedented run-up in global house prices of the 2000s was preceded by a revolution in U.S. mortgage markets in which borrowers faced a plethora of mortgages to choose from collectively known as nontraditional mortgages (NTMs), whose poor performance helped ignite the global financial crisis in 2007. This paper studies the choice of mortgage contracts in an expanded framework where the menu of contracts includes the pay option adjustable rate mortgage (PO-ARM), and the balloon mortgage (BM), alongside the traditional long horizon fixed rate mortgage (FRM) and the short horizon regular ARM. The inclusion of the PO-ARM is based on the fact it is the most controversial and perhaps the riskiest of the NTMs, whereas the BM has not been analyzed in the literature despite its different risk-sharing arrangement and long vintage. Our inclusive model relates the structural differences of these contracts to the horizon risk management problems and affordability constraints faced by the households that differ in terms of expected mobility. The numerical solutions of the model generates a number of interesting results suggesting that households select mortgage contracts to match their horizon, manage horizon risk and mitigate liquidity or affordability constraints they face. From a risk management and welfare perspectives, we find that the optimal contract for households with shorter horizons, specifically households who expect to move house once every 1 to 2 years, is the PO-ARM. Beyond 2 years the welfare advantage of the PO-ARM diminishes and BM becomes the more optimal contract up to 5-year horizon. Overall, the results suggest that households are neither as risk averse as the selection of the FRM would suggest, nor are they as risk-seeking as the selection of PO-ARM or regular ARM would suggest. The results also suggest that the exuberance demonstrated for NTMs by borrowers, especially PO-ARMs, may be both rational and irrational.