摘要
在风险自留规则下,以成本最小化为目标,构建商业银行应对流动性风险和信用风险冲击的资产证券化择机模型,研究风险自留规则对资产证券化择机的影响及相应融资策略。结果表明:同等融资需求下风险自留导致更高的基础资产投入量,提高证券化融资总成本,降低商业银行证券化融资效用;风险自留显著影响商业银行资产证券化融资择机策略,使得资产证券化替代附属债务融资的条件变得更加严格,不同情境下分别存在单一融资策略、完全替代策略和混合融资策略;风险自留会削弱商业银行资产证券化的资本管理动机,增强流动性管理动机。
Under risk retention rules,with the purpose to minimize cost,this paper builds an asset securitization decision-making model for commercial banks to deal with the impact of liquidity risk and credit risk,to study the impact of risk retention rules on asset securitization timing and corresponding financing strategies.The model shows that the risk retention under the same financing demand will lead to higher basic assets input,increase the total financing cost of securitization,and reduce the financing efficiency of commercial banks.The risk retention has a significant impact on strategy of asset securitization financing choice of commercial banks,makes the conditions for asset securitization to replace affiliated debt financing more stringent,and there are single financing strategy,complete substitution strategy and mixed financing strategy respectively under different circumstances.The risk retention will weaken capital management motives of asset securitization in commercial banks,and enhance motives for liquidity management.
作者
吴庭
叶蜀君
WU Ting;YE ShuJun(School of Economics and Management, Beijing Jiaotong University, Beijing 100044)
出处
《财贸研究》
CSSCI
北大核心
2020年第6期59-67,84,共10页
Finance and Trade Research
基金
国家社会科学基金重大项目“促进科技与经济深度融合的体制机制研究”(16ZDA011)。
关键词
资产证券化
流动性管理
资本管理
择机
风险自留
asset securitization
liquidity management
capital management
motive
risk retention
