摘 要
資產(chǎn)證券化是近年來世界金融領(lǐng)域最重大和發(fā)展最快的金融創(chuàng)新工具之一。它起源于美國，又在世界范圍內(nèi)推廣，已在國外發(fā)展了三十多年，可以為我國企業(yè)解決融資難題提供有益幫助，是拓寬融資渠道的有效補(bǔ)充。企業(yè)資產(chǎn)證券化融資既是對(duì)企業(yè)已有存量資產(chǎn)的優(yōu)化配置，又能在不增加企業(yè)負(fù)債或資產(chǎn)的前提下實(shí)現(xiàn)融資計(jì)劃。而且企業(yè)資產(chǎn)證券化特有的交易結(jié)構(gòu)和技術(shù)實(shí)現(xiàn)了企業(yè)與投資者之間的破產(chǎn)隔離，使企業(yè)和投資者可以突破股權(quán)融資或債權(quán)融資所形成的直接投資與被投資關(guān)系，在更大的范圍內(nèi)滿足融資和投資需求，實(shí)現(xiàn)資源的優(yōu)化配置。
與發(fā)達(dá)國家相比，由于獨(dú)特的金融體制和經(jīng)濟(jì)環(huán)境，我國無論是在理論研究還是在實(shí)踐運(yùn)用上，目前都還處于相對(duì)落后的階段，而且研究的范圍比較狹窄，主要集中在信貸資產(chǎn)證券化和不良資產(chǎn)證券化兩類，對(duì)企業(yè)資產(chǎn)證券化涉及不多。如何借鑒國外先進(jìn)經(jīng)驗(yàn)并結(jié)合我國實(shí)際，切實(shí)推進(jìn)資產(chǎn)證券化在我國的發(fā)展，是當(dāng)今政府部門、各金融機(jī)構(gòu)以及學(xué)術(shù)界等各界人士關(guān)注并為之努力的課題。所以，本文對(duì)我國目前資產(chǎn)證券化的發(fā)展情況進(jìn)行了研究，希望為我國企業(yè)開展資產(chǎn)證券化提供一些有益的思路。
本文首先對(duì)資產(chǎn)證券化國內(nèi)外研究現(xiàn)狀進(jìn)行了回顧，得出本文的研究重點(diǎn)是在資產(chǎn)證券化模式和定價(jià)模型的選擇上。接著介紹了資產(chǎn)證券化的一般原理和基本流程，企業(yè)資產(chǎn)證券化的特點(diǎn)與優(yōu)勢(shì)，為下文提供理論基礎(chǔ)。然后本文對(duì)基礎(chǔ)資產(chǎn)的選擇和SPV的設(shè)立進(jìn)行分析，并在對(duì)現(xiàn)有專項(xiàng)資產(chǎn)管理計(jì)劃進(jìn)行研究的基礎(chǔ)上，提出企業(yè)資產(chǎn)證券化的可行模式。另外，通過對(duì)證券化資產(chǎn)的定價(jià)模型的對(duì)比分析，揚(yáng)長避短，提出利率二叉樹模型。選取江蘇吳中集團(tuán)BT項(xiàng)目回購款、南通天電銷售資產(chǎn)、南京城建污水處理收費(fèi)資產(chǎn)三個(gè)證券化項(xiàng)目，運(yùn)用二叉樹模型進(jìn)行定價(jià)，并分析其定價(jià)的合理性。最后，指出目前企業(yè)資產(chǎn)證券化應(yīng)用的相關(guān)環(huán)境，指出在法律、會(huì)計(jì)、稅收、市場(chǎng)環(huán)境和監(jiān)管環(huán)境方面存在的不足，并提出對(duì)策和建議。

關(guān)鍵詞 資產(chǎn)證券化；破產(chǎn)隔離；定價(jià)模型；二叉樹





Abstract
Asset-backed Securitization is one of the most important and fastest growing financial tools in the word of financial field. It originated in USA, and promoted in the worldwide for nearly thirty years. It is helpful for Chinese enterprises to expand their financing channels and solve the financing problem. ABS can optimize enterprises’ stock assets realize financing plan without add to Assets or liabilities. The special trade structure and technology of ABS realizes the bankruptcy isolation between enterprises and investors. It makes enterprises and investors break through the relationship of equity financing or debt financing, meets the financing and investing demand in the greater scope, optimizes the allocation of resources.
Compared with the developed countries, due to the unique financial system and economic environment, our country is falling behind whether in theory or in practice. And the study of ABS is narrow, mainly concentrating on credit asset securitization and bad asset securitization, less on enterprise ABS. How to learn from foreign advanced experience and combine with the reality of our country, and to promote ABS in our country is the subject of the government financial institutions and academics. So, the thesis studies the development of ABS, hope to provide some useful ideas to help develop ABS.
The thesis firstly reviews the current research at home and abroad, drawing the point of this thesis is how to choose operating mode and pricing mode. Then introduces the general principles and basic processes the Characteristics and advantages of ABS, to provide theoretical basis for below. And then, it analyzes the selection of based assets and the establishment of SPV, and put forward the feasible mode of ABS under the analysis of Special-Asset Management Plan. In addition, through the comparison of different pricing modes, adopting their good points and avoid his shortcomings, put forward the Binary Tree of interest rates, and used in the projects of Wuzhong, Ningjian and Tiandian, analyzing the rationality of pricing. At last, points out the shortcomings in legal, accounting, taxation, market environment and regulatory environment of ABS, and propose the countermeasure and the suggestion.

Key words Asset-backed Securitization（ABS）, bankruptcy isolation,
pricing mode，Binary Tree
目 錄
摘 要 I
Abstract II
目 錄 III
第1章 緒論 1
1.1 研究背景與意義 1
1.1.2 研究背景 1
1.1.2 研究意義 2
1.2 國內(nèi)外研究現(xiàn)狀 3
2.2.1 國外研究現(xiàn)狀 3
1.2.2 國內(nèi)研究現(xiàn)狀 4
1.2.3 國內(nèi)外研究評(píng)述 5
1.3 論文研究思路與方法 6
1.3.1 研究思路 6
1.3.2 研究方法 7
1.3.3 文章結(jié)構(gòu) 7
1.4 創(chuàng)新點(diǎn) 9
1.5 本章小結(jié) 9
第2章 資產(chǎn)證券化的基本理論 10
2.1 資產(chǎn)證券化基本概念 10
2.2 資產(chǎn)證券化基本原理 10
2.2.1 基礎(chǔ)資產(chǎn)的現(xiàn)金流分析 10
2.2.2 資產(chǎn)重組 11
2.2.3 風(fēng)險(xiǎn)隔離 11
2.3.4 信用增級(jí) 12
2.3 資產(chǎn)證券化基本流程 12
2.3.1 資產(chǎn)證券化的參與主體 12
2.3.2 資產(chǎn)證券化的基本流程 13
2.4 資產(chǎn)證券化的特點(diǎn)及優(yōu)勢(shì) 15
2.4.1 資產(chǎn)證券化的特點(diǎn) 15
2.4.2 資產(chǎn)證券化融資比較優(yōu)勢(shì)分析 16
2.5 本章小結(jié) 19
第3章 我國企業(yè)資產(chǎn)證券化模式分析 21
3.1 我國企業(yè)資產(chǎn)證券化現(xiàn)有模式分析 21
3.1.1 我國企業(yè)資產(chǎn)證券化概況 21
3.1.2 現(xiàn)有模式——專項(xiàng)資產(chǎn)管理計(jì)劃 22
3.2 基礎(chǔ)資產(chǎn)的選擇 23
3.2.1 基礎(chǔ)資產(chǎn)選擇的..