未来现金流ABS风险分析：国外评级方法比较与借鉴 (Risk Analysis of Future Flow Securitization: A Comparative Study of International Rating Methodologies)

Abstract

Chinese Abstract: 未来现金流证券化产品在国际资产证券化市场是一个市场份额极低的小众型市场分支，与此形成鲜明对比，这类产品在国内资产证券化市场已成为一个有显著市场份额的主流市场分支，且近年来涉及的信用风险事件频发，国内已有文献认为相关产品的信用评级虚高。本文填补了以下三个方面的研究空白：第一，比较多个国际信用评级机构对于未来现金流ABS的评级方法之异同；第二，深入介绍、剖析、解构、梳理国外未来现金流ABS评级方法；第三，从方法论比较研究的角度，识别和阐述国内未来现金流ABS信用评级存在的三个突出偏差。这三个偏差对应于本文梳理归纳出的“四大风险环节”中的前三个环节，因而可以参照相关理念进行纠正。本文详细探讨的风险分析思路，不仅适用于信用评级，对于未来现金流ABS的投资分析亦有借鉴价值。 English Abstract: Future flow securitization is an esoteric segment with a minimal market share in the international securitization market. In contrast, it has become a mainstream segment with a sizable market share in the Chinese securitization market. In recent years, China’s future flow securitization segment has witnessed multiple credit risk events, and some scholarly work have expressed opinions that the products involved in those credit risk events have overrated credit ratings. This paper is the first-ever comparative study of credit rating methodologies for future flow securitization. It also provides the Chinese audience with the first-ever comprehensive survey of international rating methodologies for future flow securitization, complete with deconstruction and synthesis. Furthermore, this paper is the first-ever research endeavor to pinpoint and analyze through a comparative lens the three prominent methodological biases in the credit rating practices of China’s future flow securitization products. Those three biases are associated with the first three modules of the four-risk-module analytical framework we summarized, which would be useful in correcting such biases. The thought process detailed in this paper is useful not only in credit rating but also in investment analysis of future flow securitization.