| Asset securitization has been one of the most important fruits of financial innovation since 1970'5. But subprime mortgages crisis of American tells that there are huge potential risks in asset securitization. The crisis was not thought to be accidental, because there are so many cases failed in asset securitization before this crisis. During the processes of securitizing, many institutes improper utilize the weaknesses of exiting rules and regulations for their own purpose, which lead to the break up of the crisis. The practices of asset securitization vary from country to country. It's necessary, both in theory and practice, to make efforts on institutional risk management of asset securitization and illustrate superficies of idiographic institutions of different countries in a general meaning.The economic, statistics and simulation were applied to analyze the problem of the American securitization rule. Based on the securitization practice, the problems of credit evolution rule, credit enhancement rule, mortgage default and participator's behavior were researched to control the MBS risk.Although the break up of subprime crisis has negative impact on our MBS process, we could not deny the fact that the MBS do have positive on the bank and assets industry. This study intends to provide a valuable perspective of current asset securitization to provide a valuable perspective of current asset securitization to relevant people in China by emphasizing on how to avoid risks. The dissertation includes the following parts.(1) The problem of credit enhancement, revealed during the American subprime crisis, was fully analyzed in this dissertation, and the defect of enhancement manage rules was obtained. What's more, the deferent methods to enhancement may have various effects on the securitization initiator, so the relation between the methods and the effects was researched. Based on the results, a credit enhancement design model was proposed and policy recommendations were proposed to control the risk form the origin.(2) From the point of evolution technology, the flaws of commonly used model for evolution were research, and we find that the evolution results relay heavily on the history data. From the point of management system, we find that there's no appropriate law for the management of the evolution institutes, and the evolution results were related to their income and market sharing, so, it's imposable to get a fair-and-square evolution results by their wiliness. Logistic regression was applied to research the factor for default rate, and factor analysis results were gated, through the regression. The scarcity of China bank default data is quiet obvious, which would be a hamper to the applying of classical model. So, through the combination of qualitative and quantitative model, a new risk evaluation method was provided for the securitization work of China.(3) During the booming up stage of the American securitization stage, many investors, even some world famous intuitions, took over aggressive investment policies, and made many mistakes, which brought about the crisis. The classical general equilibrium could not give an appropriate explain the irrational mistakes, so, based the behavior finance, the agent modeling technology was applied to the research of mortgage based securitization. The simulation takes advantage of Investor's Psychology Model of Finance, and the result fits the variation tendency of American securitization market well, so we believe that the agent based technology would be much help to the risk manage of China securitization market. |
