Research On Risk Management Of Credit Asset Securitization In Commercial Bank

April 2007, the bankruptcy of U.S. second largest sub-prime mortgage institution opened the prelude to sub-prime crisis. The crisis involving many kinds of parties, such as borrowers,lending institution,funds,banks and insurance companies has had severely adverse effect to the world's stock market,exchange market and bond market. Domestically, the unexpected rise of real estate price make it more difficult for borrowers to predict changes of their future expenditures, whose reimbursement grows bigger as well as risks of housing mortgage loans. In response, commercial banks embark on adjustment of their strategies and favor securitization of assets including housing mortgage loans. However, commercial banks must handle risks in the process of securitization, choosing asset-based and the selection and service agencies, so how to manage these risks is a essential issue for commercial banks.The study mainly using the theory of securitization, the theory of asymmetric information for reference analyses the risks of securitization, and thinks the risks consist of credit risk, market risk, operational risk, the cash flow risks, advance payment risk, information asymmetry risks, concealed the existence of these risks, inevitability, comprehensive, superposition, the proliferation of features. The study analyses risks form the views of securitization business, then based on the COSO's framework of comprehensive risk management, design the risk management system of securitization from the aspect of commercial bank credit asset securitization risk. Finally, the paper takes us sub-prime crisis and case analysis as well as qualitative analysis and quantitative analysis. Theories analysis the risk control system of securitization, while case stress on the application of theory. Guided by the practical and operational principle, the paper aims at the establishment of risk control system of securitization that fits domestic commercial bank. Because of the success of asset securitization needs of regulatory bodies, the main interests of all parties together, so this paper, the regulatory bodies, commercial banks, SPV, grade-enhance organization, assessment agencies such as the corresponding policies and proposals. This study seizes the current international crisis and the loan-to-China high-risk real estate loan, so it is with objective reality and the practical application of certain value and timeliness. But at the same time, due to domestic commercial bank's limited practice and domestic securities market imperfections, as well as my limited knowledge, and other reasons, the paper needs to be further improved.