Securitization Of Non-performing Assets Of China's Banking Industry Pricing And Risk Analysis

In recent years, the problem of the Non-Performing Loans (NPL) exists in Chinese monetary system has begun to widely attract public attention, so more and more approaches have been tried again and again. Asset securitization, as a form of innovative financing techniques, is one of the available ways to solve this problem. Price and risk analyses are the key parts in NPLs securitization, that's also the emphasis of this paper. Its main points are as follows:First, two examples about NPLs securitization in China and American are studied. In this part, researching is fastened on how to deal with the price and risk in the examples. Through these examples, we will summarize the successful experience, and seek out its relative theory. That will be the base of this paper.Second, pricing and risking models of this paper will be set up, by use of quantitative and qualitative method, basing on the modern risk management theory. In this part, findings indicate that the asset pool is steady and effective attributed to the choice of the assets, classifying and restructuring. In the design of the security pricing, the interest rate will be gotten by no-arbitrage analyses, and its results due to time, risk, loan and riskless interest rate, In the risk analyses, the result shows that there are five risk factors impacting the NPLs securitization, and the most importance is credit risk. Using a KMV credit monitor model, the credit risk in NPLs securitization can be assessed and managed. Furthermore, several suggestions to avoid the risk are quite important.At last, a case is analyzed to make the model clearer. The results show that, a part of Non-Performing Loans in barks of China can be securitization. Comparing with the ABS that has been published in Chinese securities market, the NPLs securities designed in this paper is reasonable. If the banks of China publish NPLs securities now, the risk can be controlled.