Study Of Chinese Commercial Banks' Bad Assets In The Securitization Of Credit Rating

Non-performing loans securitization (NPLS) is an effective way to solve non-performing loans in Banks. Credit rating is a core step in the course of NPLS. At present, the research on credit rating of assets securitization in China is not mature enough, meanwhile, NPLS of Chinese commercial banks has its own particularities. Therefore, this paper focused on building up a credit rating system used for NPLS in Chinese commercial Banks.Starting from observing the characteristics of credit rating of assets securitization, the paper designed an idea of NPLS credit rating with the methods of comparison and induction. On the basis of combining the experiences of rating institutions abroad with the characteristics of NPLS in China, the idea is that the credit ratings of NPLS of Chinese commercial banks are reviewed from two points: one is transaction structure analysis, and the other is transaction participates estimation. The paper went on with designing a credit rating system, which fits NPLS of Chinese commercial banks well using the method of AHP.There are four parts in studying the transaction structure, and they are transaction items analysis, credit enhancement analysis, cash structure analysis and law structure analysis respectively. Transaction participates estimation refers to the estimation on the quality of capital managers' work. The core of credit rating in NPLS is the analysis of cash structure, which includes asset pool analysis and cash flow analysis. Asset pool analysis mainly concerns on asset quality and diversity. The cash flow analysis mainly includes environments observation, EDF, recovery rates forecast, the estimation of credit enhancement and stress tests.