Research On The Credit Risk Management Of Mortgage-backed Securitization Under Subprime Crisis

As one of the most important financial innovations in the 20thcentury, mortgage-backed securitization (MBS) provides new financialproducts for the market, broadens the investment channels, and is favoredby the investors because of its low default rate and steady income.However, the subprime crisis broken out in 2007 makes us realize MBS'sdamage, and the systematic risk caused by it heavily destroys the steadydevelopment of the financial market and the real economy. Therefore, theresearches on the credit risk management of MBS have its importanttheoretical value and practical significance after the financial crisis times.Firstly, this thesis introduces the research background andsignificance, determines the research contents and methods, andsummarizes the research foci and creativity. Secondly, it makes a briefintroduction to the MBS and the formation mechanism of MBS's creditrisk. Then, it makes an analysis about the credit risk during thehousing mortgage loan's granting stage, the credit risk during itssecuritization process, and the financial supervision defects in subprimecrisis on the basis of the analysis about the evolutionary process ofsubprime crisis.On the risk management, this thesis first has an empirical analysis ofthe relationship between the default rate of the housing mortgage loan and the macroeconomic change through the CPV model used to measurethe credit risk, and then makes a goodness of fit test to the simulateddefault rate. This empirical analysis proves that the sevenmacro-economic indicators, including the CLI, the CPI, the growth rateof GDP, the benchmark interest rate, the personal savings rate, the growthrate of housing starts and the S&P/Case-Shiller index of national houseprices in 20 cities, have great influence upon the default rate of thehousing mortgage loan. It also shows that the CPV model can calculateaccurately the credit risk of housing mortgage loan through simulatingthe macroeconomic status. Then, this thesis puts forward specificprecautionary measures to the credit risk during thehousing mortgage loan's granting stage and its securitization process, andproposes constructive measures especially towards the lender'snon-rational risk exposed in subprime crisis, the system flaw of specialpurpose vehicles, the design risk and credit rating risk of financialderivative products. At last, it proposes the tentative ideas on Chinesefinancial supervision system reform after summarizing the financialsupervision reform of the main economic entities in Europe and America,and makes a detailed analysis about the financial supervision methods ofMBS in China.