The Exploration Of The Risk Measurement On Credit Card Receivables Securitization

With the rapid development of China’s commercial banks, China’scontinuous fulfillment the commitment of the opening-up of the bankingsector after China’s accession to the WTO, and the constantly improvementof the level of China’s banking regulation, the commercial banks in Chinacannot merely rely on traditional business to survive, financial innovation is amust-step to make for the sake of development in China confronted with theincreasingly intense competition today. As of the end of2012, the number ofthe issuance of the credit cards in China has reached331million, theoutstanding balance for the credit card amounted to Rmb1.14trillion. Thus,the credit card assets may become an important species in the asset-backedsecurities in China.Based on the credit card receivables securitization theory and combinedwith the characteristics of the credit card business, the thesis mainly studiedthe risk factors and corresponding risk measurement methods during thepricing of the credit card receivables securitization; in addition, the thesisalso made verification test by referring to the data from a bank for the creditrisk measurement methods.Firstly, the thesis analyzed the structure characteristics of credit cardreceivables securitization based on the analysis of the characteristics of thecredit card business and asset-backed securities transaction structure and pointed out that a circulating structure should be used for credit cardreceivables securitization. In addition, the thesis further made analysis of thecash flow characteristics and derived the corresponding mathematicalexpression of the cash flows, and pointed out that the main uncertaintieswithin the future cash flows were the loss rates, discount rates, asset poolyield, monthly repayment rate, which constituted the main risk factors thataffect the pricing of the securitization.Secondly, the thesis made comparison of the current mainstream riskprediction models and measurement methods in the world according to theserisk factors aforementioned, and showed the opinion of the thesis which wasbelieved to adapt most to the situation in China.Finally, through the use of a commercial bank corresponding data thethesis made verification of the aforementioned risk models, among which thelogistic regression model is the comparatively appropriate risk model to beadopted for credit risk measurement of credit card receivables securitizationunder the current stage in China.