The Research On The Credit Risk Of Bank Credit Asset Securitization Based On KMV Model

In recent years, there are some problems in economic development, such as economic growth is slowing, and banks’ profits is declining while non-performing loan is increasing. According to the experience of other countries, asset securitization, which is still at a low level at present in our country, will be an effective measure to solve those problems. However, the outbreak of the subprime mortgage crisis in the United States shows the importance of preventing credit risk in the process of asset securitization. The development of asset securitization in China is faster and faster, so quantitative analysis of the credit risk in the process of asset securitization has important practical significance.This paper mainly studies the credit risk rating of bank credit asset securitization products. This paper argues that the return of asset securitization mainly comes from the liquidity difference and the credit spread. Because trading in the secondary market is not active, it is difficult to obtain liquidity spreads, which means it’s easier to obtain the credit spread by Credit enhancement. Under the current situation of the development of China’s asset securitization and the restriction of the existing laws, the most effective way to realize the credit enhancement of asset securitization products is the internal credit enhancement mode based on the hierarchical structure, which is also the most popular way. So it is very important to determine the issue size of each layer accurately.This paper is divided into six parts. The first part introduces the background and significance of the research. The second part summarizes views of domestic and foreign scholars on the process of asset securitization credit risk. The third part systematically analyzes the characteristics of credit risk of bank credit asset securitization, and points out that the credit risk of asset securitization is coming from the credit risk of basic assets. The fourth part introduces several credit rating methods commonly used in other countries and analysis their applicability in China. In the fifth part, the KMV model is modified according to the characteristics of asset securitization products. And the modified model is applied to the third phase of credit asset securitization products in 2014 of China Merchants Bank. The sixth part summarizes the research conclusions of this paper and puts forward suggestions for further development of asset securitization business in China.