The Role Of Securitization Of Credit Assets In Bank’s Liquidity Risk Management

From the history of the development of financial markets abroad and domestic credit asset securitization practice, securitization of credit assets in the financial market development to a certain stage of the inevitable outcome. Asset Securitization in foreign commercial banking is a mature banking management tool, but after the subprime mortgage crisis, many scholars and industry insiders believe that asset securitization played a role in fueling in the financial crisis, but error is not in the asset securitization itself, it’s just a banking assets management.From asset securitization practice in China’s view, after the subprime mortgage crisis, Chinese government halted the credit asset securitization pilot which started in2005, until2011was restarted cautious, so the asset securitization market size is too small to match the huge size of bank credit assets. Subjected to the limits of securitization, asset securitization is difficult to play its role in the management of assets and liabilities. Recently, Premier Li in his government work report pointed out that:while maintaining the stability of the total, to actively revitalize the stock, with a good increment, meanwhile strengthen financial supervision and liquidity management, maintaining financial stability operation. It is expected that the securitization of credit assets as the main tool to revitalize our huge stock of credit assets of the banking sector will play an increasingly important role.At present, China’s banking financial institutions are facing greater pressure: rapid credit growth in the long-term, money supply growth rate was continuously higher than the policy objectives. Meanwhile, China’s commercial banks bear the heavy task of credit, has accumulated a large number of risks. Banks are facing a series of potential liquidity problems such as increasing NPL ratio, deposit and loan maturity mismatch. Banks in accordance with the requirements of asset securitization, sale of the loan principal and interest coming into the stock of cash, could improve asset structure constant in the case of debt, and control liquidity risk.Based on the cash flow of the Industrial Bank, this thesis analyzed the effectiveness of China’s commercial banks using credit asset securitization for liquidity risk management. Also analyzed asset securitization buffered by the cash flow gap formed timeliness and intensity under stress scenarios. Provide advice on a certain sense of liquidity risk management of commercial banks. This article consists of the following four components:Chapter Ⅰ:introduction. Section Ⅰ:introduces the research background and significance of the article, analyze the importance of promoting asset securitization in the current situation; Section Ⅱ describes the relevant literature review of asset securitization, liquidity risk, stress testing; Section Ⅲ:pointed out the weakness and innovation in this article.Chapter Ⅱ:The basis of the analysis on securitization of credit assets. This part is to study the method of theoretical analysis and data analysis. Section I&II introduces the basic theory of asset securitization, including asset securitization definition, characteristics, principles, operation mechanism. Section Ⅲ combines theoretical analysis of qualitative and quantitative data analysis to explore the motivation of commercial banks to implement asset securitization.Chapter Ⅲ:Measuring liquidity risk of commercial banks. Since this article focuses on the analysis of the role of asset securitization for banks to manage liquidity risk, the liquidity risk measurement framework to determine the basis for further research is launched. Section Ⅰ introduces the basic concepts of simple commercial bank liquidity and liquidity risk. Section Ⅱ study liquidity risk measurement methods, first introduced the most widely used measure of static indicators in practice, and then introduced the dynamic measurement of liquidity risk. Section Ⅲ The main qualitative introduction to bank liquidity risk management.Chapter Ⅳ:liquidity risk stress testing. This part to be analyzed as a case of Industrial Bank, trying to study asset securitization buffer cash flow gap formed by the stress scenarios. The first section introduces the basic framework for liquidity risk stress testing and stress testing described in this article used as an analytical tool reasons. The second section itemized analyzed the cash flow under normal operation conditions of the Industrial Bank. Section Ⅲ designed two scenarios, a huge loss of retail deposits and counterparty bankruptcy for the Industrial Bank conducted a stress test. Section IV quantitatively analyzed the use of asset securitization program covering the role of balance of the cash flow gap.