The Financing Mode Selection Of The Commercial Bank Under The Capital Requirement Constraints And The Optimal Asset Allocation

Asset-backed securitization at present is still at the exploration stage in China.The Chinese banking regulatory commission started to supervise the leverage ratio of Chinese commercial banks at the request of Basel agreement ? two years ago,then china began the implementation of deposit insurance system in May 2015,and the non-performing assets is becoming a huge problem of Chinese commercial banks.all these facts are telling us that the economic environment of asset-backed securitization in China is experiencing a qualitative change step by step.There are lots of specific researches done by predecessors in the field of the choice of funding mode made by commercial banks need to be replenished or upgraded.The first part of this paper will be built on capital constraint.This paper will discuss the commercial bank's choice of funding model between debt financing?high quality assets securitization and non-performing assets securitization to make the profit of itself maximized under the single capital constraint.This paper finds that commercial banks will not fund by securitize those non-performing assets under the capital constraint.And then this paper divided my discussion into four different circumstances by the existence of deposit insurance or asymmetric information or both.In the circumstance of nonexistence of deposit insurance or asymmetric information,the commercial bank will compare its expected yield when there is no credit enhancement to a known threshold,then chose the funding model between debt funding and high quality assets securitization.Then this paper introduces deposit insurance to the model discussed before,found that the threshold was reduced by a specific amount which can be calculated in advance.In the last step of this part of discussion,this paper introduces asymmetricinformation to the previous two cases separately,then found that this change will not bring any affection to the choice of funding model by commercial banks because all the cost caused by asymmetric information will be transferred to borrower eventually.In the second part of the discussion,this paper expanded the single capital constraint to three constrains which contain liquidity constraint?capital adequate ratio(CAR)constraint and leverage ratio constraint due to the recently implementation of supervision of the Chinese commercial bank's leverage ratio by Chinese banking regulatory commission at the request of Basel agreement ?.This paper will discuss the specific financing scale of debt financing?high quality assets securitization and non-performing assets securitization when commercial banks want to minimize their financing cost under those three constrains,at a word,this paper committed to work out the optimal asset allocation.Then the commercial bank can make a financing project contains specific scales of three different financing objects based on the conclusion of this paper.