The Impact Of Credit Rating On The Pricing Of Credit Asset Securitization In China

The securitization of credit asset is an important financial innovation in financial market,and it is also an effective financing tool,which is of great significance in many aspects.China started the trial of credit securitization in 2005.After the stagnation between 2008 and 2011,it restarted the pilot program in 2012,and began the rapid development of the road.However,in the process of development,there are also problems such as a single asset pool,imperfect legal system,unreasonable price formation mechanism and so on,especially the pricing of credit asset securitization products.On the other hand,credit rating plays an important role in the securitization of credit assets and can affect the pricing of credit asset securitization products.Credit rating system in our country,however,excessive reliance on rating agencies,international domestic lack of professionalism and independence has the very strong ratings agencies,domestic investors need to use credit rating as a reference to choose investment,and confidence in credit ratings are high enough.Therefore,it is necessary to analyze whether the credit rating has influence on the mechanism of credit securitization pricing,verify the pricing efficiency of credit rating,and explore the influencing factors of the mechanism of price formation.Therefore,credit rating is of great significance to the research on the mechanism of the pricing mechanism of credit asset securitization in China.This paper is divided into six chapters,the first chapter is the introduction,the first is that the purpose of this study,is the hope,from the perspective of the credit rating to explore its effect on price forming mechanism of the securitization of credit assets,on whether or not the prompt risk for investors.Then in foreign literature review found that when abroad since started early,rapid development,no matter in the securitization of credit assets,or pricing,or credit rating to the research of the influence of price,are relatively rich,on the pricing has gradually established the term structure of interest rates,to consider the prepayment rates and default rate pricing model,credit rating for the impact on the price formation mechanism.Domestic because of late,however,the development of fast enough,the domestic research is mainly exploring the feasibility and necessity of the securitization of credit assets,the pricing model is primarily discussed availability,lack of credit rating to study the influence of pricing,and did not use all of the existing data on the market analysis of the effect,the purpose of this study is to hope to be able to through the empirical analysis of credit asset securitization price formation mechanism and the relationship between the credit rating,this is also the innovation of this article.The second chapter is about the concept of credit asset securitization,the participants,the transaction process,and the development of credit asset securitization in China.The securitization of credit assets can take the capital stock of the bank,which can increase the liquidity of the assets and spread the risk.Securitization of credit assets is numerous,the participation of the subject and each subject has its unique role,transaction process is complex,but its true sale process,have the function of the bankruptcy isolation,it is also in this paper,choose one of the reasons for the securitization of credit assets as the research content.In 2005 the official start of the pilot,for the first time in our country is affected by the financial crisis,was halted in 2008,2012 to start pilot,after has been in rapid development,but the present situation of the development in our country,there are still many problems.The third chapter analyzes the influence of credit rating on the pricing of credit asset securitization.Firstly introduces several pricing methods at home and abroad,respectively is static cash flow discount method,the static spread method and options to adjust spread method and monte carlo simulation method,the advantages and disadvantages of each method are analyzed,and the choice of credit asset securitization in our country at present the product pricing method for static spread method.Then,the paper analyzes the influence factors of the pricing of credit asset securitization,and the embodiment of the influencing factors in China.Finally,emphatically probes into the credit rating of credit asset securitization in our country the influence of product pricing,and from the external impact and internal two aspects are discussed,and the external influence is mainly manifested in the rating industry overall situation and the regulatory environment,the internal influence is mainly manifested in credit rating on the quality of information disclosure and the ratings.The fourth chapter is an empirical study on the mechanism of credit asset securitization.In order to improve the degree of interpretation,the can dig on wind info from 2005 to 2017 on December 31 check all the securitization of credit assets as sample data,and considering the prepayment rates and lack of default rate data,excluding the securitization of housing mortgage loan and the data of non-performing assets securitization.Using multiple linear regression analysis,risk premium yields multiplied by the issuance as pricing evaluation indexes,namely be explained variable,by credit rating,subordinated degree,asset types,distribution,release deadline as explained variable.Based on the analysis of 2016 and 2017,and the comprehensive analysis of 2017 and 2017 with time dimension,the analysis results show that the credit rating has a significant impact on the price formation mechanism.The fifth chapter is the conclusion,based on the analysis of the previous four chapters,the author puts forward Suggestions on the three aspects of basic asset pool,credit rating and legal system,and finally puts forward the shortcomings of this paper.The research methods of this paper include literature review,theoretical and empirical research,and qualitative and quantitative methods to study the influence of credit rating on the mechanism of credit securitization price formation.The results of this study suggest that the relationship between credit rating and price is related,which can be a reference for investors'investment decisions and the issuing price of underwriters.At the same time,considering the credit rating itself contains can additional impact on pricing factors,from the empirical analysis as you can see,there are some credit rating itself contains risk factors,at the same time can also provides additional effects on prices.