Research On Credit Risk Of Non-performing Asset Securitization

The disposal of non-performing loans in the banking system has always been the focus of the CBRC.The effective treatment of the non-performing loans not only plays an important role in the stability of the banking system,but also in the sustained and healthy development of the Chinese economy.The data disclosed by the China Banking Insurance Regulatory Commission shows that the scale of non-performing assets and the rate of nonperforming assets of banks have appeared a continuous "double-liter" situation.The state actively supports the securitization of non-performing assets to solve the problem,for the original ways been difficult.The restart of non-performing asset securitization can not only promote financial innovation,enrich investment products in the capital market,but also play an important role in improving the management of banks and optimizing the efficiency of resource allocation in the financial market.Many countries began to pay attention to the credit risk in asset securitization for American subprime loan crisis.This paper analyzes the credit risk of non-performing asset securitization and tests the credit risk level of nonperforming asset securitization in China.This paper analyzes the practice development and current situation of non-performing asset securitization at home and abroad by theoretical research and empirical test.This article selects Jianxin 2018-4 non-performing asset securitization product as a research sample and analyzes the basic asset pool of non-performing asset securitization transaction structure and asset pool credit risk.The empirical results obtained by the modified KMV model show that the credit rating of the priority of non-performing asset securitization products is consistent with that of the domestic rating agencies.The credit risk level of the asset in the pool selected by the issuing agencies in the pilot stage is lower than that of the non-performing asset securitization product.From 2016 to the end of 2018,the size of non-performing asset-backed securities issued in China was forty four billion four hundred and fifty two million yuan,accounting for only 1.03% of all securitization products.At this stage non-performing asset securitization products lack of liquidity.In the future,the prospect of disposal of nonperforming assets through securitization is broad,and the issue scale will gradually increase.It is necessary to strengthen the reasonable control of risks,and at the same time to improve the supervision mechanism and preventive system.In order to promote the long-term and healthy development of non-performing asset securitization,this paper puts forward the corresponding countermeasures and suggestions from the aspects of the credit risk control of the product itself,the risk identification ability of the investors,the scope of responsibility of the participants,and so on.In the aspect of enhancing product safety,the following measures should be taken: for example,to design the priority scale and proportion reasonably,to strengthen the disclosure of asset information in the pool,and to establish the competition mechanism of credit rating agencies.In the aspect of improving the quality of participating institutions,measures should be taken to cultivate domestic high-quality investors,introduce foreign professional investors,and clarify the scope of responsibility of participating institutions.In the aspect of optimizing the supervision and prevention system,the measures should be taken to construct a unified supervision system,to perfect the legal system,and to establish a unified credit information system.