An Empirical Research On The Effect Of Underlying Asset Concentration On Credit Spread Of Credit Asset-backed Securities

Asset securitization market in China has developed rapidly since the regulation was relaxed in 2014.More and more participants are concerned about asset securitization and credit spread of asset-backed securities.This paper mainly studies whether the underlying asset concentration has significant effect on the credit spread of credit asset-backed securities.The underlying asset concentration is divided into district concentration and industry concentration.First,this paper sorts out the literature and finds existing research supports the point of view that the higher degree of underlying asset concentration leads to the higher default risk,which ultimately leads to the larger credit spread.Then,this paper takes ABS products based on corporate loans from 2014 to 2016 as a sample and establishes a multiple linear regression model for analysis.The results show that there is a significant positive correlation between the underlying asset concentration and the credit spread of credit asset-backed securities.Last,this paper analyzes two credit ABS products as a case,and confirms the view of this article again.The conclusion of this paper has certain reference value for practical work.The issuer of the asset-backed securities should minimize the degree of concentration when selecting the underlying assets,so as to reduce the credit spread of the asset-backed securities and the financing costs of themselves.The investors of the asset-backed securities should pay attention to the underlying asset concentration,in order to evaluate the default risk of asset-backed securities,and take it into consideration when pricing.The innovation of this paper is as follows: First,this paper is one of the few domestic empirical studies on the credit spread of asset-backed securities.Second,the focus of this paper is not the credit status of the issuer's,but the underlying asset concentration's effect on credit spread of asset-backed securities.Third,this paper uses the Herfindahl-Hirschman Index to measure the degree of underlying asset concentration,which is innovative in the domestic research on asset securitization.