Research On Credit Risk Of Asset Securitization In Supply Chain Finance Of Real Estate

Small and medium-sized enterprise is an essential part in the economics of China.However,high financing cost and finance accessing difficulties have always been key problems in the development of them.To use the asset securitization in supply chain finance brought a brand-new idea to solve these problems.However,this business started late,so there are still many risks in the operation of related businesses.Among them,credit risk is a more prominent risk,and it is also a risk that investors pay most attention to when they choose specific investment targets.In order to study that,the thesis focused on the case analysis method and selected the asset securitization in supply chain finance project of real estate,"Ping An Securities-Leya Supply Chain Finance No.5 Asset-supported Plan " as object,then studied the credit risk of the case from both qualitative and quantitative perspectives.The thesis firstly introduced the context and importance of this topic,and also research status of asset securitization in supply chain finance and theoretical KMV model.Secondly,the basic situation of the case was introduced.Then it analyzed the credit risk of the basic assets of the plan from a qualitative perspective,and further analyzed the source of it,that is,the credit risk of the joint debtor,the performance of the original equity holder and the plan manager.On this basis,the revised KMV model was used to quantitatively assess the credit risk of the joint debtor,which was compared with the credit risk of the core debtors of comparable projects in the same industry.During this process,the data of 46 H.K real estate companies was used to revise the KMV model’s default point.Finally,it summarized the factors that affect the credit risk,and put forward management suggestions accordingly.