Research On The Impact Of Asset Securitization On Systemic Risk Of Commercial Banks In China

Asset securitization is one of the most important financial technological innovations in the 20 th century.Since 2012,our country began to carry out pilot work of securitization,and then the market began to expand rapidly development.As of December 31,2021,the annual issuance scale of China’s asset securitization market has exceeded 3 trillion yuan,which is the largest asset securitization market in Asia so far.Asset securitization,as a financial innovative product,has significant advantages of improving liquidity and diversifying investment risks.Its rapid development accelerated the pace of building a sound financial system,but at the same time it has accumulated hidden risks.The outbreak of the subprime mortgage crisis in the United States in 2008 also sounded the alarm for Chinese supervision.So our present stage to the supervision of asset securitization is also under certain pressure.Therefore,the research content of this paper is helpful for regulators to supervise individual banks at the micro level,and also for regulators to have an all-round control over the risks of the banking system at the macro level.Based on this,this paper studies the impact of asset securitization on the systemic risk of Chinese commercial banks.Firstly,the paper reviews the previous literature,analyzes the influence channels of asset securitization business on systemic risk,and finds that its complex business mechanism and two basic functions are often the main reasons for the accumulation of systemic risk.Secondly,16 representative listed commercial banks,including 5 state-owned banks,8 joint-stock banks and 3 city commercial banks,are selected to measure the dynamic correlation coefficient between banks and the market by using the DCC-GARCH model,and the corresponding SRISK index is calculated to measure the systemic risk level of 16 listed banks.On this basis,we select the participation of asset securitization as a metric index,and use dynamic panel data and systematic GMM estimation method to explore the impact of asset securitization on the systemic risk of Chinese commercial banks.And on this basis,the asset securitization business is divided according to different underlying assets to study whether the impact of different types of asset securitization business is the same.It is better to consider the differences among banks and explore whether the effects of asset securitization on banks with different asset sizes and profitability are the same.The results show that the systemic risk level of commercial banks that initiate or participate in ABS business will be significantly increased.At the same time,the securitization of different types of underlying assets brings different risks.The securitization of creditor’s rights will make the systematic risks of commercial banks accumulate continuously.On the contrary,the securitization of fee-based usufruct and other types of assets can reduce the systemic risks of commercial banks to a certain extent.As commercial banks have different individual characteristics at the micro level,the risks brought by securitization business are also different.Banks with large assets scale will have magnified risks due to their high degree of systemic importance,so the impact of asset securitization business on large commercial banks is more significant.At the same time,strong profitability can support the benign operation of securitization business.Correspondingly,banks with stronger profitability have certain resistance to the systemic risks brought by asset securitization business.