Credit Risk Evaluation Of Non-performing Asset-backed Securities

With the continuous expansion of the scale of non-performing assets of commercial banks,non-performing asset securitization plays a very important role in resolving the non-performing assets of commercial banks,improving the asset liability structure,effectively improving the liquidity of assets and promoting the healthy and sustainable development of banks.China has started the bank credit asset securitization business since 2005,which has promoted the development of innovative business of non-performing asset securitization with commercial banks or asset management companies as sponsors.In 2008,affected by the international financial crisis,the people’s Bank of China stopped the bank’s credit asset securitization business.However,due to the continuous improvement of China’s financial system,the improvement of relevant laws and regulations,and the rising non-performing asset rate of commercial banks due to the impact of the economic downturn,the people’s Bank of China reopened the non-performing asset securitization business in 2016.As an innovative financial product,non-performing asset-backed securities still have great development space in China’s capital market,but the credit risk assessment and disposal of such products are still the focus of the market.Therefore,with the development of non-performing asset securitization,the research on the credit risk evaluation of securities has more important theoretical and practical significance.Based on this,firstly,this paper expounds the basic principle of asset securitization,explores the operation process of asset securitization,analyzes the development status and characteristics of non-performing asset securitization in China,and the risk of non-performing asset securitization.Secondly,in view of the importance of credit risk assessment of non-performing asset-backed securities,this paper analyzes the credit risk measurement model and applicability of non-performing asset-backed securities.KMV model shows certain advantages in terms of the difficulty of obtaining relevant data indicators,the objectivity of data selection,or the comprehensiveness of comprehensive consideration,which is more suitable for measuring the credit risk of non-performing asset-backed securities.However,if the model is directly used to evaluate the default probability of ABS products,the KMV model needs to be modified.Thirdly,taking the "Jianxin" series of non-performing asset-backed securities issued by bank J as an example,this paper makes an empirical study,and uses the KMV model to measure the default probability of "Jianxin" series products.The results show that the default probability is low,which is in line with the credit rating of a or above given by the rating company to this series of bonds and the demand of investors for priority bonds.At the same time,"Jianxin" series products have also achieved good risk isolation.Finally,the research conclusion shows that the credit rating of bank J’s non-performing asset-backed securities is objective and reasonable,the effect of non-performing asset securitization business is remarkable,and its function and development space are large.At the same time,the paper puts forward some policy suggestions,such as improving the liquidity of non-performing asset-backed securities,improving relevant laws and regulations,improving credit rating and credit enhancement measures,improving the internal risk prevention and control system of banks,and making rational use of non-performing asset securitization.