Evaluation Of Investment Value Of Credit Card Non-performing ABS

With the rapid development of the commodity economy in our country,the appearance of consumer finance has met people’s different levels of consumption needs.All kinds of credit cards launched by commercial bank make people enjoy the convenience of consuming in advance.But the continuous increase of credit card issue also causes the bad loans of the credit card to expand inside the bank,brings pressure to the commercial bank management.The non-performing loan scale of the banking industry shows an obvious expansion trend,and the non-performing loan ratio gradually reaches the risk warning line,which greatly affects the health of our financial system.Therefore,finding effective ways to deal with non-performing assets is of great significance to prevent systemic financial risks,ensure the steady development of commercial banks and promote the steady growth of our economy.As an effective method,asset securitization provides a new idea for commercial banks to quickly dispose of huge amounts of non-performing assets.It can not only transfer the asset quality risk of issuing subjects,but also open up new investment and financing channels in the financial market and provide investors with a variety of investment choices.Therefore,it is of great significance to study the investment value of non-performing asset-backed securities.In this paper,122 credit card non-performing asset-backed securities publicly issued in the interbank market from 2016 to 2021 are selected as evaluation objects,and an evaluation model is constructed for value evaluation.First of all,as the priority part sets coupon rate and pays interest on schedule,it adopts the income method similar to the evaluation of ordinary financial bonds.Secondly,credit card non-performing asset backed securities have option attributes,that is,credit card non-performing asset backed securities are based on the value of the call option part,so the B-S real option pricing model is used to evaluate them,and the selection of parameters is optimized,and the GARCH model is used to predict the volatility of the historical recovery rate of credit card non-performing asset,which makes the evaluation results more reasonable.It is found from the evaluation results that the evaluation value of such financial products is high,the issue price is low,and the investment value is underestimated.The main reason is that credit card non-performing asset-backed securities have option properties,and the repayment of such products depends on their future recovery to a large extent.However,it is difficult to accurately measure the future recoverable cash flow,and their investment value cannot be highlighted in the short term.Secondly,because the interest income of the secondary part and the excess income part are paid in the last order,the investment value of the secondary part is relatively uncertain.However,according to the comparison between estimation and actual issuance results,it is found that the investment value of the secondary part is much higher than that of the priority part.Finally,according to the evaluation results of credit card non-performing asset backed securities,this paper puts forward the following policy suggestions: Investors should pay attention to the development of the non-performing asset backed securities market,enhance investment awareness,improve investment enthusiasm;Appraisal institutions should improve the appraisal mechanism and system of asset securitization products;Financial institutions should promote the establishment of an open and active trading market for non-performing asset-backed securities,strengthen the refined design of non-performing asset-backed securities products,and meet the investment needs of different investors;Government departments should improve laws and regulations,strengthen policy guidance for the development of Npas,and create a good market environment for them.