Research On Risk Assessment And Improvement Of Hegang’s Asset-backed Commercial Paper

Asset-backed commercial paper is a short-duration asset securitization product that originated in the United States in the 1980 s and is currently a common currency market tool in the developed Western financial markets.On June 2,2020,the China Interbank Dealers Association promoted the implementation of the first batch of assetbacked commercial paper projects under the existing asset securitization system,filling the gap in the Chinese financial market in this field.In order to assess the risks of asset-backed commercial paper in China’s practice,this thesis uses case analysis to select Hegang’s asset-backed commercial paper(Hegang 2020ABCP)in the first batch of pilot projects as the research object for indepth analysis.First,from the perspective of product pricing,the option-adjusted spread model is used to calculate the product risk premium,and the OAS value of the option-adjusted spread of Hegang 2020 ABCP is 29 bps.After comparing with other asset securitization products,the preliminary assessment considers this product risk is low-level.Then,using the fuzzy comprehensive evaluation method,under the standards given by the rating agency,the risk evaluation index system of the 2020 ABCP project of HBIS was established.The weight of each risk evaluation index and the single-factor fuzzy evaluation were determined by the analytic hierarchy process and the expert scoring method.After passing the consistency check and the normalization operation,the fuzzy comprehensive evaluation is obtained,and it is found to be consistent with the preliminary evaluation result.On the basis of this assessment,we continued to conduct in-depth analysis of risk evaluation indicators with higher weights,and found that the product had problems such as excessive concentration of basic assets and imperfect product renewal mechanism in the design plan,and proposed to change the product cash flow payment mechanism and increase market-oriented risk mitigation tools,the improvement plan has been found to have good effects through calculations.