Research On The Risk Evading Of Asset Securitization

This thesis sets Subprime Lending Crisis as a background to study the risk of asset securitization, especially in the form of macro risk and the reasons put forward to prevent the risk of asset securitization in the macro-countermeasures and the development of asset securitization of significance are described.In this thesis, the generation of asset securitization and development, combined with the fictitious capital of Marxist theory, detailed analysis of the MBS, ABS, CDO and other asset-backed securities on the basis of the structure and characteristics of the fictitious features of asset securitization. Asset securitization is a complex financial derivatives, with the characteristics of fictitious capital, as long as a steady flow of cash income, the assets can be securitized. We can say that it can not simply categorize a particular type of a traditional fictitious capital, but on the basis of Marx's analysis of more complex financial derivatives, is the traditional combination of several types of fictitious product of capital is Fictitious higher stage of economic development. Meanwhile, asset securitization can also be seen as indirect financing and direct financing of the complex combination, it appears as two types of capital allocation model of communication tools and bridge. According to Marx's analysis, based on the form of fictitious capital of the fictitious economy has generated double effect of positive and negative, as a rapid development of financial innovation, asset securitization, of course, is no exception. The positive features, micro, asset securitization is a way to provide liquidity for the participants transformation function, to avoid regulatory functions and the function of risk transfer products; the macro level, changes in asset securitization structure of the financial system and improve efficiency; Provides an effective mechanism for redistribution of risk and promote the financial infrastructure changes. Because the function of asset securitization so significant to a few decades to the rapid development time, the banks with asset securitization technology and using its microscopic features lead to sub-prime loans and securitized products in great demand.On the other hand, the risk of asset securitization in the micro and macro can be divided into two levels, including micro risk is the risk to participants, can be divided into the risk of the underlying asset and cash flow risk securitization process Two, the former refers to the underlying asset as the cash flow generated by the uncertainty and risks, including credit risk and prepayment risk. The latter refers to the process of securitization of the risks arising, including product design, risk and structural risk. Over the years, been focused on micro-risk, practice has also designed and created a series of methods and tools for management, and macro risks are not fully understood. Macro-risk subprime mortgage crisis is accumulated to a certain extent the product of concentration of the outbreak. This thesis focuses on in-depth understanding of the macro risks of asset securitization.First, the capital securities products as an innovative fictitious capital, running on top of other fictitious capital, farther away from the reality of capital, not the reality of capital constraints, easy to over-development from the real economy, thus promoting the asset price bubble. In this thesis, asset securitization and credit expansion effect and the link between asset bubbles. The micro level, increase liquidity and regulatory capital arbitrage is the most important banks securitization motives, both of which will eventually produce the same results, that is expanded through the sale of assets and effective source of financing, which made banks more in the short term More loans. When the object is the subject of the securitization of real estate mortgage loans, such credit expansion will bring more money into the real estate market, to promote real estate prices continued to rise. Since the effect of the existence of pre-crisis mortgage backed securities caused the rapid development of asset bubbles is one important reason.Second, the use of vector autoregressive (VAR) systems Granger causality test, impulse response (Impulse responses) analysis tools to study the transmission asset securitization's role in the crisis. The sub-prime crisis originated in the U.S. housing market, the initial local risk characteristics of asset securitization as the conduction spread to the entire financial system. On the one hand, the secondary rise in mortgage defaults led to the subprime mortgage-backed securities increased risk of default, the market price significantly diminished, so that the credit risk of subprime mortgages from commercial banks transferred to the capital markets. On the other hand, commercial banks, directly or indirectly to buy a large number of subprime mortgage-backed securities and the crisis in the capital market to a certain extent the accumulation of the feedback transfer back to the credit markets. Effect of the crisis in the two-way conduction growing magnitude of the stimulation, so that the final evolution of the local risk of systemic crisis.Third, a comprehensive study of the process of asset securitization existing adverse selection and moral hazard.With Stiglitz and Winston (1981) classic model borrowers and adverse selection between the promoters.Found in a condition of asset securitization, due to the lack of appropriate checks and balances, borrowers and sponsors of the performance between the adverse selection problem more serious.Crazy regardless of borrower ability to repay loans, and lack of oversight power promoters, and too busy to take measures to prevent adverse selection.Construction of incomplete information dynamic game model between the promoters and investors, adverse selection problems. That the Securitization of the role of lender of the largest borrowers of its collection of information hidden incentives.When more than a certain degree of securitization, the loans obtained by the sale price difference higher incomes. Different lenders now need to determine the quality of the loan project loans were interest in holding or selling loans earn the difference between the trade-off. Because of asymmetric information, investors can not determine the type of loan program lenders to master the information more fully, therefore, can only be based on the average standard of loan pricing, low-risk loans because the price would gradually withdraw from the market than expected. The degree of adverse selection would increase with the degree of securitization and increasing high-risk loans on the market will more and more the quality of mortgages lower. Under asymmetric information with the principal-agent model of asset securitization special purpose entities, investment banks and credit rating agencies, the moral hazard problem, the existence of irrational incentives makes the identification of the securities shall bear the quality of products not only intermediaries Not responsible, but waves. As Asset Securitization serious adverse selection and moral hazard problems, since 2001, before the outbreak of the subprime crisis to, as the degree of deepening the securities, leading to the overall quality of U.S. mortgages continue to decline, when the crisis induced Important reasons.Draw lessons from the subprime crisis, asset securitization in order to ensure to continue to play its own normal function of the financial system by preventing the negative effects of too much, the need to improve the existing monetary policy and financial regulation policies to strengthen the regulation of the market.First, the analysis of asset securitization impact on the effectiveness of monetary policy on how to improve the object and the way monetary policy to improve the effectiveness of monetary policy. First, the traditional monetary policy is not the capital markets and related institutions into the scope of direct control. Second, the ultimate goal of monetary policy from the point of view, is concerned only with inflation, and does not contain the level of asset prices. Again, even if the traditional monetary policy attempt to asset securitization into the regulation of the class range of financial products, also because of the characteristics of asset securitization leaving the existing monetary policy tools lose results. For these problems, the direction of future monetary policy improvements, on the one hand, the "shadow banking" into the scope of monetary policy, the creative use of reserves and open market operations. On the other hand, should be more active in responding to asset price volatility. On this basis, combining the development status of asset securitization in China, elaborated on China's monetary policy in China.Second, the research asset securitization impact on the effectiveness of regulatory policies that the current "co-existence of multiple micro-prudential regulator"model can not conduct a comprehensive asset-backed securities regulators, there are serious gaps in the regulatory and supervisory arbitrage.Thus, with the constant deepening of securitization, making the overall quality of U.S. mortgages falling into one of the important reasons for the crisis.Third, the previous paper based on the research design of the asset securitization arrangements to monitor the system. One is to establish macro-prudential framework to enhance all aspects of asset securitization and related supervision, including the strengthening of the underlying asset quality control, risk prevention from the source; strengthen the operation of asset securitization regulation; to strengthen the supervision of rating agencies, Facilitate the provision of more objective and neutral rating services; strengthen Mixed range, product regulation, setting up a firewall. Second, the asset securitization products must establish an effective information disclosure system, fully reveal the risks and help investors to trade-offs. Third, this crisis as an opportunity to adapt to changing circumstances, improving the current financial crisis early warning system should have a comprehensive indicator system would be more sensitive and forward-looking reflect the credit market and capital market changes, to accommodate financial institutions, financial markets, Financial products and other factors.Affected by the crisis in 2008, issued after the securitization of domestic assets and environmental degradation, China Banking Regulatory Commission has suspended accepting new credit asset securitization program. This thesis is also the next step of the development of asset securitization strategies to think that both from the perspective of financial institutions, or from the investors,financiers point of view, or from the perspective of multi-level capital market, the implementation of asset securitization are Beneficial. If the United States subprime mortgage crisis is because innovation over, then the status of our country is currently facing a serious shortage of financial innovation, which reduces the efficiency of the financial system, therefore, need to take various measures to promote the development of asset securitization in China.