A Study On Safety Debt Of Nonperforming Asset Securitization In China

Recently, nonperforming asset securization, method for dealing with nonperforming assets of banks or other finacial institutions is springing up in developped capital market. The principle of this method is to integrate assests with poor liquidity but predictably stable cash flow into an asset pool and then issue security on this basis. This research concerns with more complex issues such as mortgage and recovery differing from high-quality asset securitization. The thinking of safety debt raised in this paper is put forward through asset choice modeling, security scale calculation and evaluation of cash recovery level to mine relative'quality'part. This study has an important theoretical and practical significance to resovling the nonperforming asset of China's commercial banks and promoting the financial reform.The paper discusses the research status quo at home and abroad and makes the literature review systematically, compares the nonperforming asste securitization practices of United States, Italy, Japan and South Korea internationally, and analyses asset-backed security's spread empirically, and on the basis of which the paper concluds the following three aspects to be carried out in-depth study.First of all, against discrete status of default or not of the existing asset selection, independent cumulative ternary logit model and related cumulative ternary logit model were created for nonperforming asset selection in China for the first time. Related model introduces three indicators of repayment willing, industry correlation and interest sensitivity,which tries to select different kinds of assets into asset pool. Both of the two models has perfect forecasting ability, the forcasting accuracy is up to 74.5% and 78.3% for entire sample. Irrelevance independency alternative test is done and the result shows that the parameter estimation is reliable.Second, from the perspective of default risk of the nonperforming asset pool, which exceeds the limitations only considering the financial situation and financing needs of the issuer, the theoretical research is carried out to the asset pool's safety debt scale. Under the assumption that assets liquidation income obeys logarithm normal distribution and fitting distribution, the safety debt scale of nonperforming asset pool was deduced conversely while controlling the default probability. The mothod solves the sefety debt scale's determine theoretically. The empirical research shows that default probability increasing in fitting distribution may result in decrease of safety debt scale. With the expansion of debt scale ,the default probability shows an increasing trend acceleratingly. The discovery has a great reference for determining nonperforming safety debt scale.Finally, against the more affecting factors of the nonperforming assets pool's cash recovery level, the paper introduces main component analysis to the modeling of cash recovery level evaluation of nonperforming assests pool for the first time. By adjusting main factors, the model provides practical method for nonperforming assets'dynamic management effectively. It suggests using robust main component analysis to solve outliers frequently occur in nonperforming assets pool. The empirical results show that revised method and the new robust estimator can perfectly resist outliers.