Research On The Risk Transmission Mechanisms Of Credit Assets Securitization In China

In the context that securitization of credit asset has developed rapidly in China,it is of great significance to study the risk creating and transmission mechanism of credit asset securitization deeply and systematically to construct the credit asset securitization regulation system,and to prevent the risk contagion of credit asset securitization,and to promote the development of securitization market in China.we firstly summarize the theory of the motivations?risk transmission and financial regulations of credit asset securitization,and review the relevant literatures on the risk of asset securitization as the theoretical basis and literature foundation of the full text analysis.As the information asymmetry is closely related to the motivation of credit asset securitization of commercial banks,this paper analyzes the motivations of credit assets securitization of commercial banks in China.then combined with the characteristic of risk transmission mechanism,this paper makes an empirical study on the risk transmission mechanism of credit asset securitization from the pathway of risk transfer and credit expansion in China.Finally,considering the mechanism and pathway of risk transmission of credit asset securitization,this paper discusses the construction of credit asset securitization risk regulatory framework from four aspects in China:information disclosure regulation?risk retention regulation.credit rating regulation and systemic risk prevention problem.Throughout the text,the main conclusions are as follows:Firstly,credit asset securitization of risk transmission mechanism in China has the following characteristics:1)In the course of securitization of credit assets,the quality of basic assets has not decreased;2)Non-performing asset securitization has a larger development space,and prevention the risk of non-performing asset securitization will be one of the key points of credit asset securitization risk regulation in the future for a long period of time in China;3)Due to the relatively limited product and investor type,the liquidity of credit asset securitization trading market is limited in China,and the phenomenon of mutual ownership of asset-backed securities by commercial banks is serious,which limits the risk transfer function of credit asset securitization and the risk sharing function of trading market to a certain extent;4)The credit expansion caused by shadow banks in the process of credit asset securitization will aggravate the fragility of Chinese financial system.This is significantly different from transmission mechanism based on the financial product innovation chain in the United States' subprime crisis.Secondly,through empirical research,it is found that the different types of commercial banks in China have different focus of the motivation of asset securitization.The safety of assets and the adequacy of regulatory capital reflect the short-term direct motivation of credit asset securitization of commercial bank;optimizing the structure of assets and improving liquidity reflect the long-term potential motivations of credit asset securitization of commercial bank;and adjusting the profit model and enhancing profitability reflects the the long-term fundamental motivation of credit asset securitization of commercial bank.Thirdly,based on the credit expansion,China's credit asset securitization has a risk transmission effect on the capital market and the real estate market.By combining the liquidity and profit motivation of credit asset securitization with information asymmetry,this paper makes an empirical study on the risk transmission of credit asset securitization based on the credit expansion.We find that credit asset securitization has a credit expansion effect,which has an impact on the slope of the relationship between stock price and real estate price to credit expansion.It shows that the credit expansion caused by credit asset securitization has risk transmission effect to the capital market and the real estate market.The innovation of this research:Firstly,this paper studies the risk transmission mechanism of credit asset securitization in China by combining the reverse selection and moral hazard of initiated bank with its motivation of credit asset securitization.It is found that under the information asymmetry,the interaction of the reverse selection and moral hazard of initiated bank and its security motivation of credit asset securitization have formed an important pathway of the risk transmission of credit asset securitization in China:risk transfer.The interaction of the reverse selection and moral hazard of initiated bank and its liquidity and profit motivation of credit asset securitization have formed another important pathway of the risk transmission of credit asset securitization in China:credit expansion.Secondly,using the multiple regression method,this paper makes an empirical study on the risk transmission pathway of China's credit asset securitization from the aspects of risk transfer and credit expansion.It found based on the reason of that current scale of credit asset securitization is relatively small and the fundamental assets of securitization are mainly high-quality assets in China,the risk transmission effect of credit asset securitization to China banking system is not significant through the process of risk transfer.And the risk transmission effect of credit asset securitization to China capital markets and real estate markets is significant through the process of credit expansion.Thirdly,in the aspect of information disclosure regulation,this paper puts forward the viewpoints of strengthening and refining the individual asset information disclosure of basic assets pool;In the aspect of risk retention regulation,this paper puts forward the view that the risk retention requirement is achieved by the requirement of the overall risk retention ratio and the lowest proportion of the self-holding ratio,and the risk setting ratio according to the different setting of the basic asset type;In the aspect of credit rating regulation,this paper puts forward the viewpoint of optimizing the payment model,and perfecting the market access and exit mechanism of rating agencies.