A Research On The Impact Of Asset Securitization On Chinese Commercial Banks'Risks

In 1968,Ginnie Mae launched the first asset-backed securitization in the world,beginning the era of Asset Securitization.In the half century that followed,asset-backed securities have achieved rapid development worldwide,its scale of market is expanding rapidly.At present,as one of the most important financial innovations in history,asset securitization has played an irreplaceable role in the financial field.On the one hand,asset securitization provides an effective means for financial institutions to transfer risks,release capital,improve profits and replenish liquidity.On the other hand,asset securitization effectively expands the financing channels of enterprises and provides great convenience for enterprises' financing.In addition,asset securitization greatly enriches the investment tools of financial market and meets the diverse investment needs of market participants.China's regulatory authorities are cautious about asset securitization for a long time.Time to 2005,China's regulatory authorities has begun to promote the pilot project of Asset Securitization.However,the outbreak of the "sub-prime mortgage crisis" in the United States in 2008 has caused widespread criticism of asset securitization from all walks of life.For prudent consideration,China's regulatory authorities immediately suspended the pilot asset securitization.With China's economy entering a new normal state,in order to further deepen financial reform,China's regulatory authorities formally restarted the pilot project of asset securitization in 2012.In recent years,China's ABS market has achieved vigorous development.In 2018,China's ABS product issuance surpassed 2 trillion yuan,and has become the largest ABS market in Asia.In the process of deepening the "financial supply-side reform" in China,asset securitization has been highly expected and has become an area with great concern.It is worth noting that asset securitization itself is a "double-edged sword",bringing benefits,but also potentially harmful.The outbreak of the "sub-prime mortgage crisis" in the United States tells us,the underlying problems in the development of asset securitization market are extremely complex and far-reaching.In the process of developing asset securitization business by financial institutions,if the regulatory authorities cannot closely monitor the impact of asset securitization and take timely measures to deal with it,it is likely to cause serious losses.Compared with developed countries in Europe and America,although asset securitization started late in China,the market has developed and expanded rapidly in recent years.Asset securitization plays an increasingly important role in chinese national economy and financial market.Then,as the most important participant in the asset securitization market in China,what achievements have commercial banks made in their asset securitization business?What are their main motivations?What kind of impact do they have on their own risk?This paper studies the development status and driving factors of asset securitization business of commercial Banks in China.Furthermore,this paper comprehensively examines the impact of asset securitization on the operational robustness,operational efficiency,earnings volatility,capital adequacy ratio,credit structure,capital market valuation,credit risk,systematic risk and liquidity risk of China's commercial Banks.This thesis has ten chapters,the contents and conclusions are as follows:Chapter 1,Introduction.Firstly,this chapter introduces the background of this paper.Secondly,this chapter explains the theoretical value and practical value of this paper.Thirdly,this chapter introduces the research content,method and framework of this paper.Finally,this chapter introduces the innovation and deficiency of this paper.Chapter 2,Literature Review.This chapter mainly summarizes the literature on the asset securitization of commercial Banks.Firstly,it is the driver of asset securitization.At the micro level,the driving factors include improving liquidity,transferring risks and prudent operation,improving profitability,optimizing asset structure and reducing financing costs.At the macro level,the driving factors include financial regulation,macro-economy,market environment,interest rate liberalization,and financial structure changes.Secondly,the comprehensive impact of asset securitization on commercial Banks is analyzed from the perspectives of operational robustness,profitability and efficiency,credit risks,systemic risks and liquidity risks.Finally,this chapter analyzes the limitations of existing literature.Chapter 3,Asset Securitization Business of Commercial Banks:Current Situation Analysis and Motivation Exploration.The main contents of this chapter include:The first part analyzes the current situation of asset securitization market in China.Firstly,the first part analyzes the overall situation of China's asset securitization market from the aspects of business model,issuance scale and stock distribution.Secondly,the first part analyzes the development of credit asset securitization,enterprise asset securitization and asset-backed bills in China's commercial banks.Thirdly,by distinguishing the basic assets and the types of banks,the first part makes an analysis of the development of credit asset securitization by commercial banks in China.Finally,the participation degree and market competition situation of asset securitization in China's commercial banks are analyzed.The second part studies the driving factors of China's commercial banks'asset securitization business.On the one hand,both of improve profitability and improve asset quality are important motivation for Chinese commercial Banks to develop asset securitization business.On the other hand,the improvement of cost control ability and the narrowing of net interest margin brought by interest rate liberalization,also drives China's commercial banks to carry out asset securitization business.Chapter 4,Impact of Asset Securitization on Commercial Banks:The Perspective of Operational Robustness and Earnings Volatility.By considering self selection problem,this chapter studies the impact of asset securitization on the operational robustness and earnings volatility of commercial banks in China.This chapter get conclusions that:(1)Asset securitization has significantly reduced the operational robustness of China's commercial Banks.(2)Asset securitization has significantly increase the earnings volatility of China's commercial banks.Chapter 5,Impact of Asset Securitization on Commercial Banks:The Perspective of Credit Risk.This chapter deepens the operational robustness of commercial banks and studies it from the perspective of credit risk.This chapter get conclusions that:(1)From the aspect of business type,operate asset securitization business as initiator will increase credit risk,operate asset securitization business as dealer will not affcet credit risk.(2)From the aspect of underlying assets,operate asset securitization with business loan will increase credit risk,operate asset securitization with mortgage and consumer loan will not affcet credit risk.(3)Overall,asset securitization will increase credit risk,and the effect is heterogeneous.The larger the asset scale and the higher the capital adequacy ratio of commercial banks,the smaller the impact of asset securitization on their credit risks.Chapter 6,Impact of Asset Securitization on Commercial Banks:The Perspective of Systemic Risk.This chapter deepens the operational robustness of commercial banks and studies it from the perspective of systemic risk.This chapter get conclusions that:(1)From the aspect of business type,operate asset securitization business as initiator will dncrease systemic risk,operate asset securitization business as dealer will not affcet systemic risk.(2)From the aspect of underlying assets,operate asset securitization with business loan will dncrease systemic risk,operate asset securitization with mortgage and consumer loan will not affcet systemic risk.(3)Overall,asset securitization will dncrease systemic risk,and the effect is heterogeneous.The larger the asset scale of commercial Banks,the less the impact of asset securitization on their systemic risk.The higher the capital adequacy ratio of commercial Banks,the greater the impact of asset securitization on their systemic risk.Chapter 7,Impact of Asset Securitization on Commercial Banks:The Perspective of Liquidity Risk.This chapter deepens the operational robustness of commercial banks and studies it from the perspective of liquidity risk.This chapter get conclusions that:(1)From the aspect of business type,operate asset securitization business as initiator will dncrease liquidity risk,operate asset securitization business as dealer will not affcet liquidity risk.(2)From the aspect of underlying assets,operate asset securitization with business loan will dncrease liquidity risk,operate asset securitization with mortgage and consumer loan will not affcet liquidity risk.(3)Overall,asset securitization will dncrease liquidity risk,and the effect is heterogeneous.The higher the leverage level of commercial Banks,the less the negative impact of asset securitization on their liquidity risk.The higher the capital adequacy ratio of commercial Banks,the greater the negative impact of asset securitization on their liquidity risk.Chapter 8,Conclusions and Suggestions.This chapter summarizes the main conclusions and puts forward policy suggestions.