Study On The Pricing Of Secritization For The Non-Performing Loans In The State-Owned Commercial Banks

In this dissertation, starting with the introduction of the causation and the tremendous harm of the non-performing loans(NPL) of the state-owned commercial banks, the advantage and the disadvantage of the current techniques for dealing with the NPL is analyzed particularly. Hereon, with developing the overseas advanced experience, the great significance of the asset securitization for the NPL is expatiated and the treatment mode of disposing the NPL is structured.The pricing of the NPL is a difficult question on the process of the asset securitization. At first, in the course of conforming the asset pool, corresponding to the types of the assets, evaluation means are given with the use of the quantitative and qualitative methods, on the basis of which, the cash-flow is measured. Secondly, the risk-adjusted discount rate is determined with the capital asset pricing model. At last, making use of the cash-flow and the risk-adjusted discount rate, the price of the securities issued is ascertained. At the same time, the discourse also probes into the establishment of the special purpose vehicle(SPV) and the credit enhancement design in the securitization for the NPL, and puts forward the countermeasure correspondingly.In the last part of the thesis, an example is given combined the theory brought forward with the situation of our country.