Research On The Credit Risk Of Credit Asset Securitization For China' Bank

Nowadays, Asset backed securitization has become the third mainstream financing way in international capital market. But the overuse of this financial innovation instrument caused frequent international financial crisis. At the same time, Asset backed securitization is not mature and the large-scale developing of asset-backed security is imperative.So this thesis chooses the credit risk of credit asset-backed security for China'bank as the target of research in the context of the economy.Firstly, this thesis carries out the qualitative analysis of the credit risk on the two aspects of credit asset pools and the participating subjects,and raises that the stable cash flow produced by credit asset pools is the core element of the whole transaction process; the participating subjects include the main participating subjects and auxiliary participating subjects,and this thesis chiefly analysise the credit risk faced by the three main participating subjects that are initiator,special purpose vehicle(SPV) and investors. Secondly,The credit risk is quantitatived on the qualitative analysis.On the one hand,Combining asset pool data of credit asset securitization offered by China Development Bank in 2005, The calculated resulting shows that the improved KMV model is a measuring method which is fit for the credit risk of credit asset pools.Then, Based on the improved KMV model,it innovatively raises the conception of critical value and critical value bounds for the credit risk, as for the participating subjects,and innovatively reseaches on the deterministic method of critical value and critical value bounds. When the credit risk is in the critical value bounds, The issuance of Asset backed securitization must be cautious, expecting that the critical value bounds is an early warning role for the credit risk of credit asset-backed security of China. On the other hand, This thesis quantitatively analyzes the credit risk by faced the three main participating subjects in the transaction process. Fuzzy evaluation is innovatively introduced and some credit risk indexes are selected. Expecting that the given simple framework map of credit risk and functional relation guide the deep theory reseach.