A Study Of Credit Risk Of Student Loan Securitization

The favoring implement of the national student loans policy have important strategic meaning to actualize the strategy of invigorating the country through science & education and promote the long-term and continual development of economy. But the high risk characteristic of the student loans make the commercial bank of carrying out this policy face strong pressure of lowering non- performing loans. The national student loans of being very strong political but being commercial loans are being embarrassed. Owing to conflicts between the market operation and policy of the national student loan, the student loan securitization finds out one problem-solving way that is reasonable from the financial creative angle.Taking the basic theories of credit asset securitization as the point of departure and combining the actual circumstance of the student loan asset, this paper put forward the concrete operation mode of the student loan securitization; taking this as basis, analyzed the credit risk of each phase of the student loan securitization. making use of the game theory, I analyzed the credit risk of issuing stage of student loan and educed a conclusion: to student loan that base credit, for default caused because of objective reason bank also shouldn't actualize the high punishment, the system design of reducing default because of t objective reason mainly consider return ability and return term. But the default caused because of subjective reason is the result of the information dissymmetry and the morals risk, therefore, to bank the key is tracking information of student that borrowed loan and the size of fun cost.Owing to the particularity of issuing object, student loans take credit as basis, therefore, the credit evaluation method adopted to evaluate other credit asset-based security no longer apply the student loan-backed security. Basing selecting of university student's personal credit appraisal index, the paper established "FUZZY" model to evaluate the personal credit of university student. This paper established credit default option of the student loan assets wrap as underlying assets, to achieve the purpose of credit enhance of student loan assets wrap, and low the default rate of student loan based security. Also by an imaginary example, to describe establishment and execution process of credit default option of student loan assets swap as underlying asset. Now, this paper analyzed the current credit risk models and proposed the modified KMV model to measure the credit risk of the student loans. Then applying the modified KMV model to a simulated student loans case, compute the expected default probabilities corresponding to different possible issue volumes of bonds.