A Study Of The Aeest Pool Design In Non-Performing Asset Securitization

The thesis is subsidized by the soft sciences project of Hebei Province 2005(The research of management and disposal of state-owned companies'bad assets in Hebei Province). The experience of dealing with non-performing asset in worldwide banks shows that the securitization of non-performing asset can speed up its disposition and reclaim the cash in advance so that the financial risk can be prevented and dissolved. With the reconstruction of China's state-owned commercial banks and their being on the list as well as the intensification of reform in the capital market,the securitization of non-performing asset grows more and more imperative. The design of asset pool is the important part in the process of such a securitization. How to design the asset pool so as to meet the requirements of securitization has become a tough issue.First,the paper demonstrates the easibility and necessity of non-performing asset (NPA) securitization,as well as the feasibility that makes trust put to use the implementation of NPA securitization,as the precondition for the design of pool. Then,it analyses the theory of the design of pool. On that basis,a plan for the design of pool of the securitization of non-performing asset in China's commercial banks is put forward. Finally,it testify the feasibility and maneuverability of the design of pool by simulating a case.The detail of the design of pool is as follows:calsulate the indexes of NPAs,then the assets are combined according to KMV Portfolio model. And the minimum risk combination of asset pool under certain expected yield will be obtained. Trust company can take the role in SPT model by using the Single Trust construction. From the perspective of bond breaching,the model of optimal excess mortgage is made so as to get the minimum rate of excess mortgage under the circumstance of meeting the need of non-performing asset securitization.