The Research On Banks' Credit Asset Securitization Under Asymmetric Information

As we know, the bad asset problem has been the heavy burden in the development process of the banking. The existence of a huge sum of bad asset not only lowered the economic performance of financing institution, but also threatened the safety of our financial system seriously, restricted the fast and healthy development of national economy. Settling the liquidity problem of bad asset with securitization have already obtained Pore ideal result in America and the other developed countries, but in china, the bad asset securitization is just starting, the theory and practice is needing to be perfected. The dissertation mainly studies the effects of the credit asset securitization on loan rate under asymmetric information by a game model between the bank and "GSES", and put forward some creative suggestion to the expansion of the bad asset securitization in china.The dissertation introduce the core principle and three mechanisms that the bad asset securitization rely for existence, is cask flow analysis,asset-combination mechanism,risk-insulation mechanism,credit-upgrade mechanism. The bad asset securitization needs to construct a careful and efficient trade structure to assure the success of financing, this kind of trade structure includes operation corpus and operation procedure. So then, the article introduce the launch,establish,investor,credit-upgrade corpus and management organization and the total operation procedure. As the article studies a game model between the bank and "GSES" under asymmetric information, the second Part talks about the two basic theory, including information asymmetry and game theory. in fact, in china, the majority of bad assets concentrates in state-owned commercial bank, although Post of banks have finished share-system reformation now, the property rights still belong to government, to establish government-sponsored "GSES" to carry on securitization is a good choice, so the third Part begin to analyze the bad asset securitization game model and ends with a lot of conclusion. The last Part put forward creative way of thinking on the bad asset securitization from four aspect, the principle of setting asset pond,develop and perfect way of trust,perfect trade structure and perfect the treatment structure of bad asset..The research reveals that the bad asset securitization by "GSES" will not necessarily lower the loan rate, only when the cost of securitization is very small, it is possible; The bigger the percent of loans with low default-risk is, the lower the loan rate is, the bigger the percent of loans with high default-risk is, the higher the loan rate is; the Pain persons who benefit from bad asset securitization are the borrowers with high default-risk and low screen-cost, not the borrowers with low default-risk; the yield of Security by "GSES" is equal to the yield of no-risk asset, so the banks don't and have no necessity to Screening loans.