Study Of Non-performing Loan Securitization Pricing

The large amount of nonperforming loans (NPL) of commercial banks did tremendous harm to the development of our economic and the stabilization of our finance system. It has become an urgent problem. The asset securitization is a financial innovation and it has developed a lot in recent years. It also has become one of the efficient ways to solve the non-performing loans. The pricing problem of the NPL is the key point of the NPL asset securitization and it is also very difficult. Now our NPL pricing system is not consummate, we should develop it both in the theory and in the practice .In this dissertation ,we make a reasonable price on the NPL using the correlation factors regression analytical method and the capital asset pricing model.There are two problems on the NPL asset securitization pricing problem, one is the pricing problem of the basic asset, the other is the securitization's pricing problem. At first ,the dissertation introduces some pricing method that used in our country and in the foreign country, then advances to use the correlation factors regression analytical method on the basic asset's pricing problem. This is the foundation of the securitization pricing. We use the capital asset pricing model to price the risk-adjusted discount rate. An example is given combined the theory in the dissertation and the situation of our country. At last some conclusions and the further expectation is given in the dissertation. The dissertation thinks that the composing of NPL in our country is very low, it is difficult to reclaim. But the NPL is valuable assets to the investors, so we can use the asset securitization to solve the problem, it can improve the liquidity of the asset and evade venture. After considering the influence factors comprehensively, it is reasonable to use the correlation factors regression analytical model to price the basic asset of the NPL.