Asset Securitization, Financial Risk Management Study

Starting with the basic principle of Asset-backed Securitization, this paper analyzes thoroughly the interest rate risk & credit risk measurement method of ABS, and ends in discussing the risk management strategy and its achievement evaluation.Chapter One introduces the principle, operation, features and development of ABS, and then explores the necessities, feasibilities and risk of putting ABS into effect in China from a perspective. Finally the thesis analyzes its competition compared with other financial instruments.Chapter Two firstly presents the general process of financial risk management and interest risk measurement methodology simply. To follow, it deeply analyzes the new methodology calculating effective duration and convexity of ABS/MBS, which is Option-adjusted Spread(OAS). It is the basis of OAS to construct zero coupon yield curve and define interest rate term factors model. The key of OAS is to select a kind of interest rate scenario simulation and evaluation methodology fitting ABS/MBS.Chapter Three is about credit risk measurement methodology such as Zeta model, Credit scoring- model, Classification & regression tree, CSFP model and Credit metrics ,the latest of which can measure the credit risk of ABS/MBS dynamically.Chapter Four is the necessary extension of the content above. It is indispensable to select risk management strategies according to the nature and exposure of risk and evaluate the management achievement.