Bank Credit Assets Securitization, Credit Risk Analysis

Asset securitization has been one of the most important financial innovation since 1970s'. the unique mechanism of asset securitization can put the financial organization hold asset, which is lack of liquidity but can produce steady cash flows, into security. Through this way, the financial organization can enhance its asset liquidity and find a new source of finance channel. The true asset securitization in China is publicly offered by China Development Bank and China Construction Bank in 2005. Although these two trials were highly expected by the whole market, they did not perform well enough. One of the most important reasons is that the risk analysis system has not been established and as a result the pricing system and the steady expectation can not be built. So this paper mainly focuses on the analysis of credit risk which is one of the most important kinds of risk in asset securitization.This paper thinks there are tow kinds of credit risk in the banks' asset securitization, one is the asset's credit risk and the other is the participants' credit risk. The asset's credit risk is the root of the credit risk of the whole securitization, and when the asset pool's cash flows can not afford to pay for the principle and interests of the security, credit risk occurs. The participants' credit risk is the risk caused by the participants. When analyzing the participants' credit risk, this paper bases the analysis on the contractual relationship. And this paper thinks the credit risk can be transferred through the participants by the contractual relationship. After analyzing these two kinds of credit risk, this paper discusses the synthetic credit risk by analyzing the mutual effect of the asset credit risk and the participants' credit risk.Besides the preface, this paper is divided into sixth parts. The arrangements of mis paper are as follows. The first part is introduction. It introduces the background of the thesis, and advances the problem which is to be settled. And then reviews the researches made by the ancestors, and made some analytic comments. In the second part, this paper classifies the undertakers of the credit risk in the bank's asset securitization. It advances the point of view that there are three kinds of credit risk undertakers in the bank's asset securitization. They are the bank which acts as the initiator, the SPV and the investors. Further more, it analyzes the undertaker's amount of the credit risk according to the type of securitization. In the third part, it analyzes the asset's credit risk in the bank's...