Research On The Risk And Prevention Of Residential Mortgage-Backed Securitization In China

Preventing the risk of residential mortgage-backed securitization is very important for promoting the healthy development of our country's financial market and building a modern financial system. In our country, the residential mortgage-backed securitization is imports, which has a late start. Today, only China construction bank released "Jianyuan 2005-1" and "Jianyuan 2007-1", two single residential mortgage-backed securitization products. The study about mortgage-backed securitization has a long time in our country, many scholars made use of different ways from different angles to research deeply and achieved many achievement. However, many studies only stay in the basic situation and risk analysis of "Jianyuan 2007-1", the research on the sub-prime mortgage crisis also limited to its situation analysis about reason and risk transfer mechanism etc., therefore, the timeliness of risk prevention revelation of residential mortgage-backed securitization is relatively limited. Based on this, according to the current situation in China, in order to pave the way for the healthy development of residential mortgage-backed securitization in the future, it is very important to have further discusses on the risk and prevention of residential mortgage-backed securitization from the perspective of era after crisis.The paper firstly explains the risk of financial innovation tools based on the residential mortgage-backed securitization related theory. Secondly, it introduces the U.S. sub-prime mortgage crisis as a risk case, analyzes the relationship between it and residential mortgage-backed securitization and the cause of the sub-prime mortgage crisis, as well as comments on the measures taken by the US government to prevent risks. Thirdly, it made detailed analysis on the status quo and the risk of China's residential mortgage-backed securitization, and then introduces "Jianyuan 2007-1" RMBS issued by China construction bank after the sub-prime crisis to deal with the prepayment risk, credit risk and the interest rate risk to do empirical analysis. selecting the data of asset pool of"Jianyuan 2007-1"trust report from 19th to 38th period , the paper calculate the prepayment rate of "Jianyuan 2007-1" by using SMM formula and CPR formula, it is concluded that the CPR value predicted by the construction bank who guide investors lower than the actual CPR value; it makes linear regression of the macroeconomic factors which influence the default rate of "Jianyuan 2007-1" by using SPSS software, then it draw the CPV model associated with the default rate, it is concluded that the default rate is positively related to CERCI (China Real Estate Climate Index) and CPI (Live), the default rate is negatively related to individual residential mortgage interest five-year above and China housing sales price index. Finally, six preventive countermeasures of China's residential mortgage-backed securitization risk are summoned up based on above analysis, such as perfecting the legal laws and regulations, strengthening financial supervision.