Pricing Of Non-performing Asset Securitization

With the Chinese commercial banks reform, the problem of the bank’s non-performing assets also becoming increasingly apparent. The stock of non-performing assets of Chinese commercial banks is very large, which has seriously affected Chinese economic and financial market developments.In order to solve Chinese commercial banks non-performing assets, our country has taken a series of important measures. However, non-performing assets of Chinese commercial banks still large overall size. These non-performing assets of the banking system not only reduces the overall risk-resisting ability, but also had a negative impact to Chinese financial system, thereby affecting the healthy development of the entire national economy. Therefore, to effectively resolve non-performing assets of Chinese commercial bank has become imperative.This paper introduces the non-performing assets of commercial banks of Chinese current situation, causes and the hazards of non-performing assets to Chinese financial system. At present, Chinese capital market is not perfect, financing channels relative to developed countries is relatively narrow, and many high-quality projects because of funding shortages which can not be carried out smoothly. At the same time due to the particularity of Chinese economic system, banks, especially the big four state-owned banks in the financial position of the economy is rather special, take a number of government functions and the formation of a large number of non-performing assets.Our Government has been more emphasis on banks dispose of bad assets, adopting a series of measures, although achieved some results, but still lack the low-cost, efficient disposal methods, in order to more effectively dispose of bad assets of banks, research to develop a highly efficient way to dispose of bad assets of our government must face. This paper argues that securitization is an efficient way to resolve non-performing assets of Chinese banks.Secondly, this paper explains what’asset securitization’is. Asset Securitization is one of the most influential financial innovations in the 20th century,70 years. Asset securitization is based on not the asset itself, but the cash flows generated by assets.The pricing of the securitization products is the core’problem of non-performing asset securitization. The Domestic research of the securitization of non-performing assets focused on the feasibility analysis, legal and institutional aspects, and the study of the pricing theory is less.The innovation of this article is through the’certainty equivalent’concept, use probability, Infinitesimal calculus and other mathematical methods to derive non-performing asset securitization pricing interval model. Chinese non-performing asset securitization must learn the lessons of the U.S. sub-prime crisis.There is much to be desired in this pricing model, in the future, I hope after draw on the experience of the advanced country, we can obtained the credit risk measurement model for China, so the model of the price range can be further improved.