Research By Means Of VAR Which Based On Fuzzy Influence Diagram Theory For The Risk Measure Of Asset Securitization

As a financial innovative product, asset securitization, with its own characteristics and advantages, provide a new mode of financing and investment products for financiers and investors of the market, become the one of the most active financial business in recent decades. However, due to asset securitization is a complex process, have delicate operating process and lots of participants, and many of the means and methods used are more complex and novel, so asset securitization has a greater risk in its process of operation and running. In the previous academic research, the research of asset securitization risk is more concentrated in one or several risk, but in the actual issuance and sale process of asset securitization products, these risks are not independent of each other, therefore, the research of asset securitization risk should be based on asset securitization as a whole as a starting point.This article based on the introduction of the concept, the basic principles and the operation of asset securitization, use fuzzy influence diagram on VaR calculation for a comprehensive look at the risk of asset securitization. we comprehensive introduce the asset securitization firstly, and in-depth analysis its operation of the process, then according to these concepts the risk factors are summarized. After that, combined with fuzzy influence diagrams processing the linkages between the various risk factors in the asset securitization, an asset securitization risk factors influence diagram is produced. Then quantify and determine the risks associated with the probability function through fuzzy set theory and probability theory, calculate the VaR use the function with VaR method. After all, we use2006Kaiyuan credit asset-backed securities as an example to test and verify the methods above in the5th chapter, and prove the effectiveness and feasibility of the method.Through the research by means of VAR which based on fuzzy influence diagram theory for the risk measure of asset securitization, this article comprehensive analysis of the asset securitization risks, provide a new approach to comprehensive measure the risk of asset securitization, and provide an effective basis to its risk control.