Credit Risk Research Of Creditassets Secutization In China Based On Creditmetrics Model

With the proceeding of market-based reform of interest rates in China,the banks’ traditional credit lines are facing more impact. How to transform tofind a new growth area, is a key point that is wildly concerned by manybank’s managements, however, credit assets securitization, in long-term, willsurely play an important parts in this issue.Under this situation, PBC, CBRC and the Ministry of Finance jointlyissued The Notice on Further Expanding the Credit Assets Securitizationrelated Matters, and restarted credit assets securitization in2012. Beside anew kind of business and investment product, the restart carried out a seriesof questions such as how would the credit assets securitization product bepriced and how to evaluate the risk of it, which will attract the close attentionof the market and the public. So credit risk research of credit assetssecuritization in China will have a great practical significance.This thesis compares credit assets securitization in China and westernmature markets, and emphasizes the characteristics on China credit assetssecuritization, on this base, the thesis further discusses the applicability ofCreditMetrics Model and KMV Model for risk evaluation on China creditassets securitization, and makes some adjustment to models according to theChinese market feature. In the end, the thesis applies the adjusted model to a certain case to verify its feasibility. My thesis will have some reference valueon risk evaluation and management of credit assets securitization in Chinesemarket.