Risk Identification And Assessment Of Creditor’s Rights Of Stock Pledged Repo Asset-backed Securities

As the world financial trends, the Asset Securitization started to develop in China capital market since 2005,with the deepening of China’s financial reform. Although there have been intermediate business reorganization, in support of the government departments under the supervision, asset securitization rapidly regain development, which have more extensive product types, broader involving industries and greater business scale. Due to the late development, imperfect supervision measures and not mature investment experience of market participants, the development of asset securitization may face some financial risks in China, which may cause great loss of market investors and even affect the healthy development of asset securitization in China.Based on research on asset securitization and risk management in the academic circles at home and abroad, this paper aims to study the potential financial risks to the asset securitization products, with the ”Lufax-CSC-Ping-An·Changrong No.1 assetbacked special plan” as a case, using the AHP(analytic hierarchy process) Method for the risk identification research. Through the use of historical data calculation and Monte Carlo simulation method, this paper attempts to measure the probability of the market risk. Finally, this paper put forward the measures to prevent the risk of asset securitization business.The main conclusions of this paper included:(1) the legal regulations of the asset securitization is lack of refinement to improve in China;(2) there are many risk factors in asset securitization products in China, such as credit risk, market risk and liquidity risk;(3) market risk factor is a kind of relatively prominent risk factor to the stock pledged repo credit asset securitization.