Study On The Credit Risk Of Asset Securitization Of China's Commercial Banks

Asset securitization has been developed for decades in foreign countries.So far,a relatively complete asset securitization system has been set up,which is of great significance for promoting the development of financial market,enriching the financial service and enhancing the efficiency of financial assets.In contrast,China's asset securitization has just started in 2005,and has been in a pilot stage,even in the 2008 financial crisis also appeared after a few years shut down,an objective reflection of our country does not have full implementation of asset securitization conditions,Development there are still many risks.This paper selects the credit risk as the research object,analyzes the credit risk factors and the risk avoidance measures of the sponsor,the debtor and the third party service institution,and analyzes the risk of the commercial bank asset securitization The development of risk control and provide a useful reference.First of all,on the basis of domestic and foreign literatures,this paper analyzes the development of asset securitization in our country,and finds that:from the perspective of asset securitization,the credit support product structure is in absolute position in the asset securitization market;Scale,the proportion of the sudden increase in 2014,into the rapid growth stage;interest rate spreads from the point of view,the floating rate of assets accounted for the vast majority,but the risk is relatively large,and fixed-rate credit-backed securities relatively small,Circulation,accounting for the increase in favor of reducing the risk of the entire credit-backed securities market;from the perspective of the underlying asset pool,CLO products into the pool of assets as a whole on the relatively high level of credit into the pool have a certain age,The rest of the repayment period is short,the number of assets and loan interest rates are more suitable for securitization.In the process of development,commercial banks asset securitization generally face credit risk,that is,the moral and credit risk of promoters,debtors and third-party rating agencies.Secondly,this article chooses the Q bank as the object,carries on the case analysis to the commercial bank asset securitization credit risk.By analyzing QBC's first asset securitization business in 2016,it is found that Q Bank can strictly examine the basic situation and financial status of the borrower in terms of loan choice,and select the stable assets with stable rating and excellent basic assets into the pool,Risk control procedures are more standardized.At the same time as the sponsor plans to hold not less than 5%of the scale of issuance of asset-backed securities to bear part of the default risk,and then through the system and management to reduce risk in the controllable range to ensure the interests of banks and investors.As the Q bank to take a better risk control means,strict management of the borrower audits,and therefore face a lower debtor and sponsor risk.Thirdly,considering the limitation of the case analysis,this paper uses the modified KMV model to test the credit risk faced by the commercial banks in the market fluctuation situation,and calculates the expected credit default rate of the credit-backed securities.The empirical results show that,due to the good credit quality of asset pool borrowers and the short remaining period of basic assets in the initial stage of asset securitization,the macroeconomic market conditions are basically stable and the risk of credit risk is basically the same as that of the commercial banks' good risk control system and risk prevention awareness.Control at a lower level,the probability of the business default is 0.15%,which is consistent with the case analysis results.Finally,on the basis of the present situation analysis,the case selection and the empirical test,this paper puts forward the corresponding risk prevention,risk control and risk control for the commercial bank credit asset securitization credit risk.