Research On The Impact Of Asset Securitization On Bank Credit Risk

As the middle of the 20 th century's most important financial innovation,asset securitization since it was born in the United States is quickly swept across all over the world.In recent 20 years,the size of the asset securitization in United States rapid development at a compound annual growth rate,and the exploration of asset securitization in our country is in the late 1980 s.However,comparing with the practice development of asset securitization,academic research on asset securitization lags behind.Some explanations the contradiction between the theoretical model of asset securitization and relevant experience analysis are not enough,and a lot of contradictory theory models and empirical analysis results,as a whole,are not satisfactory.In this paper,after the brief introduction of the related concepts of asset securitization and its development in China and the United States,summarizing the existing experience about bank asset securitization effects,aiming at the problems and the insufficiency,adopting different measurement methods respectively for China's listed commercial Banks and bank holding companies in the United States: securitization activities of bank holding companies have significant impact on its credit risk or not.On the analysis of bank holding companies in the United States by using dynamic panel econometric method,selecting three representative indicators as explained variables,the sample is divided to two parts according to the financial crisis in 2008,analyzed in different angles and levels,such as classified by size classification,by frequency,the before and after the financial crisis(from the second quarter of 2001 to the fourth quarter of 2007,from the first quarter of 2009 to the fourth quarter of 2015)asset securitization changes impact on the credit risk of bank holding company.Then from the two aspects of model demonstrate the reliability of the results.According to the results,either from the perspective of before and after the financial crisis or from the point of scale classification or frequency classification,asset securitization has no effects on the credit risk of bank holding company.On the basis of theoretical and empirical analysis,16 listed Banks in our country through the analysis of the measurable method for securitization activities on the influence of the risks of its own,the results show that there is significant influence and with the augmentation of the securitization activity,the risk increases.This paper argues that asset securitization in our country is in early stage,and the market trading and regulatory supervision mechanism is not perfect,so there are a lot of room to grow.Finally,according to the theoretical and empirical analysis conclusion,bank asset securitization in our country should be to develop and perfect,and put forward relevant policy suggestions.This paper argues that the development of asset securitization have positive effects on bank credit risk management in China,the development of asset securitization should be combined with the actuality,not copy the foreign dogma,must be for the purpose of transfer and dissolve the bank's risk,and the government should actively promote and support the development of asset securitization market,speed up the construction of multi-level capital market system,exert the market resources allocation function,improve the trade structure of asset securitization.