Risk Analysis Of China's Asset-backed Securities At A Later Stage

Since the restart of China's credit asset securitization in 2013,its issuing scale has been expanding continuously,and the market is developing towards standardization and normalization.At the same time,the group of subordinate tranche investors remains to be enlarged,and the liquidity of the secondary market needs to be improved urgently.One of the reasons for this problem is lacks of the information disclosure of the subordinate tranche asset-backed securities(ABS),and of risk rating,and the difficulties in risk assessment and pricing.Most domestic studies focused on regarding ABS as a whole,or halted at analyzing the impact of credit risk on senior tranche securities,not fully considered the huge risk differences among various levels of ABS and neglected the subordinate tranche ABS.Therefore,analyzing the risk of the subordinate tranche can make up for the omissions of the past researches,and provide reference for the theory and practice of asset securitization.First,the qualitative analysis,the risk form of ABS is combed and the differences of securities of different levels in different forms of risk are expounded.The macroeconomic and market risk,credit risk and operational risk are discussed in turn among which the credit risk is the main source of risk of ABS.The quantitative analysis was then performed.The analysis of quantitative index was used first to assess the risk situation by comparing the same type of ABS risk index.And then used the historical simulation method of VAR Model to analyze the risk,thus,worked out the maximum loss that the subordinate tranche securities can bear under a certain confidence coefficient.This index was combined with quantitative analysis to form a basic judgment on risk level.After that,the validity of the quantitative index was tested by utilizing the multiple regression models.On the base of the researches of European and American scholars,the explanatory variable in the model was being adjusted to fit China's actual situation.Considering the current development of China's financial industry,default risk is still the main risk origin and banking still plays the leadingrole,and the commercial banks have a great demand for ABS and its market potential is big.The default risk of subordinate tranche ABS was analyzed according to the data between 2014 and 2016.The results showed that the default rate,diversification,maturity,default recovery rate,and originators of assets can be regarded as the risk indicator of subordinate tranche securities.Finally,combining with the conclusions of qualitative analysis and quantitative analysis,there were some suggestions being offered that we should strengthen information disclosure,improve the liquidity of secondary market,and enhance the supervision accordingly and so on.