Research On Credit Risk Of Basic Assets In Credit Asset Securitization Based On VaR

Credit asset securitization products in the United States in 1970 s,in recent years due to its high profits attracted the attention of many investors,in "revitalize the stock,with a good increment" policy under the guidance of credit asset securitization products in the rapid development of our country.The essence of credit asset securitization products is the foundation of the asset pool generated cash flow support,so the quality of the underlying asset is key,relative to the credit asset securitization products,credit risk is the main risk factors of face.In the past,people with similar risk bond rating measure of credit asset securitization products,but the credit asset securitization products and bonds is significantly different,because the transfer of assets,in fact is not the debt relationship.China's development of credit asset securitization in the initial stage,to risk prevention,the accumulation of experience.Under this background,the technology-VaR method to measure through banks commonly used credit risk analysis based on asset securitization of credit assets of the credit risk,and use this method to measure the credit risk of Z bank K products with this method,and puts forward the conclusion and research prospect.The underlying asset pool of credit asset securitization products is the number of pens scattered around the country credit package form,such as the securitization of housing mortgage loan project is the bank will spread across the country,housing mortgage loans according to the agreed standard screened and packaged transferred to special purpose trust(SPV),the correlation of these loans is low.A high degree of homogeneity,the credit risk is the main risk sources of these loans in the face,without considering the prepayment rate,asset disposal recovery rate,each loan can be used to describe the normal or default,usually in the housing mortgage loan securitization project,the homogenization of credit up to tens of thousands of pens,normal distribution the rate of non-performing loans overall tend to smooth.The VaR method can be used to estimate the extent of the negative rate of basic assets in the securitization of credit assets under a given confidence level.If the credit asset securitization products priority,and then remove the prepayment rate can be estimated future cash flow by the asset base interest rate minus the rate of bad,in the secondary protection,priority gains are usually agreed,the priority of credit risk through VaR method to measure,so investors can use the data to weigh risk return.Furthermore,according to the structure design of credit asset securitization,the future cash flow minus priority revenue,plus bad recycling is secondary income.In the same way,secondary credit risk can also be measured in the VaR method.This study considers that the VaR method is applicable to measure the credit risk of basic assets in credit asset securitization.The advantage of VaR is a quantitative index,which can be compared with other types of risks and is an ex ante risk prevention.Of course,in addition to the basis of credit asset securitization asset credit risk,and operational risk,structural risk,market risk,future cash flow is limited to early repayment rate,the recovery rate of adverse effects,but the main source of risk is the basis of the asset pool of credit risk,credit risk determines the quality of the pool of assets.Objectively speaking,asset securitization in our country is still in the initial stage,looking ahead,the regulatory requirements of the issuer in the credit asset securitization issued before the specification of asset pool based information disclosure,investors can get more high quality of historical data,then use VaR to measure the credit risk of underlying assets in higher precision for investors,weigh the risk benefit ratio provides quantitative data.