A Study On Risk Management Of Housing Providengt Fund Loan Securitization

With the rapid development of the real estate market in China,it has become more and more important to broaden the channel of the housing provident fund loan sources,improve the flow efficiency of funds and better meet the housing needs of the citizens for the reform of the housing provident fund system.As Housing provident fund loans backed securities successfully issued in cities like Wuhan,Shanghai,Hangzhou and Huzhou,the prelude of housing provident fund loans backed securitization is commenced in China.Though the housing provident fund loans are regarded as high-quality assets,the uncontrolled factors during the loan period may affect the stability of future cash flow,the lesson of subprime mortgage crisis always reminds us that the little change of underlying asset will influence the cash flow of housing provident fund loans backed securities.Therefore,it is of great theoretical and practical significance to study the risks of the housing provident fund loans backed securities issued and consider how to guard against securitization risk.Firstly,this paper reviews the research progress of literature on housing provident fund loans securitization and mortgage-backed securitization,summarizes the common research method for the impact factors and measures of mortgage-backed securitization default risk and prepayment risk.Secondly,this paper analyses the housing provident fund loans backed securities successfully issued in China's interbank bond market,teases out the characteristics of these products,and introduces the basic situation of the "housing provident fund loans backed securities of Hangzhou 2016-1".Based on this,this paper analyses the default risk,prepayment risk and other risks of the housing provident fund loans backed securities in the process of the securitization.This paper researches the impact factors and measurement models of housing provident fund loans backed securitization default risk and prepayment risk,and carries out the empirical analysis on the default risk and prepayment risk with"housing provident fund loans backed securities of Hangzhou 2016-1" as an example.In terms of the default risk,this paper measures the default risk of asset pool by the adjusted KMV model,and shows that the default risk is low.In terms of prepayment risk,this paper establishes a multivariate nonlinear regression model based on the single-monthly mortality rate of the underlying assets,and finds that the influence of disposable income changes and monthly effect on prepayment risk are significant.Finally,this paper puts forward the corresponding preventive measures,so as to make contribution to the risk management of housing provident fund loans backed securitization in China.