Research On Default Risk Of China's Commercial Banks' Non-performing Assets Securitization Products Based On KMV Model

Since 1980s,the asset securitization is an important financial innovation in the mature financial market development for many years,the United States,Europe,Japan and other mature financial markets have pushed asset securitization as an important financial tool,which is the essence of the financing will be the securitization of financial assets in the future cash flow of income right transfer to investors.At present,China's commercial banks are still facing the problem of non-performing assets has been huge,aware of the shortcomings of the traditional disposal methods,also gradually try to carry out asset securitization business,but China's commercial banks non-performing assets securitization on the road is not smooth,the number of products has not reached a reasonable size,overall it is still in the initial stage of the attempt.There is no doubt that China's commercial banks non-performing assets securitization can solve the problem of non-performing assets to a great extent,so as to improve the operation efficiency of the banking sector's liquidity,security,and integrity of the entire financial system,it will become an efficient financial tool of our financial sector in twenty-first Century.Based on the full study of non-performing assets,non-performing asset securitization of commercial banks credit risk measurement and the related documents,the first of China's banking sector non-performing assets are classified,the definition of non-performing assets securitization can be kind of treatment,on the basis of the analysis of the present stage of our country commercial bank non-performing loans personal status the enterprise and the distribution of non-performing loans,combined with the comparison of different disposal of non-performing assets,the securitization of non-performing assets of China's banking industry should be get rid of high defect rate and enhance the primary means of liquidity;secondly,the development situation of China's commercial bank non-performing asset securitization are summarized,analysis of non-performing assets in the characteristics of securitization products,determine the non-performing asset securitization products default risk sources,that the non-performing asset securitization products Based on the pool of funds risk,structural risk,legal risk and system as well as the third party risk and default risk,and proved theoretically that the non-performing asset securitization products causes the risk of default,and summarizes the main measures taken to prevent the risk of default in the issuer's;finally,based on the comparison of the various risks,to determine the risk based capital pool is the primary risk for non-performing asset securitization products at present,based on the theory of KMV model,through some improvements,designed for adverse asset securitization products default risk measure model,and select a case study of the default risk of the product,the the corresponding evaluation conclusion.On the basis of summarizing the conclusions of the full text,we not only put forward suggestions for the development of China's NPL securitization,but also put forward the requirements of establishing relevant databases of NPL securitization from the perspective of default risk measurement.It is hoped that China's banking industry will innovate NPL securitization and eliminate liquidity risk on the basis of strict control of risks,so as to inject new vitality into the financial system.