| In 2016,China's asset securitization business had an explosive development in terms of circulation volume and trading volume.In 2018,after the issuance of the “New Regulations on Asset Management”,the bond issuance market has encountered an unprecedented severe environment,and the circulation of ABS has grown in a contrarian fashion.The assets of asset-backed securities are complex,the trading structure is flexible,and the number of participants is large.There is a serious problem of information asymmetry.The issuer discloses risks to investors through credit ratings,thereby reducing the issuer's financing costs and investment risks caused by information asymmetry,which is of great significance to the development of asset securitization businesses.Due to the late start of asset securitization in China,the research on credit rating is lagging behind.At present,we mainly use overseas mature evaluation methods.The mainstream foreign credit rating method is a combination of qualitative analysis and quantitative analysis.It evaluates asset-backed securities from several aspects including basic asset pool analysis,transaction structure analysis,and various participants.Modeled credit risk assessment is the core of asset securitization credit rating.There are numerous international asset securitization credit assessment models.The current mainstream method is the Monte Carlo simulation method.Based on the research on related theories of foreign asset securitization and credit rating,this paper comprehensively considers the characteristics of China's economy and capital market and tries to establish a credit rating method that is suitable for China's asset securitization business practice.Finally,the case was applied to the proposed theory of credit rating of asset securitization.Monte Carlo simulation and stress testing methods were applied.The results of the case analysis show that the ultimate stratification and level of China's asset securitization credit rating are not unique. |
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