The Research On Pricing Of Non-Performing Assets In China's Commercial Banks

Finance is the core of the modern economy.As the leader of the financial industry,the steady development of the banking sector has largely affected the national economy and the macroeconomic stability.However,since the third quarter of 2004,the non-performing assets of China's commercial banks have been accumulating.As of September 30,2016,the non-performing loan balance of China's commercial banks reached 1.67 trillion yuan,the non-performing loan ratio reached 1.74%.The high level of non-performing assets has become a constraint on the reform and development of China's commercial banks.At the same time,it also seriously threatens the stability and development of the macro economy.Based on the study of the characteristics of the non-performing assets of commercial banks in our country,this paper compares the disposal methods of non-performing assets both at home and abroad,and focuses on the methods to dispose of non-performing assets by asset securitization.In the past,the conventional methods such as collection,reorganization and debt-for-equity swap have the advantages of high cost,low efficiency.As a financial innovation,assets securitization can well solve the above problems and have achieved some success in China after ten years of development.This paper mainly studies the pricing problem of non-performing assets securitization,which is divided into two parts:one is the valuation of non-performing assets,that is,the prediction of non-performing assets recovery rate;the other is the pricing of distressed asset-backed securities.In order to predict the recovery rate,this paper uses two methods of multivariate linear regression and BP neural network to make empirical analysis of the data.BP neural network can better reflect the nonlinear relationship between independent variables and dependent variables and can predict relatively accurately.The recovery rate of non-performing assets,the forecast result is superior to the traditional linear model.However,the forecast value is generally higher than the actual value because of lack of data,some important influence factors can not be considered,and the corresponding accounting costs are neglected in the empirical study.For the pricing of asset-backed securities,this paper assumes that the market interest rate of non-performing asset-backed securities is subject to the Vasicek model,OLS is used to estimate the parameter values in the model,and then a large number of market interest rates are simulated by Monte Carlo simulation.The simulated market interest rates.The actual market interest rate of non-performing asset-backed securities basically matches.Then discount the future cash flow with the market interest rate,get the present value of supporting securities,and complete the pricing process of NPLs.