Research On The Pricing Method Of Non-performing Asset-backed Security Of Commercial Banks In China

Non-performing assets securitization is the process through which the originator trusts non-performing assets to a trust institution,then the trust institution issuses asset-backed security to investors and pays security yields to investors with cash flow collected from the underlying non-performing assets.The non-performing assets securitization pilot project of commercial banks in China started in 2008 when China Construction Bank launched a non-performing assets securitization project.Due to the subsequent financial crisis in 2008,the pilot work was halted and stayed stagnant from then on.However,since 2013,the scale of non-performing assets of commercial banks in China continued to rise,not only underlay huge financial risk,but also did tremendous harm to the economic development of China.lt has been very urgent to solve the problem quickly and effectively.Under this background,non-performing assets securitization pilot project of commercial banks in China restarts in 2016,which providing an effective way to quickly deal with large-scale non-performing assets for commercial banks.The particularity and complexity of non-performing assets determines that it's pricing is also special and complex,which makes the pricing of non-performing asset-backed security become a key link and core difficulty in the process of non-performing assets securitization.Therefore,it is necessary to carry out the theoretical study on the the pricing of non-performing asset-backed security and to explore suitable pricing methods for non-performing asset-backed security of commercial banks in China.The pricing of non-performing asset-backed security involves two issues:one is the valuation assessment of the non-performing assets securitization pool,the other is the pricing of the non-performing asset-backed security.This paper discusses the above two issues separately by using the theoretical and practical analysis methods.Firstly,this paper summarizes the pricing methods adopted in the non-performing assets securitization practice of commercial banks in China.By analyzing the pricing status quo of non-performing asset-backed security of commercial banks in China,it points out that there are several problems in the pricing process,such as a lack of classification of non-performing assets,a lack of pricing criterion,a lack of mature pricing methods,imperfect market mechanism and so on.Then it elaborates the valuation assessment methods for the non-performing assets securitization pool and the pricing models of the non-performing asset-backed security,with an analysis and comparison of the limitations of the existing pricing methods and models.Secondly,this paper studies the pricing methods of non-performing asset-backed security in other countries such as the United States,Italy and South Korea,and summarizes the enlightenment to the pricing of non-performing asset-backed security of commercial banks in China.By analyzing the problems existing in the pricing of non-performing asset-backed security of commercial banks in China,combined with the successful pricing experience of foreign countries,this paper points out that under the condition that the non-performing assets of commercial banks in China are extremely complicated,the pricing of non-performing asset-backed security should be built on the basis of asset classfication.Therefore,the focus of this paper is to design a set of pricing methods suitable for the non-performing asset-backed security of commercial banks from the perspective of asset classification.First,according to the non-performing assets securitization practice of commercial banks in China and the types of non-performing assets in the assets pool,the non-performing asset-backed securities of commercial banks in China are divided into five categories:the public non-performing asset-backed security,the small and micro businesses non-performing asset-backed security,the credit card non-performing asset-backed security,the individual housing mortgage non-performing asset-backed security and the personal mortgage non-performing asset-backed security.Then it designs the corresponding valuation assessment methods system for the asset pool of each type of security.Second,it designs the pricing model for the non-performing asset-backed security based on the maximization of the interests of the participants,and solves the model by using the simulation method and the deduction method.Using this model,a practical study is conducted on the basis of actual data from non-performing asset-backed security of commercial banks in China,which proves the validity of the model.Finally,this paper puts forward some suggestions on the pricing problems of non-performing asset-backed security of commercial banks in China.