The Measurement And Prevention Of Credit Risk On HECUI 2016-1

Due to the pressure on descending overall macro-economy in China during the recent years,non-performing loan ratios of commercial banks are continually rising.To this end,China has relied on the experience of other countries around the world to restart the non-performing asset securitization,which was suspended in the past eight years.As the first non-performing asset securitization product and the first credit card non-performing asset support securities after the restart,HECUI 2016-1 has a referential significance in revitalizing non-performing assets and increasing the liquidity and profitability of bank assets.The risk management,as a key step in the distribution and transaction of product,for non-performing asset securitization is mainly used to prevent and control product credit risks.Therefore,the measurement of the credit risk and the improvement of risk control measures are of great realistic significance in the further optimization of the product's transaction structure and the development of non-performing asset securitization in China.In the study of credit risk measurement methods,the foreign scholars are relatively mature in research and proposed different types of risk measurement models.Credit Risk+model,KMV model,Credit Metrics model and Credit Portfolio View model are four common models for measuring credit risk.This article compares and analyzes the applicability and limitations of the four credit risk measurement models.As to the actual situation in China,it is believed that the KMV model is operational in measuring commercial bank non-performing assets securitization products.As the first batch of non-performing asset securitization products,HECUI 2016-1 has a more cautious product design,a smaller issuance size,and innovatively selected multiple non-performing credit card bad credit rights.After analyzing the structural characteristics,the basic assets and the credit risk characteristics of the product,it is believed that the credit risk of the product mainly originates from the default risk of the debtors,and the risk exposure of single asset is difficult to control,and the risk of the overall asset pool can be effectively estimated.According to the applicable of the KMV model in China,this article selects the KMV model to measure the probability of default of the HECUI 2016-1.Compare the measurement results with the other domestic rating agencies,test the rationality of the KMV model.At the same time use the criteria given by the international credit rating agencies to re-introduce the safe issuance scale of the product.The product has designed a variety of credit risk prevention measures.This paper combines the product characteristics with quantified default risk,then proposes appropriate improvement suggestions for existing risk prevention measures in the field of selecting basic assets,designing transaction structures,and applying credit enhancement measures.This article takes the product's credit risk research as the starting point,measures the credit risk of the product and according to the characteristics of the product to propose improvements to the existing credit risk prevention measures of the product.On the one hand,tests the feasibility of the KMV model for measuring the credit risk of non-performing asset securitization products in China,and proposes an effective risk measurement model for non-performing asset securitization products;on the other hand,it aims to propose suggestions on the prevention of the risk for non-performing assets securitization when China demands to restart it.To enhance the risk prevention,we should rationally select basic assets,optimize product structure,innovate credit enhancement measures,and constantly improve market supervision mechanisms.