Credit Risk Measurement And Early Warning Analysis Of Non-performing Asset Securitization In Commercial Banks

As the focus of commercial banks for a long time,the risk of non-performing assets has always been the key of market competition and business management for commercial banks.On the one hand,the credit business has expanded rapidly under the development of domestic economy.As for macroeconomic policies,commercial banks have made lots of capital profits throughout credit expanding;on the other hand,over-expanded credit business has also be accompanied by the increase in non-performing assets.The amount of bank risk capital makes commercial banks face the crisis of exposure of credit risk to financial markets.The escalating NPL ratio has lowered the level of capital adequacy of commercial banks,and after the adoption of the Basel Accord,although global regulators have enhanced supervision of commercial banks’ non-performing assets,the fact is that the sharp increase in non-performing assets makes commerce Banks faced with large and unstable system risks,and the commercial banks urgently need to take relevant solutions to the risks.In this regard,the domestic financial regulatory authorities have taken some measures such as asset recovery,reorganization,etc.However,these traditional ways have no effect.Because the traditional way of recovering non-performing assets has certain limitations in the current period,according to foreign non-performing asset disposal methods,non-performing asset securitization,collective disposal of nonperforming assets and other batch disposal methods have gotten more attention and applications.The process of securitization of non-performing assets is more complicated and technical than that of traditional financial ways.It packs and processes bad assets and then publishes new securities products by a series of complicated assessments.The disposal of such non-performing assets has been practiced more aboard.However,compared with the highly developed financial markets abroad,domestic financial markets appear to be narrow and technologically backward,and the degree of capitalization of the market is not high.The development level of innovative financial instruments such as asset securitization is lagging behind,coupled with the domestic credit rating system.Because the legal and regulatory system are still not perfect,and the market model for the securitization of non-performing assets is still being implemented initially.It is also lacking research on the credit risk-related fields in the process of asset securitization,and it is even more difficult to do research on the credit risk measurement results.Therefore,under such a realistic background in China,it is so urgent for commercial banks to establish a relatively complete credit risk measurement method and early warning mechanism for the securitization of non-performing assets.For this purpose,in the process of researching and writing,based on the international recognized credit risk measurement model—— the Credit metrics,on the basis of the credit rating transfer matrix of this model,use the commonly used five-class loan classification by domestic commercial banks.Based on the standard,five credit rating transfer matrices are used instead of the original credit rating transfer matrix,and then the VaR method is used to calculate the corresponding credit risk loss estimates for the nonperforming asset portfolios,to represent the bad assets securitization process of commercial banks.To measure the credit risk,and based on the results of the risk measurement,then we can establish a set of credit risk early warning mechanisms suitable for commercial banks,and eventually improve the commercial bank’s own credit risk management skills by formulating reasonable policy measures.