Research On The Credit Risk Of Non-performing Asset-backed Securities Products Of Commercial Banks Based On The KMV Model

With the transformation of China's economic structure,the pressure on the quality of commercial banks' assets has been increasing.The non-performing loan balance and non-performing loan ratio of commercial banks showed a "double rise" trend.At the end of 2018,the balance of non-performing loans of commercial banks in China reached 2,025.4 billion yuan,and the non-performing loan ratio reached 1.83%.The pressure on non-performing loans was relatively high.Under this background,as an emerging disposal method of non-performing assets,non-performing asset securitization is more prominent than the original disposal method.It can not only effectively decentralize bank risks but also control the losses of commercial banks to a large extent.Get national regulatory and market attention.However,any financial innovation will inevitably bring potential risks while providing convenience.In particular,the transaction structure and operation process of non-performing asset securitization are complicated and the risks are particularly complicated.Therefore,it is of great significance to study the risk of non-performing asset securitization.Based on the research on the basic principles of non-performing asset securitization and basic operational processes,this paper analyzes the risks faced by commercial banks' non-performing asset-backed securities products and finds that credit risk is its most important risk.Credit risk is mainly reflected in the fact that the cash recovery of the asset pool does not necessarily match the cash outflow of the securities due.Therefore,this paper takes "Nongying 2018-2" non-performing assetbacked securities products as an example,from the transaction structure,the composition of the basic asset pool,the credit enhancement method and the cash flow allocation order,etc.to the "Nongying 2018-2" securities products.Structural characteristics and credit risk were analyzed theoretically.At the same time,considering the actual operation situation of China's non-performing asset securitization,combined with the advantages and disadvantages of the credit risk measurement model,this paper chooses the modified KMV model to carry out the credit risk at different levels of the "Nongying 2018-2" securities products.The metrics found that the overall “Nongying 2018-2” priority securities had lower credit risk and met the AAA rating given by the rating agency;The risk of secondary securities is relatively high,which provides strong credit support for priority securities.At the same time,this paper further measures the credit risk of each period of securities,so as to evaluate and analyze the fluctuation of credit risk of securities products during the period.It is found that the credit risk of each period of Nongying 2018-2” is closely related to the cash flow recovery of the current period.The credit risk of several periods before and after the securities is relatively high.At this time,sufficient and effective liquidity reserve and liquidity support institutions provide Credit support can well release the credit risk of securities products.Finally,on the basis of summarizing the conclusions of the full text,this paper puts forward some suggestions from both macro and micro aspects,hoping to provide some help for the better development of non-performing asset-backed securities of commercial banks in China.