The Credit Risk Analysis Of Mortgage-Backed Securitization

With the rapid development of China's economy in the past 40 years,the personal housing mortgage loan has grown rapidly.This has brought some difficulties to bank credit risk and liquidity.In order to solve these problems,China formally issued its first mortgage-backed securities Jianyuan 2005-1RMBS in 2005,drawing lessons from the international practice of mortgage-backed securitization.However,the subprime mortgage crisis that broke out in the United States in 2007 made people realize the huge credit risk behind the role of mortgage-backed securitization.China immediately stopped the relevant work of housing mortgage securitization,and did not start the pilot work of housing mortgage securitization again until 2012.At present,China is in a critical period of economic restructuring and building a well-off society in an all-round way.The credit risk of housing mortgage securitization must be given high attention.This paper focuses on mortgage-backed securitization and default rate representing credit risk.The first step is to make a comprehensive analysis of the credit risk of housing mortgage securitization at home and abroad.The second step gives a brief introduction to the participants,operation process and basic principles of MBS,and then theoretically analyses the credit risk of MBS,including the meaning of credit risk,the characteristics of credit risk and the source of credit risk.The third step is to analyze the credit risk of mortgage-backed securitization in China.The fourth step is to analyze the credit risk of the selected Jianyuan 2007-1RMBS project from the aspects of basic assets and borrowers.In terms of basic assets,the size of individual amount of housing loans,the dispersion of individual loans and the weighted average mortgage rate of housing loans are analyzed respectively.For the borrower,the age of the borrower is analyzed to show the level of future income.The fifth step is to use unit test and Johansen test to study the long-term stable relationship between interest rate of loans over five years,national housing boom index,exchange rate,consumer price index and default rate of basic assets.This paper selects the data of Jianyuan 2007-1RMBS from February 2008 to December 2018 as samples.Empirical results show that there is a long-term equilibrium relationship between loan interest rate over five years,housing boom index,exchange rate,consumer price index and default rate of basic assets.And the interest rate of loans above five years,consumer price index and default rate of housing loans are positively correlated.The interest rate of loans above five years and consumer price index will increase the credit risk of housing mortgage securitization.The national housing boom index,exchange rate and default rate of housing loans are negatively correlated.The national housing boom index and exchange rate will reduce the credit risk of housing mortgage securitization.The sixth step is to give the corresponding policy recommendations based on the above risk analysis.