Asset Securitization And Risk Management Of Commercial Banks In China

Asset securitization originated in the United States,and is one of the most influential financial innovations in 20th century.But since the 2008 financial crisis,the American Fannie Mae and Freddie Mac crises have made academia begin to re-examine the impact of Securitization on the stability of banks and even the entire financial system.Many scholars have found that this new type of financial instrument is not as single as it was originally designed,but is subject to various constraints such as trading objects,trading process,trading system and so on,resulting in many uncertainties on risks of bank.Up to now,the academic circles have not reached an unified conclusion on this issue.Asset securitization started in 2005 in China.It has experienced a stagnation period from 2008 to 2011 and restarted in 2012.Under the background of interest rate marketization reform and new normal economy in China,securitization is undoubtedly an positive exploration.This paper studies on asset securitization of commercial banks in China;analyses the current development status of asset securitization in China and its impact on bank risk,and uses panel data of asset securitization of commercial banks in China to carry out relevant tests.This paper studies the impact of asset securitization on bank risks from both theoretical and empirical perspectives.On the theoretical side,this paper introduces the operational mechanism of asset securitization of commercial banks and the current situation of credit risk and liquidity risk faced by commercial banks in China.Then it analyses the impact of asset securitization on bank risk from both positive and negative aspects.The main factors to reduce risks include isolation and transfer of risks,enrichment of asset management,improvement of financing capacity and release of regulatory costs.The main factors to increase risks include the restriction of basic assets,risk retention supervision mechanism,moral hazard and adverse selection.This paper uses the data of 63 banks in China from 2012 to 2016 to verify the synthetical effect of asset securitization on the risk of banks.In view of the heterogeneity of asset securitization in commercial banks,banks are grouped according to size,loan growth rate and return rate.Finally,the GMM model and the method of replacing the interpreted variables are used to test the robustness.The empirical results show that the asset securitization of commercial banks in China is directly proportional to the non-performing loan rate of banks and inversely proportional to the liquidity ratio.To a certain extent,the development of asset securitization business increases the credit risk and liquidity risk of banks.At present,the factors that increase the bank risk in the asset securitization activities of commercial banks in China are stronger than those that reduce the bank risk.Heterogeneity test results show that banks with larger scale,faster loan growth and higher profitability will significantly increase their risk level when they carry out asset securitization business.Finally,suggestions are raised in view of the problems in asset securitization of Chinese commercial banks.Firstly,we should accelerate the innovation of basic products of securitization and promote the securitization of non-performing loans.Secondly,we should improve bank risk monitoring indicators and coordinate the relationship between financial innovation and risk supervision.Third,we should create a good market environment and adhere to the principle of marketization.