Research On Credit Risk Of Consumer Financial Asset Securitization And Its Influencing Factors

As the domestic macro economy enters a new stage,consumption gradually replaces investment and export as the main driving force of economic growth.Consumer finance refers to a new type of financial service that provides consumers with credit loans for the purpose of consumption.It is conducive to the financing of consumers and converts demand into consumption,thus promoting economic development.Compared with other forms of assets,consumer finance loans have the characteristics of small amount,scattered debtors,and strong asset securitization attributes.The issuance of asset securitization products by consumer financial institutions can release a large amount of liquidity and transfer credit risks while improving the structure of financial statements.Therefore,consumer finance ABS has developed rapidly in the past few years,and the market scale has been expanding.Consumer financial institutions have different means of risk control and credit management capabilities,and the credit risks of asset securitization products issued by them are also different.In the past two years,credit risk incidents in China's capital market have occurred frequently.In such a social environment,it is necessary to evaluate the credit risk of consumer financial asset securitization products and explore the factors affecting credit risk,which has a certain practical significance for promoting the sustainable and steady development of consumer financial ABS.Taking default distance as an alternative variable of credit risk,this paper uses KMV model to study credit risk of ABS in consumer finance.Firstly,through in-depth analysis of the plan specifications of such products,the transaction structure and operation mode are studied,and the risk points and influencing factors are analyzed.Secondly,after comparing several credit risk analysis models,the revised KMV model is used to quantify the credit risk of consumer finance ABS,and the relative credit risk of various subjects is determined by comparing the default distances of multiple products horizontally.Finally,by analyzing the ABS characteristics of consumer finance,the factors affecting credit risk of such products are determined,and the multiple linear regression of default distance is used to judge the factors affecting credit risk and the degree of their impact.This paper is mainly divided into five parts,the main structure is as follows:The first part mainly introduces the background of the paper,including the research background of ABS credit risk in consumer finance and the related research of KMV model;the second part analyses in detail the characteristics of credit risk in consumer finance ABS,the ways of credit enhancement and the points of risk;the third part summarizes the commonly used credit risk measurement methods.The fourth part emphatically analyses the applicability of KMV model.Firstly,we revise the KMV model,then calculate the default distance based on the public data of the sample,and then use the influencing factors of the default distance to carry out multiple linear regression.The regression results show that the default distance of consumer finance ABS is weighted average loan year.The significant influence of interest rate and weighted average loan contract term is that the higher the weighted average annual loan interest rate is,the smaller the default distance is,and the greater the credit risk is;the longer the weighted average loan contract term is,the larger the default distance is,the smaller the credit risk is;the fifth part gives some policy suggestions based on the empirical analysis and the national conditions of our country.