Research On Asset-backed Securities Based On Credit Risk Mitigation Tools

From the development experience of the world's major financial markets,asset securitization is an important part of promoting the deep development of the financial market.In 2016,China's asset securitization market stock exceeded the trillion yuan mark,marking that asset-backed securities have become an important part of China's bond market.However,with the gradual opening of China's capital market and the internationalization of the RMB,domestic financial institutions are facing increasingly fierce credit risks.In addition,the current situation of rigid bond payment in China's bond market has been broken,bond defaults are gradually normalized,and the risk of default is rising.As well as the increase in risk exposure,credit risk mitigation tools and asset securitization will usher in an opportunity for common development.The main research content of this paper is to design an asset-backed securities that combines credit risk mitigation tools with credit of asset securitization enhancement.Based on the above objectives,sorting out the trading principles of credit risk mitigation tools,the development process in China,the general process of asset securitization,the necessity and main methods of credit enhancement,etc.Support securities to provide the feasibility of credit enhancement,and then detail the specific content of product design: transaction structure,basic elements,cost-benefit,advantages and applicability.On the basis of the traditional pricing method,the transaction characteristics of the credit risk mitigation tool are considered,and the probability of default of the mitigation tool is determined as the probability of the credit event of the entire asset-backed securities,and then the interest rate of the national debt is used as the discount rate,adding the spread to determine the discounted cash flow,and finally realize the pricing of the product.For the calculation of the default probability of credit risk instruments,reference is made to the internationally mature credit default swap pricing method.Finally,combined with the “Harbin Airport Special Road toll income right asset support special plan”,an empirical analysis will be carried out to specify how to use credit risk mitigation tools to enhance its credit,how to price such products,and the results some brief analysis.Through theoretical research and empirical analysis,this paper aims to make up for the shortcomings of the existing external credit enhancement methods for asset securitization,and help enterprises with strong financing needs to design asset securitization products through reasonable credit enhancement methods to meet their financing needs and promote credit risk.The joint development of credit risk mitigation tools and asset securitization.