Research On Credit Risk Of Non-performing Asset Securitization Of Credit Card Based On KMV Model

In 2005,China started the pilot projects of credit assets securitization,most of which were non-performing assets securitization.However,due to the global financial crisis in2008,China suspended the pilot projects.Nevertheless,China restarted the non-performing assets securitization in 2016.Since then,the successful expansion of the pilot banks and the smooth issuance of non-performing assets securitization products not only reflected the strong disposal demand of credit card non-performing assets,but also indicated the markets’ recognition of the products.With the process of credit card non-performing assets securitization promoted constantly in China,we also need to pay attention to all kinds of risks during the securitization process,especially the scientific measurement and calculation of credit risks contained therein.Firstly,this paper introduces the background and significance of this topic,and summarizes the relevant literature at home and abroad.Secondly,this paper clarifies the related concepts,development and credit risks of credit card non-performing assets securitization,and analyzes the relevant credit risks measurement model.Moreover,this paper introduces the product profile of "Puxin 2018-1",and analyzes the credit risks based on the perspectives of debtors,initiators and third-party.What’s more,this paper analyzes the basic principle,calculation method and modification of KMV model.Based on the modified KMV model,the credit risks of "Puxin 2018-1" priority and subordinated securities is empirically analyzed.And the default probability is calculated under different recovery rates of basic assets and different maturity periods.Finally,this paper summarizes the empirical results,which aim at the problems existing in the credit card non-performing assets backed securities in Chinese commercial banks,then puts forward the credit risks prevention measures.Based on the analysis of debtor,initiator and third party,it is believed that the credit risks of "Puxin 2018-1" is at a low level.Moreover,based on the modified KMV model,the credit risks of "Puxin 2018-1" priority and subordinated securities is measured respectively.In general,the expected default probability of "Puxin 2018-1" priority and subordinated securities is zero,with low credit risks and high security.Further empirical analysis shows that the default probability of securities will be greatly affected,when adjusting the recovery rate of non-performing assets and the maturity period of securities,especially for subordinated securities.In brief,"Puxin 2018-1" is not only a beneficialattempt to securitize credit card non-performing assets in China,which accumulates experience for future development,but also illustrates the significance of strengthening the attention and management of credit risks in Chinese bank market.A new attempt is made in the selection of this case,"Puxin 2018-1" is not only the second credit card non-performing assets backed securities issued by Shanghai Pudong Development Bank,but also a beneficial attempt to dispose non-performing credit card loans for Chinese joint-stock banks.So it is meaningful to understand the credit risks of credit card non-performing assets backed securities products and to provide reference for the further expansion of non-performing assets backed securities in China.What’s more,this paper distinguishes priority securities from subordinated securities based on the modified KMV model,which is more in line with the issuing characteristics of non-performing assets backed securities.