Research On The Issuance Pricing Of Non-performing Assets Backed Securities In Commercial Banks

To dissolve the bank's non-performing assets problem,in May 2016,issued by the bank of China,called "Zhongyu in 2016,the first period" of bad asset backed securities,which means that because of the financial crisis and stop 8 years of non-performing loans securitization is restarted.Then each big state-owned commercial Banks have also adopted the non-performing assets securitization to disposal of bad memory,such as China construction bank on September 20,2016 issue of the "xin built in 2016,the first period" and so on,through the literature at home and abroad in recent years,related problem of asset securitization in the theoretical circle has made a more in-depth research,including distribution,laws and regulations,market conditions,as well as the participation main body and so on,but the pricing research of non-performing loans securitization involves less.It is not only of great theoretical significance to carry out the research on the pricing of NPL securities,but also an urgent need for the current practice of NPL disposal.This is some of bad assets disposal at home and abroad on the basis of practice and theory of asset securitization,first of all,the current assessment of non-performing assets and non-performing assets securitization in China were summarized,and the reference of the related literature both at home and abroad,combined with the actual situation,summed up the current structure of the deal after restart the non-performing assets securitization in our country,summarize and delve into the applicable to the technology framework of non-performing assets securitization in China,asset-like process,and the theoretical basis of non-performing loans asset-like,namely the principle of assets reorganization,risk isolation and credit enhancement principle.Then,it tries to build a model to conduct an empirical analysis of the pricing method,and conducts an empirical test with the case of "zhongyu's first issue of distressed asset-backed securities in 2016".Two approaches are adopted here:first,the range of the issued coupon interest rate is determined based on the no-arbitrage pricing theory with the use of public information data;The second use of the capital asset pricing model(CAPM),on the premise of assuming that comply with all conditions,a preliminary introduced the current our country the issue of non-performing assets securitization for interest rate model,but due to the lack of relevant data,can only choose the appropriate index in the market expected rate of return the risk-free interest rate,the market portfolio,then the use and the article construct the asset pool of issuing scale and the risk of convertible bonds of similar risk correction factor to detennine the release rate,the pricing problem.The two models have preliminarily determined the pricing problem,but other issues,including taxation,have not been taken into account and have been supplemented at the end of the chapter.The following will also continue to study this problem and improve the model.Then,it tries to build a model to conduct an empirical analysis of pricing methods.Two ideas are adopted here.First,based on the theory of non-arbitrage pricing,the paper USES the public information data to determine the range of coupon interest rate.Second is divided into two aspects,one is the use of multiple linear regression and historical data,using SPSS regression non-performing assets securitization of asset valuation model is deduced,and then into true historical data to construct the asset pool is used to determine whether the expected recovery,second use of the capital asset pricing model(CAPM),on the premise of assuming that comply with all conditions,a preliminary introduced the current our country the issue of non-performing assets securitization for interest rate model,but due to the lack of relevant data,can only choose the appropriate index in the market expected rate of return the risk-free interest rate,the market portfolio,Then,the risk correction coefficient of the convertible bond,which is similar to the issuance scale and risk of the asset pool constructed in this paper,is used to determine the issue interest rate,namely the pricing problem.Finally,in the process of summarizing the research process and collecting information,it is found that there are still some problems in China,such as imperfect laws and regulations,imperfect markets and fewer participants.At the same time put forward their own relevant Suggestions.This paper aims to explore the pricing problem of China's bank non-performing asset securitization.However,the research on the pricing of non-performing asset securities has just begun.Both in theory and in practice,it is still in the exploratory stage,and there are many problems,such as incomplete information and data,incomplete hypothesis conditions,etc.,which may lead to some deviations in the empirical results.At the same time,due to the lack of historical data and insufficient testing,there will be many defects and omissions in the paper,and many aspects need to be further studied.I hope to further study and expand this research.