Study On The Securitization Pricing Of Non-performing Assets In Commercial Banking Industry

Governments around the world have gradually raised their concerns about non-performing assets of various institutions.The Chinese government has also noticed that non-performing assets are widespread in the Chinese banking industry and are accumulating.Since non-performing assets greatly affect security of financial system,the phenomenon has caught worldwide attention.In order to reduce the potential risks brought by non-performing assets to the financial industry,the national government introduces plenty of measures.One of the most important policy support for commercial banks is the establishment of four financial asset management companies,namely the present East and China.Rongrong,Cinda and Great Wall also set the business scope of these four financial asset management companies to digest the non-performing assets held by the four state-owned banks through centralized acquisition,management and disposal.This move separated the bad assets of the four major state-owned commercial banks and greatly improved their balance sheets.But now,under the historical conditions of China's gradual transformation into a market economy,it has been a little weak to rely on policy measures to help commercial banks solve this problem.The too low transfer price will affect the bank's statement figures,these transaction cost is high,also.In a long run,the improvement of the financial figures of commercial banks is limited.The traditional commercial bank's non-performing loan disposal method has certain limitations on the handling volume and has certain defects in processing time and cost.Commercial banks begin to pay attention to securitization.Therefore,this paper takes the case of Jingcheng 2018 first-phase non-performing asset-backed securities as an example.The author starts from the bad assets of commercial banks and introduces the definition standards and the status quo of the issuance market.Then this paper analyzes a specific digestion and disposal methods of management companies of asset after taking over these bad assets of commercial banks,introduces some disposal methods and experience of domestic commercial banks' non-performing assets,and the frequency of use of various methods and the recovery rate of principal after use.After introducing the basic overview,the author compares the non-performing asset securitization with the traditional disposal methods of commercial banks,highlighting the significance and advantages of using non-performing asset securitization,including the liquidity of assets and the long-term optimization of commercial bank assets and liabilities.Then,this paper sorts out the definition and application of the five major non-performing asset creditor value estimation methods,such as hypothesis clearing algorithm,cash flow repayment method,market transaction case comparison method and so on.At the same time,eight risk factors affecting these valuation methods of securitization were introduced.In the pricing analysis part,this essay shows some design of asset securitization pricing model including discounting static cash flow method and Monte Carlo simulation method.This paper considers prepayment risk and default risk in the Monte Carlo simulation method.Since then,this article has added a new factor to optimize Monte Carlo simulation,namely the industry default risk factor.The paper sorts out the characteristics of defaulted credit bonds from the first case of default in 2014 to 2018,and concludes that corporate default has a lot to do with the industry environment.This paper sorts out the reasons for the default of the default bonds from 2014 to 2018,these concludes which most of these reasons for enterprise debt defaults include business activities,the experts' operations may cause defaults,too.The industry is paying attention to this conclusion.Especially in the manufacturing industry,whether it is from absolute data comparison or relative data comparison,it has shown outstanding default issues.In most years,the proportion of defaults in manufacturing industry accounted for more than 50%of all default cases.Among them,the five default events in 2014 were all in the manufacturing industry.The default rate of manufacturing,cultural sports and entertainment industry and mining industry(number of bond issuing corporations/number of defaulting corporations)is outstandingly higher than those of other industries,showing macroeconomic conditions,industry competition,etc.Impact.Finally,this paper selects Jingcheng 2018 first-phase non-performing asset-backed securities as an example to test the model selected in the third part.Finally,the reasons for the difference between the three algorithms and the actual issuance of the first phase of non-performing asset-backed securities in Beijing 2018 are analyzed in detail.