The Research On Credit Risk In Jianxin 2018-1 Non-performing Asset-backed Securities

China's economic development has entered a new normal,and the economic growth rate has declined.At the same time,the scale of non-performing assets in China continues to rise,and the scale of non-performing loans in commercial banks has repeatedly reached new highs.In the past,China's commercial banks have adopted the method of discount transfer to deal with their non-performing assets,but it is inefficient and lack of initiative.As a financial innovation tool,non-performing asset securitization has the characteristics of high marketization and high efficiency.Commercial banks can deal with non-performing assets more efficiently through non-performing asset securitization.However,according to the relevant practical experience at home and abroad,although the non-performing asset securitization solves the problem of disposal of non-performing assets effectively,due to the complex structure design of non-performing assets securitization itself and the large number of participants,the credit risk of non-performing assets securitization is also high.Therefore,the research on its credit risk is of great practical significance.Firstly,this paper expounds the cash flow analysis principle,asset restructuring principle,risk isolation principle and credit enhancement principle of the securitization of non-performing assets.Secondly,this paper takes "Jianxin 2018-1" non performing asset-backed securities as an example to introduce its issuance background,basic asset pool,transaction structure,credit enhancement measures and cash flow distribution mechanism.Then,according to the characteristics of "Jianxin 2018-1",this paper divides its credit risk into debtor,asset pool,sponsor and third party credit risk,and analyzes these four types of credit risk respectively combined with the specific content of the pool asset characteristics,sponsor credit level,credit enhancement measures,etc.Through analysis,it is found that the overall credit risk of "Jianxin 2018-1" is low,and the credit risk is mostly concentrated in the asset pool.In addition,this paper selects the modified KMV model to analyze the credit risk of "Jianxin 2018-1".According to the calculation results of the modified KMV model,the default probability of "Jianxin 2018-1" preferred securities is low,while the default probability of secondary securities is relatively high.Finally,on the basis of the previous analysis,this paper puts forward relevant enlightenment from the perspective of investors,sponsors and regulators.Based on the research and analysis of the credit risk of "Jianxin 2018-1" non-performing asset-backed securities,this paper provides some suggestions for the development of China's future non-performing asset securitization and the prevention of credit risk from the two aspects of securities structure and macro policies.In the aspect of securities structure,non-performing asset securitization should be reasonably selected into the pool of assets,use internal and external credit enhancement measures to improve the credit rating,and optimize the internal structure design of securities to reduce credit risk.In terms of macro policies,China should expand the scale and scope of securitization,improve relevant laws and regulations and strengthen the construction of credit rating system...