Research On Risk Assessment Of Dynamic Pools Of Credit Asset-backed Securitization Products

In recent years,China's financial innovation is in the ascendant and financial innovation products emerge in an endless stream.Once refrigerated asset-backed securities have thawed,they take off again and usher in a golden period of development.The securitization of credit assets has been restarted and has achieved an explosive growth.However,due to its complicated structure and natural risks as a result of its processes involving borrowers,investors,commercial banks,SPV and many other parties,it's risk has accumulated so much that no matter how sophisticated its trading structure is,it cannot completely eliminate the risk of securitization,only to some extent reduce the risk.There are also difficulties in risk identification and measurement,especially with the introduction of the innovative structure and the issuance of the first single products such as "Dynamic Asset Pool" and "Black-Red Pool".In credit asset securitization products,the risk of basic assets can usually be effectively identified and controlled thro ugh complex measurement models.However,the risk of securitization is very tricky and difficult to quantitatively analyze.To some extent,you can understand the risks of securitization only by a series of statements,guarantees,legal opinions,and other similar documents.So the measurement of the risk of an asset securitized product is usually based on an analysis of the basic asset pool.The introduction of "dynamic asset pool" model and its supporting cash flow payment mechanism design for a large number of commercial banks with short term accounts and small credit loans has solved the difficulty of controlling and predicting the future cash flow distribution of the traditional "static asset pool"transaction structure.The "dynamic asset pool" keeps the loan scale of the asset pool relatively stable by circulating purchase of qualified credit,and eliminates the influence of the borrower 's early repayment on the maturity of the security of the priority document and the duration of the fixed securities so as to effectively alleviate investors faced risk of early repayment.Most foreign asset-backed securities are dynamic asset pools.In the future,dynamic asset pools will also be a major direction for the development of asset-backed securities in China.This paper first briefly describes the characteristics,structure and operating mechanism etc.of credit asset securitization with dynamic asset pool,as well as its risk and risk measurement methods.Then,it analyzes the development and risks of China's credit asset securitization using "dynamic asset pool".Next,based on the previous related research results and the characteristics of the underlying asset pool,this paper examines the early repayment risk and the credit risk of dynamic pool products,and makes risk assessment basing on the early repayment rate and the revised KMV model by using "Yongying 2015-1" as the research object,thereby to analysis the risk of the products using the "dynamic asset pools" structure in China's credit asset securitization markets.The result shows that the repayment behavior of credit borrower exists in our country,which may be related to the underlying asset that is the consumer loan and has the the characteristics of borrowing and repaying the loan at any time,and the fact that the domestic borrower have considerations of economic strength improved,traditional concepts and spending habits,do not like the "back debt",interest and other characteristics.Their "early repayment" motivation is so strong that the risk of early repayment is higher."Dynamic asset pools" reduces the instability of cash flow through continuous purchase.As a whole,the volatility of the asset pools' cash flow was relatively small.The expected default rate was low,and the overall credit risk of"dynamic asset pools" products was low.In terms of the risk characteristics and management status of the dynamic pool,the paper finally puts forward relevant policies and suggestions from the aspects of perfecting the credit information system and the credit rating system,prudently selecting the basic assets of dynamic pool to ensure the credit quality,strengthen the construction of the risk internal control system and the comprehensive risk management system.