Research On Credit Risk Of Ningbo Bank Credit Asset Securitization

In recent years,China’s economy has shown a downward trend,and the financing leverage ratio and non-performing loan ratio have gradually increased.As an innovative direct financing tool,asset securitization can optimize the asset structure and increase the financing channels of banks on the one hand,and can be transferred on the other.Risk diversification,therefore,China has begun to vigorously promote asset securitization business,so that it can better support the development of the real economy,optimize the allocation of financial resources and revitalize poor liquidity of stock funds.However,as China’s asset securitization business started relatively late,it still faces severe tests from all parties.For example,the mechanism for identifying and preventing risks is not perfect,so it has caused many losses to the sponsors.The prevention of risks is the key to the development of asset securitization business.Among them,the measurement and prevention of credit risk is very important.Therefore,in order to promote the maturity of China’s asset securitization market,for scientific and accurate quantitative assessment of credit risk in asset securitization business,it is essential to explore ways to prevent credit risk.Bank of Ningbo,as one of the first batch of listed city commercial banks in China,has been at the leading level in the industry in terms of risk control in recent years.Therefore,this paper has selected Bank of Ningbo as the research object for the credit asset securitization products issued by Bank of Ningbo.Conduct empirical analysis,measure its credit risk and put forward risk prevention recommendations,with a view to helping the bank to better develop asset securitization business.In terms of research methods,this paper uses the literature research method and empirical research method.By summarizing the research results of domestic and foreign scholars,we understand the motivation of asset securitization business,the risks that may occur during the securitization process,and the credit risk of securitization products The research of measurement and other aspects,and then discusses the theoretical basis related to credit risk in the process of asset securitization,such as the principle of credit enhancement,the principle of risk isolation and the assumption of credit risk.Finally,the KMV model for measuring corporate credit risk was selected,and credit asset-backed securities were regarded as small listed companies,and the relevant parameters in the model were revised to calculate the default distance and default distance of all assetbacked securities issued by Bank of Ningbo.Probability of default.After analyzing the measurement results,it is found that the overall credit risk of Bank of Ningbo’s credit asset securitization business is not high,and the credit risk of credit asset-backed securities and the size of the issuance of securities,the issuance period and the concentration of assets in the asset pool and other factors related.Finally,based on these analysis results,some suggestions for preventing credit risk in the process of asset securitization were put forward for Bank of Ningbo.I believe that in the process of issuing asset-backed securities,Bank of Ningbo should optimize product design,ensure the quality and quantity of assets entered into the pool,rationally design the basic elements of the product,reasonably select the size and duration of the issuance,and reasonably predict the cash inflow of the asset pool;Improve the product transaction structure,select high-quality participating institutions,adopt incentive measures and enhance the credit of securities,etc.In addition,you can also use derivatives to hedge the credit risk of the asset pool,avoiding the occurrence of credit risk from multiple angles,better Development of credit asset securitization business.