Research On Credit Risk And Influencing Factors Of Commercial Bank Credit Asset Securitization

"Activating stocks and making good use of credit" to support securities business is a new way to help commercial banks adjust profit models,optimize asset and liability structure,enhance liquidity,and strengthen risk management capabilities.Securities started late,lacked a perfect information disclosure mechanism and a fully competitive market environment,which led to the credit security risks of asset securitization business cannot be underestimated.In the context of China's current economic situation and unique political system,as the size of the asset securitization market continues to expand,it is necessary to effectively identify and accurately assess the credit risks inherent in commercial banks' asset-backed securities business,and analyze the key factors that affect their credit risk Factors are important issues related to the sustainable and healthy development of China's securitization business.In view of this,this paper focuses on the credit risk of commercial bank credit asset securitization and its influencing factors.Firstly,the article summarizes the existing related research,analyzes the development history and development status of credit asset securitization in China.Subsequently,the KMV model was modified for applicability to redefine related variables,and Matlab software was used to calculate the default distance and default of 70 credit asset securitization products issued by 14 commercial banks in China from 2014 to 2018 based on the modified KMV model Probability.Then conducted panel data regression through Eviews11 software to conduct in-depth research on the main factors affecting the credit risk of credit asset-backed securities at the micro level of the bank.It further analyzes themoderating role of national macro-level policy factors,and finally draws research conclusions.Research indicates:(1)The overall default distance of credit asset securitization products of China's commercial banks is safe,and the level of credit risk is low.The implementation of the filing system has lowered the barriers to entry.Since then,the business has entered a stable development.In the normalization stage,the overall default probability has decreased year by year and maintained at about0.05%.(2)Non-performing loan ratio,asset-liability ratio,deposit-loan ratio,and asset size are important factors affecting credit risk of credit asset securitization,so improving asset quality,reducing non-performing assets,and optimizing asset-liability structure can effectively reduce the credit risk of bank credit asset securitization Commercial banks with larger asset sizes have stronger risk defense capabilities;however,the correlation between the return on net assets and capital adequacy ratios and the credit risk of credit asset securitization has not passed the significance test.Therefore,the weakening effect of improving bank profitability on credit risk is not obvious means the smaller the credit risk,but to achieve a moderate capital.(3)After the regression of the interaction of policy factors is added,the influence of various related factors on credit risk has been expanded to varying degrees,proving that policy changes play an important role between bank micro-feature factors and credit asset securitization credit risk Regulatory effect.Finally,this article puts forward proposals from various perspectives,including commercial banks,intermediaries,and national regulators,to strengthen credit risk management,improve information disclosure mechanisms,and develop appropriate policy guidance.