Credit Risk Assessment Of Non-performing Asset Securitization Products Of Commercial Banks In China

Preventing financial risks is a major challenge facing my country at present.As a key part of my country's financial market,commercial banks are essential to prevent and resolve bank risks.Against the backdrop of continued deepening of supply-side reforms,bank asset quality continues to be under pressure,and the asset non-performing rate remains high.For a long time,banking institutions have been looking for efficient measures to dispose of non-performing assets to achieve the stable and healthy development of the banking industry.Drawing on the disposal methods of foreign banks' non-performing assets,the securitization of non-performing assets has become an important issue in studying and mitigating bank risks.After exploration and practice in recent years,it has been found that the securitization of banks' non-performing assets can indeed effectively revitalize the bank's stock assets and improve the liquidity of bank funds.Since the restart of the non-performing asset securitization pilot in 2016,the scale of non-performing asset securitization of commercial banks has grown,and the prospect of disposing of non-performing assets through securitization is promising.The pricing of banks' non-performing asset securitization products has always been a key issue in academic research.The pricing of products must be accurate and reasonable,not only to ensure that the bank suffers small losses under the condition of enhanced liquidity,but also to give investors a reasonable profit space to stimulate investors' investment desires and to activate the investment market.Therefore,the value assessment of the asset pool is a difficult and extremely important task,and due diligence of assets is indispensable.For investors,with pricing,they also need to know whether the risks associated with securitized products are worth investing in.Due to the huge number of assets in the asset pool of non-performing asset securitization products,whether the repayment of a single asset has an almost negligible impact on the overall cash flow,this article starts from the overall asset pool and measures the overall credit risk of the asset pool.By comparing the relevant models for measuring credit risk and combining with the actual situation in my country,the KMV model was finally selected as the credit risk measurement model to quantitatively analyze the credit risk of non-performing asset securitization products of commercial banks.This article takes the "Gongyuan Zhicheng 2019-6" non-performing asset securitization product issued by the Industrial and Commercial Bank of China as the research object,and uses the revised KMV model to calculate the default probability of the product and study the impact of issuance scale on credit risk.standard.Comparing the empirical results with the evaluation of relevant rating agencies,the results are basically consistent.From the point of view of the selected products,the default risk of "Gongyuan Zhicheng 2019-6" priority securities is low,which basically meets the investment needs of investors.Securitization of banks' non-performing assets has become the general trend.This paper analyzes relevant successful cases,chooses their strengths to learn,investigates their deficiencies and seeks high-quality solutions,and proposes suggestions from both external conditions and internal asset composition.The external is mainly in terms of laws and regulations.It is necessary to formulate supporting laws and regulations so that every link of securitization can be legally followed;second is to improve the information disclosure system so that investors can always grasp the status of assets in the asset pool to ensure the market Transparent and open.Internal control mainly requires the issuing bank to reasonably construct an asset pool,use portfolio theory to diversify risks,and generate stable cash flow.