Research On Credit Risk Of Non-performing Asset Securitization

Since China proposed supply-side structural reform in 2016,the overall economic growth has slowed down,the scale of banks’ non-performing assets(NPAs)has gradually expanded and the NPA rate has continued to rise.The large amount of non-performing assets held by banks will hinder the deployment of funds,thus reducing the utilization rate of funds.Therefore,there is a need to dispose of non-performing assets.Compared with the traditional way of banks to deal with non-performing assets,securitization of non-performing assets has the characteristics of high efficiency and high liquidity.However,the securitization of non-performing assets is still in the initial stage in China,and in its development process,it is accompanied by the risk of uncertainty,and credit risk is one of them.In order to quickly promote the process of securitization of nonperforming assets in China’s market,while ensuring the safe and sound development of the financial market,it is necessary to study the credit risk of securitization of non-performing assets.This thesis firstly introduces the development status of domestic and foreign asset securitization and expounds the relevant basic theories,which provides solid theoretical support for this thesis to study the credit risk of non-performing asset securitization.Secondly,the thesis introduces the basic situation and operation mechanism of the securitization project "Jianxin 2021-1" which is based on personal non-performing consumer loans as an example.At the same time,the credit risks of the issuer,debtor,asset pool and third-party service provider are analyzed according to the causes of credit risks in the securitization of non-performing assets.According to the analysis,the overall credit risk of the "Jianxin 2021-1" project is within an acceptable range,among which,the asset pool is an important source of credit risk.In addition,the KMV model for calculating the probability of default is selected and modified according to the actual situation of the securitization of non-performing assets,and then the credit risk of "Jianxin 2021-1" is quantitatively analyzed.The change in default probability of senior and subordinated securities was measured by changing the project issuance scale,issuance interest rate,asset recovery rate,bond maturity time and other influencing factors.The results indicate that the credit risk of "Jianxin 2021-1" is low and the project design is reasonable.Finally,through the previous research on the credit risk classification and quantitative analysis of "Jianxin 2021-1" project,certain insights are obtained and relevant suggestions are made to reduce the credit risk of China’s non-performing asset securitization.In terms of underlying asset selection,the distribution of the pooled assets should be fully considered to improve the quality of the asset pool;in terms of credit system,the credit enhancement measures should be improved,information disclosure should be perfected,and credit rating supervision should be strengthened;in terms of relevant laws and regulations,the relevant systems for issuers,debtors and credit rating agencies should be improved to ensure the healthy development of the securitization market of nonperforming assets.