Research On Credit Risk Of Bank Credit Asset Securitization From The Perspective Of CRT

As an innovative financial tool for commercial banks to transfer credit risk,credit asset securitization can provide banks with new financing channels to achieve the purpose of dispersing risk transfer.However,China’s credit asset securitization business still faces many hidden risks.Among them,credit risk is the most important risk of credit asset securitization.Measuring and studying the credit risk in the credit asset securitization business of commercial banks can provide targeted credit risk prevention suggestions for all participants.Firstly,this paper defines the credit asset securitization Credit risk and credit risk transfer,expounds the theoretical basis of credit risk transfer.Secondly,it combs the development process,development status and existing problems of China’s credit asset securitization.On this basis,it studies the credit risk transfer mechanism of credit asset securitization from the perspective of CRT.Finally,it makes an empirical study on the credit risk of bank credit asset securitization,and uses the modified KMV model to measures the credit risk of various credit asset securitization products issued by China’s commercial banks,and explores the influencing factors of credit risk.The analysis and research shows that,on the whole,the credit risk of credit asset securitization business of China’s commercial banks is low,and there are obvious differences in credit risk between products of different sponsors and basic asset types.When other issuance conditions remain unchanged,the credit risk will gradually increase with the increase of product issuance scale and issuance period.Based on the above analysis,combined with the empirical results,this paper puts forward targeted prevention suggestions on the credit risk of bank credit asset securitization from the perspective of CRT from three aspects: strengthening the top-level design of CRT,improving the CRT function of bank credit asset securitization and improving the efficiency of CRT.Figure 15;Table 15;Reference 54...