Study On The Influence Of Non-Performing Assets Securitization On Commercial Bank Risk

At the end of 2019,COVID-19 broke out worldwide,threatening not only people’s lives,It has also brought heavy damage to the healthy development of the global economy.In particular,Chinese real enterprises have suffered a great impact,which directly leads to the deterioration of the loan quality of Chinese commercial banks and the accumulation of non-performing loans in the balance sheet,causing the non-performing loan ratio to rise year by year and constantly break through the record high.How to improve asset quality,prevent and resolve financial risks has become an important topic of today’s research.As an innovative product in the international financial market,non-performing assets securitization stands out with its advantage of efficient disposal of non-performing assets.Although it has not been popularized on a large scale in China,three rounds of pilot programs have been conducted in three years since the resumption of the non-performing assets securitization business in2016,and the batch transfer business of retail non-performing assets has been restarted in 2021,which indicates that China is right The exploration of good asset securitization business has entered the batch stage from the "fresh" stage.However,non-performing assets securitization emerged in the situation of sudden increase of non-performing loans,and it is not a conventional way to dispose non-performing assets.Although it can quickly optimize the financial indicators of commercial banks by transferring non-performing loans,and transfer and disperse some risks,it may also deepen and spread risks due to the poor quality of the underlying asset pool it relies on,Therefore,we should always be alert to the side effects generated in the operation process of Npas,and should not blindly expand and develop.With the original intention of providing effective suggestions for Chinese commercial banks to better develop NPAS,this paper adopts PSM-DID model and selects the first batch of six commercial banks to carry out Npas as the treatment group,which never carried out Npas A control group was matched among 121 securitized banks,and data from2014-2021 were selected for empirical analysis to study the influence of non-performing asset securitization on the risk of Chinese commercial banks.This paper firstly reviews the domestic and foreign literatures from the aspects of the origin of the non-performing assets in commercial bank and its impact on the risk of commercial bank.Then,based on the basis of in-depth analysis of the principle,characteristics and development process of the operation of non-performing assets securitization,and basing on the current development status of the non-performing assets securitization business,this paper describes the theoretical premise and effects of its effects on the risk of commercial bank.Then,the influence channels between the two were further analyzed,and the intermediary effect was analyzed from the three aspects of liquidity effect,capital effect and profitability effect,and relevant indicators were selected to build the PSM-DID model for empirical analysis.Finally,this paper finds that the non-performing assets securitization business increases the risk of commercial banks as measured by Z value.After the mediation effect test,it is concluded that capital effect and liquidity effect play an intermediary role in the process of influence,while the intermediary role of profitability effect is not obvious.Based on the empirical results,this paper puts forward targeted suggestions from the bank’s own level,the government level and the market level.