Design Study of the securities in the securitization of non-performing assets of commercial banks in China
|School||Central South University|
|Course||Technology Economics and Management|
|Keywords||NPA securitization security design asset pool design security structure design KMV credit monitor model DSCR Discounted Cash Flow model|
Aim at the security design, which is the key in the process of non-performing (NPA) asset securitizaiton, this paper begins with the brief introduction of the basic principle of asset securitization, and then makes a deep analysis on the security design characteristics of the United States and Korea. Based on the basic theory and the experiences from other countries, this paper uses the modern risk management theory to make the security design, which consists of asset pool design and securiy structure design.In the design of asset pool, the credit risk management theory and the modern portfolio theory (MPT) is firstly introduced, and then the limitation of applying MPT to NPA portfolio management is argued. Based on the analysis above, this paper puts forward the idea that the model combining KMV credit monitor model with MPT can be used to achieve the risk-minimized NPA portfolio under certain expected return level. A case is analyzed here to make it clearer.In the design of security structure, the NPA-backed security is firstly divided into four securities, which have deferent terms, different risks and deferent returns. To follow, the cost and earnings of each participant in the securitizaiton is studied, thus the fluctuating zones of the issuing interest rates that satisfies the profit-maximizing demand of each participant can be dicided. The DSCR ratio is also used as the standard to plan the security issuing volume. In the end, the Discounted Cash Flow model (DCF) is used to measure the value of the NPA-backed securities.