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Research on Loan Pool of SMEs Securitization of Credit Assets in Risk Control Perspective

Author: LiYun
Tutor: WangQianHong
School: Donghua University
Course: Finance
Keywords: SMEs Securitization of Credit Assets Multi-Bank Loan Pool FactorCopulas Connect Model
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Type: Master's thesis
Year: 2014
Downloads: 126
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Abstract


The Asset Securitization was originated in the United States. It has been widely used about10years ago as a new financial instruments. Until the end of2007, the amount of synthetic securitizations and cash securitizations in the European market has increased for10years and the compound growth rate is27.1%. MBS and ABS in America have become the main securities trading products and the sum of market value of them accounts for32%of the total market value of the securities market. The issue of asset securitization in China has amounted to47.151billion yuan since we successfully launched the "Kaiyuan credit asset-backed securities" firstly from year2005to2006. Thus we can foresee that the asset securitization business will have broad prospects in the future. In2012, the year of post-crisis era, asset securitization business reached a new development peak again, which pushed by the rational regression of investors. And meanwhile China also restarted the third round of asset securitization pilot work formally. Therefore it is particularly important to further deepen the theory of the asset securitization in our country and enrich practical experience at present.The core part of this study is try to solve the following three key problems of SMEs’ credit asset-backed securitization:(1) from the theoretical perspective to explain how the co-financing breaks the constraints of traditional bank credit and connotation of securitization’s assets gathering. Asset securitization completes co-financing body through risk portfolio of assets, and the scale economies and risk neutralization effect of co-financing reduces the loan cost to ease credit rationing phenomenon;(2) to select the appropriate risk measurement method according to the characters of SMEs’ credit asset pool. The author shows a detailed discussion on organization of multi-bank loan pool;(3) based on the portfolio risk characteristics author select an appropriate risk measurement model, factor copulas connect model, to provide an effective method to quantify the joint default risk of loan pool.Thus the possible innovation about this paper may occur in the following respects:firstly to do a reasonable analysis of appearance of co-financing depending on the principles of economics; secondly drawing on the existing case of asset-backed securitizations in China, to put forward a detailed forming methods of SMEs’ credit loan pool, which includes that appropriate screening index system for multi-bank loan pool and appropriate weight to each index; then to refine risk factors on the basis of the index system and give the interpretation of them. After that, the author respectively represents the credit assets credit expressions of a single SME and its default threshold through structural (Merton) model and simplified model and uses copulas function to connect the pooling assets to construct a joint probability of default measure model. In the end, the author utilizes simulation method to prove the approximate validity of the model on MATLAB software platform.In general, the operational technology and systematic environment of SME’s securitization of Credit Assets is still in its infancy compared with America and European countries. This article only pays attention to form a loan pool which is just a initial link in the process of SME’s securitization of credit assets. So the author wishes well to provide a little enlightenment and a possible starting point for scholars to finish further research of follow links.

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