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A Study on the Effects of Credit Asset Securitization on Commercial Banks Liquidity Risk

Author: RenLiJun
Tutor: LiYong
School: Donghua University
Course: Finance
Keywords: commercial bank asset securitization special purpose vehicle liquidityrisk
CLC: F832.4
Type: Master's thesis
Year: 2014
Downloads: 304
Quote: 0
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Abstract


In China pilot credit asset securitization began in2005, National Development Bank and China Construction Bank published their first asset-backed securities products respectively. Pilot credit asset securitization stagnated because of the global financial crisis in2008. Until the end of May in2012, the People’s Bank of China, the Ministry of Finance and the China Banking Regulatory Commission jointly issued the "Notice about further expanding the pilot credit asset securitization", which marked that credit asset securitization restarted after four years.Commercial bank is exposed frequently to liquidity risk, which is one of the major risks of financial risks. Under the circumstance of financial liberalization and capital flows of globalization, Commercial banks face more liquidity pressure than any periods in the past. Therefore, liquidity risk management becomes more and more important than any time. In June of2013, the phenomenon of "lack of cash" appeared in the banking industry. In the interbank market liquidity became extremely tight and the interbank lending rates had risen sharply. The phenomenon of "lack of cash" has alarmed liquidity risk management of commercial bank. In this paper the credit asset securitization how to influence the bank liquidity risk is mainly studied. On the basis of theoretical analysis asset securitization affecting the bank liquidity risk has been carried on the empirical analysis. In a word, theory combined with empirical analysis has been used to study the effect of the credit asset securitization on liquidity risk management of bank.In this paper at the first chapter the research background and research significance are mainly introduced, and the relevant literatures are reviewed. Then the research ideas and methods are expounded in this paper. The theory of commercial Banks liquidity risk is analyzed from four aspects at the second chapter. Firstly, liquidity and liquidity risk have been defined. Secondly, the origin of liquidity risk is analyzed from three angles. Then the factors which affect liquidity risk of commercial banks have also been analyzed, and finally the status of liquidity risk management of commercial banks is introduced.In this paper at the third chapter the effect of the credit asset securitization on liquidity risk management of bank is analyzed deeply. First of all, the asset securitization operation mechanism is expounded from three aspects:connotation, principle and operation process. Then, the inner reasons that commercial banks attend the credit asset securitization are illuminated. Then the mechanism related the asset securitization affecting liquidity risk of bank is further analyzed. Finally, the liquidity of asset backed securities is made by descriptive statistical analysis.In the end, on the basis of theoretical analysis asset securitization affecting the bank liquidity risk has been carried on the empirical analysis in this paper at the fourth chapter. The empirical results show that improving the proportion of asset securitization is advantageous to reduce the Banks’ liquidity risk. And the low fluidity of asset backed securities which affect banks’ liquidity risk is not obvious; On the basis of theoretical and empirical analysis, some relevant policy recommendations are put forward in this paper at the fifth chapter.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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