基于修正的KMV模型的银行资产证券化信用风险测度

The Credit Risk Measurement of Bank Asset Securitization Based on the Modified KMV Model

基于建元2007-1个人住房抵押贷款资产支持证券2008年1月至2014年9月的数据,运用修正的KMV模型对住房抵押贷款资产证券化过程的信用风险进行实证分析。研究结果表明,资产变现收入整体上呈现微弱的递减趋势,资产变现收入的波动率较小,预期违约概率很低,银行资产证券化产品整体的信用风险较低。

Based on the data of JianYuan-2007 personal mortgage asset-backed security from 2008 January to September 2014,the credit risk of mortgage asset securitization is analyzed by using modified KMV model.Results demonstrate that realized income of asset showed a weak decreasing trend and volatility is small;expected default probability is very low and credit risk of bank asset securitization in China on the whole is low as well.