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| Securitization of NPL Based on Collateral Disposal Risk:Case from Asset Pool of Residential Mortgage Loans of a State-owned Commercial Bank |
| ZHANG Xiaoqian, DANG Chunhui
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| CRPE/School of Economics/Academy of Financial Research, Zhejiang University |
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Abstract This paper introduces a collateral disposal method to deal with the nonperforming loans of defaulted mortgages. The default rate is calculated by discounted cash flow, finding that the present value of recovered fund is quite sensitive to the fluctuation of the disposal period. Probabilistic density of disposal duration is measured using the historical disposal records from a state-owned bank. Monte Carlo simulation results imply that the non-extreme recovered loss given defaults of the non-performing loans approximately obey normal distributions. The Markowitz portfolio theory is modified by grouping the loans into matrix and then obtains the proportion of each asset group. Based on the consideration of the profit extraction and application of the broker supply and demand equilibrium analysis method, this paper elaborated the expected LGD of asset pool and bond issuance interest rate determination mechanism. Finally, considering the correlated default into account, the simulations on different correlations indicate that our conclusion is robust.
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Received: 19 July 2017
Published: 01 November 2018
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