Assessment of the Factors Affecting the Asset Securitization Business of Commercial Banks

Abstract

Asset securitization refers to the process of issuing asset-backed securities (ABS) with the support of future cash flows generated by the underlying assets. It is a form of financing to issue tradable securities supported by a specific asset portfolio or a specific cash flow. Asset securitization has gradually become a widely used financial innovation tool and has developed rapidly The aim of this work is to assess whether selected macroeconomic variables and indicators of bank financial performance might influence the securitization business of the Chinese banks. The securitization business is measured as the scale of asset securitization on the basis of the amount of asset-backed securities and mortgage back securities issued, the ten-year government bond yields and inflation rate will be used to reflect the macro factors that affect asset securitization. The profitability of bank is measured by the return on assets ratio. The risks of bank are measured by liquidity ratio and non-performing loan ratio. The ability of dealing with risk is measured by capital adequacy ratio. Return on assets, liquidity ratio ,non-performing loan ratio and capital adequacy ratio are all averaged from the 5 most influential banks in China, they are Industrial and Commercial Bank of China, Agricultural Bank of China, Bank of China, China Construction Bank and Bank of Communications. Monthly data from January 2014 to December 2019 are used in the application part of this thesis. This work is divided into five parts, the first and last part are introduction and conclusion. Basic Concept of Asset Securitization are introduced in second part. In this part, the basic concepts of asset securitization are introduced, and the concepts of various variables are briefly explained. The third part is the information about Principles of Regression Analysis. Some principles, assumptions and verifications of regression analysis are introduced in this section. The Assessment of Asset Securitization Business Determinants in China is introduced in fourth part. In this part, the data will be applied in regression analysis to find the factors that affect China's financial futures business.