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The Impact of COVID-19 on Chinese Consumer Finance ABS Market -- An Empirical Analysis Based on OAS Pricing Model

ContributorsLin, Hua
DirectorsBerrada, Tony
Number of pages54
Imprimatur date2020
Defense date2020
Abstract

At the end of 2019, a novel coronavirus (named the COVID-19 pandemic or called COVID-19 for short) has spread worldwide rapidly. The negative impact of the epidemic on China’s economy is mainly reflected in the first half of 2020, especially in the first quarter. This paper intends to take the epidemic situation as an emergency to the financial market, combining with the underlying assets of ABS and the market changes in the corresponding industry in China, then observe the performance of securitization products and examine the effectiveness of macroeconomic policies.

This paper selects consumer finance, which is greatly affected by the epidemic situation. We make an empirical analysis on the performance of China’s asset securitization market from June 2018 to June 2020 (three years), based on the default rate and prepayment rate of underlying assets, and finds that new epidemic situation has increased the default risk of ABS securities of China’s consumer finance. However, with the rapid control of the epidemic situation, the resumption of work and production is taking place effectively. Macroeconomic policies and a series of economic stimulus measures have a positive impact on the recovery of various indicators. From the perspective of different types of issuers, the OAS value of ABS securities issued by Internet companies is significantly lower than that of General consumer lending companies, but higher than that of general consumer loans of banks. We also find that during the epidemic period, the application of financial technology has affected the performance of ABS products. Our results show that it is beneficial to strengthen the application of technology in the financial market, and the advantages of using technology for risk control are becoming increasingly clear. It is the right time to promote the development of fintech in China.

eng
Keywords
  • Consumer finance asset-backed securities (ABS)
  • Default rate
  • Option adjusted spread (OAS)
  • Fintech
Citation (ISO format)
LIN, Hua. The Impact of COVID-19 on Chinese Consumer Finance ABS Market -- An Empirical Analysis Based on OAS Pricing Model. 2020.
Main files (1)
Thesis
accessLevelPublic
Identifiers
  • PID : unige:172731
  • Thesis number : DAPS-0002
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