AMC Non-Performing Assets Disposal with CDO in China

Abstract

With analyzing the characteristics about Asset Management Company non-performing assets (NPAs) disposal, this article discussed the AMC’s non-performing assets with securitization disposal. Simultaneously, the AMC assets CDO multiple tranches structure was designed according to AMC reality in China. And the key problems in the CDO structure such as cash stream, credit lifting were discussed. Finally, the Monte Carlo method was applied to price the AMC’s non-performing assets CDO, which offered a guidance of the AMC’s non-performing assets disposal in practice theoretically.