Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Reseaching on Using of Credit Derivatives of Our Country

Author ChenZuoXiang
Tutor YanHaoKun
School Guizhou College of Finance and Economics
Course Finance
Keywords Credit Risk Credit derivatives Commercial bank Risk Management
CLC F224
Type Master's thesis
Year 2011
Downloads 62
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Commercial banks facing various risks of market risk, credit risk, operational risk, liquidity risk, legal risk. Credit risk is the most basic of financial markets, the oldest, but also the greatest harm is a risk. Modern credit risk exists not only in the traditional loans, bonds and other credit instruments, and there in the off-balance sheet loan commitments, guarantees, and other emerging business, credit risk is increasingly complicated and diversified. The definition of the most representative of the credit risk: credit risk process transactions in financial products, if the parties or counterparty default occurs, the credit rating will be reduced, leading to the possibility of loss, credit risk including the the direct counterparty default and counterparty performance possibility of changes to the portfolio as a result of the risk of loss. Credit risk is contagious, distribution of non-normality, non-systematic, both asymmetric information and data acquisition difficulty distinctive characteristics. Survival and development is critical of the credit risk management of the banking sector, credit risk management methods developed so far, has gone through three stages: a single credit risk management stage, the stage of the emergence of the credit risk measurement models, comprehensive risk management phase. 20 in the world in the 1990s, credit derivatives as a new credit risk management tools, technology trends of the modern commercial bank credit risk management, credit risk management from negative and passive risk aversion, into positive, active portfolio risk management, the quality of credit assets of the commercial banks to play a very good protection, and to improve the competitiveness of the bank, the banks grow. At this stage, China's commercial banks use credit derivatives to manage credit risk is still in the exploratory stage, how to correctly understand credit derivatives, an early build of the credit derivatives market, it is essential, the starting point of this paper is also here. This paper first analyzes the status quo of China's commercial banks credit risk management, data by the NPL ratio of China's listed banks to commercial banks in China is still faced with the test of credit risk. Credit risk management of commercial banks in China and developed countries in the world, there is still a large gap, specifically manifested in the following aspects: (1) China's commercial banks' bad loans amount; (2) credit risk management system is not perfect; ( 3) the lack of high-quality risk management information systems; (4) financial derivatives market behind the lack of credit risk management tools; (5) has not yet established a healthy credit social system. Although many methods of credit risk management of commercial banks in China, but a lot of means are afterwards solution, rather than prior management methods and means, can not play a real credit risk control, China's commercial banks to move towards international bound to use international The most advanced credit risk management, credit derivatives as financial innovation tools, huge role. Therefore reference and the introduction of credit derivatives for credit risk management of commercial banks in China is of great significance. Next, this paper introduces in detail the mechanism of credit derivatives as well as four common credit derivatives hedging. Credit derivatives, credit derivatives first appeared in 1993, applied for the first time by the Japan Bankers Trust, in nearly 20 years, the explosive growth in 2007 to reach a maximum level. Credit derivatives are a variety of tools and techniques used to isolate and transfer credit risk collectively, its biggest feature is the credit risk can be isolated from market risk and risk transfer mechanisms of four of the most common credit derivatives credit default swaps, total return swaps, credit spread options and credit linked notes, four credit derivative products structure, transactions and participants of the same hedging mechanism is not the same, but the effect point of view, can play a very good role in the management of the credit risk of commercial banks credit derivatives does credit to commercial banks. analysis of credit derivatives hedging mechanism after this article is to explain the empirical analysis assets play a protective role. use of credit derivatives trading volume in the financial markets, JPMorgan Chase Bank in the United States time series data, empirical credit derivatives trading volume relationship of the quality of credit assets, found that credit derivatives trading significant relationship between the amount of the bank's non-performing asset ratio, that the increase in the amount of credit derivatives transactions will reduce the bank's non-performing asset ratio of China's development of credit derivatives should be gradual, phased, step-by-step, to adjust gradually to complete , combined with our current level of financial development of credit derivatives products used in the type of choice will be initially selected structure is the most simple, the most technologically sophisticated credit default swaps; should also phased in the choice of trade subject to different traders open; pricing strategy choice in the initial stage, it should choose a more simple, better able to master the method, FX (foreign exchange) analogy pricing model should be preferred. emergence of credit derivatives, to China's banking industry Credit Risk Management provides a bright road, but our country to be able to take full advantage of this tool credit derivatives to manage credit risk, need to go a lot of road, this China should actively create conditions for our credit derivatives market development and lay a solid foundation to start from the following points: improve relevant laws, to provide protection for the supervision of credit derivatives; gradually push forward the construction of the credit derivatives market; actively to the development of China's credit rating market; improve the regulatory system of financial derivatives.

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