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On Financial Derivatives And The Credit Risk Management Of Commercial Banks In China

Posted on:2003-02-11Degree:DoctorType:Dissertation
Country:ChinaCandidate:T Y ZhouFull Text:PDF
GTID:1116360062980579Subject:International trade
Abstract/Summary:PDF Full Text Request
This essay, based on a non-arbitrage balance analysis and information economics, has a comprehensive and systematic study on the definitions, types and economic functions of financial derivative instruments and their pricing model, which creatively introduces a core economic function of financial derivative instruments - elimination of Asymmetrical information. Through an analysis on the non-performing assets of the state-owned commercial banks in China, the essay has a conclusion that the main reason why loan risks rise continuously is the Asymmetrical information between borrowers and lenders, owners and operators as well as depositors and banks. In order to prevent and manage the loan risks effectively, the writer, taking option as a major tool, has built an option model that tends to prevent various risks of the commercial banks in respect of credit, market, liquidity and operation, which proves to be feasible and successful. According to me theory of path dependence, the essay finally recommends that strategies and their corresponding measures regarding the implementation of financial derivative instruments should be carried out in China depending on the levels and stages of the then market conditions.The creation of the essay may be outlined into the following aspects:1. Based on the results of study on financial derivative instruments at home and from abroad, the essay has theoretically clarified the core functions and characteristics of financial derivative instruments by further explaining some issues of financial derivative instruments in a deep-going and comprehensive way and creatively points out that the core function of financial derivative instruments is to eliminate the Asymmetrical information, which has theoretically laid a concrete foundation for the implementation of financial derivative instruments in terms of preventing and controlling loan risks of banks.2. Adopting a unique method of information economics, the essay has explained the reason why loan risks rise continuously from the state-owned commercial banks in China, especially its typical and modeling analysis on risks in respect of market, operation and liquidity, which provides PRC banks a practical guidance for an overall and systematic analysis on their loan risks.3. It has creatively built its option model for preventing credit risks of commercial banks by using option tool and created the financial derivative instruments to prevent risks in respect of loan principal and interest as well as credit default. The essay has also proposed the combined hedging tactics of preventing credit risks and option with option margin and the method of adopting stock option to address the issue of trustee or agent risks. It has constructed its option model relating to rate and exchange risks to manage interest rate risk through the implementation of interest rate guarantee, caps and floors as well as swaption. With its option model for liquidity risk, the essay has discussed the possibility of introducing AssetŠí×acked securities for the liquidity risk management by using the experiences of foreign countries for reference.4. With a background of globalization and liberalization in financial market, according to the theory of path dependence, the essay provides a general perspective on how to develop China's financial derivative instruments market stably and healthily under current economic circumstances , i.e. 'experiment before popularization, regularization before development, from inside to outside, junior stage stepping towards senior stage', and it also has a minute description of particular strategies which may be used by authorities concerned for reference and convenience.
Keywords/Search Tags:derivatives
PDF Full Text Request
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