Research On The Counterparty Credit Risk In China Commercial Banks

In recent years,the trading volumes of global financial derivatives are increasing year by year,for expanding the field and scope of business to improve the competitiveness,many financial institutions in various regions continuously produce and design new derivative financial instruments to satisfy the investment and financing or hedging demand of their customers.However,the continuous rising trading volume of derivatives lead to a significant increase in counterparty credit risk,it is obvious that how to mearuse the counterparty credit risk has become an important subject for the management institutions and commercial banks.Therefore,this paper starts with the existing counterparty credit risk management method to study the thought of existing measurement method,and e xamines the counterparty credit risk measurement effect under the current system,and then puts forward the existing issues.Based on these issues,by aiming at two aspects of risk management,which is default risk and credit valuation adjustment of counte rparty credit risk,this paper proposes the improved methods respectively in order to improve the overall management level of counterparty credit risk for commercial bank.Firstly,based on the analysis of related research results at home and abroad on counterparty credit risk management,by comparing the domestic and overseas methodology and views and considering the reality of Chinese commercial banks,this paper effectively identifies the counterparty credit risk,analyzes the generation principles of counterparty credit risk,summarizes the characteristics of counterparty credit risk,and then conducts a research on the management object,management framework as well as the management process of counterparty credit risk.It will clarify the basic theory of counterparty credit risk management and provide a solid theory foundation for this research.Firstly,make clear the writing background,meaning and theoretical basis of this article,and solid foundation for the writing of this paper.Based on the a nalysis of the research results of the counterparty credit risk management both at home and abroad,this paper compares the research methods and perspectives,and combines with the actual situation in China's commercial banks to effectively identify the counterparty credit risk and analyze the generation principle of counterparty credit risk.Then this paper summarizes the characteristics of counterparty credit risk and clarifies the basic theory of counterparty credit risk management so as to provide a solid theoretical basis for the research in this paper.Secondly,this paper analyzes the method of credit risk measurement of counterparty in commercial banks and clarifies the basic ideas and methods of counterparty credit risk measurement.This paper analyzes the measurement requirements of counterparty credit risk in the Basel Accord,grasps its measurement ideas,deduces its measurement principle and analyzes the application of the method in China.Then,according to the existing measurement system and me thod,it is important to evaluate the measurement effect of counterparty credit risk for Chinese commercial banks.By applying the new intuitionistic fuzzy method to establish an evaluation system,this paper modifies the intuitionistic fuzzy score functio n by using a series of intuitionistic fuzzy operator and intuitionistic fuzzy entropy,obviously,it makes the results become more reliable.For the two aspects of counterparty credit risk management,that is the default risk and credit evaluation adjustment,this paper determines the financial and non-financial indicators respectively,and conducts an empirical analysis to evaluate the management effect of counterparty credit risk by selecting 10 representative Chinese commercial banks as samples.Finally,it is necessary to propose the improved method from two aspects of counterparty credit risk management,which is default risk and credit evaluation adjustment.For the first aspect,the default risk of counterparty credit risk,this paper applies the intuitionistic fuzzy similarity measure to manage this risk,which can provide a more reliable management method.It mainly aims to the difficulties existed in measuring the risk-weighted assets,therefore,it focuses on calculating the default probability of counterparty.By selecting the indicator from aspect of macro,meso and micro and combining the previous data,which is not easy to quantify,this paper establish a counterparty default probability metrological system,by analyzing the calculating examples to improve the accuracy of the calculation.For the second aspect,the credit evaluation adjustment of counterparty credit risk,this paper clarify the essence and principle of the credit evaluation adjustment,it puts forward to use the least square monte carlo method to accelerate the convergence rate of evaluation and improve the partial management method,and by analyzing the examples to prove the superiority of this algorithmic.In conclusion,this paper starts with the research of current situation,by evaluating the measurement effect,it brings forward the existing issues,and aims to settle these issues.Obviously,by improving the counterparty credit risk measurement system,the overall management level of counterparty credit risk will be upgrade and it will provide a beneficial help for the comprehensive risk management of Chinese commercial banks.