The Analyses Of Factors Which Influence The Collateral Risk In Bond Repurchase

The credit risk of commercial bank has a long history. With the development of the economic, the financial market has always been changing and financial products have been greatly innovated, the credit risk has also been greatly extended. In the past several decades, many commercial banks of different countries in the word have suffered many disasters, and many of the large commercial banks and other financial organizations have been bankrupt, the central reason is credit risk. And the credit risk is attracting more and more attention. The management of the credit risk is becoming more and more important in the management of the commercial banks at the same time. How to improve the management of the credit risk by measuring it has become a very important challenge for commercial banks of different countries in the world. Both the commercial banks and the academics are paying more and more attention to the study of credit risk management techniques. Especially the economic environment of current society is changing rapidly, the financial market develops continually, the innovation of the business of commercial banks is very fast, market participants are also diversifying, there are more kinds of credit derivatives and the transaction becomes more and more complicated, these all extend the meaning of the credit risk. As a result, making systematic deeper study of the management of credit risk and using it well are very useful to keep the development of commercial banks sustaining and steady, and keep the macro economy and financial system operates efficiently. This forces the whole financial field both here and abroad to regard the study of credit risk management techniques as one of the most challenging issues.The chapter one of this paper simply introduce the background and meaning of the study and current condition of the study both here and abroad; the chapter two is about the definition and features of credit risk, and then simply introduces traditional methods of credit risk management and emphasizes to discourse the four most popular credit risk models; the chapter three introduces the definition of bond repurchase, and talks about its development in China; the chapter four analyzes the factors which influence the collateral risk in the bond repurchase transaction by building models; the chapter five is about relate conclusions which derive from the study. Finally, the paper gets the conclusions:the longer of the maturity of the bond, the higher of the haircut which is asked for; if the haircut increases, the probability of suffering losses will decrease; the smaller of the probability of default, the smaller of the probability of suffering losses; if the interest rate at the beginning of the period decreases, the probability of suffering losses will increase; if the long term mean of interest rates increases, the probability of suffering losses will decrease; if the speed of convergence of the interest rate to its mean increases, the probability of suffering losses will decrease; when the volatility of the interest rate process increases, then the probability of suffering losses increases.