Credit Risk Of Commercial Bank And The Pricing Of Its A Class Of Derivaties

Credit risk is the inability to perform because the counterparties risk is the risk of commercial bank loans the oldest and most important financial risks. Economic and financial globalization in the context of openness with the national banking sector is gradually increasing, and the commercial banks continue to introduce credit derivatives, how to effectively manage credit risk, is the national banking sector in international financial activities are also important issues facing the risk of the next few years, the most challenging research topic. Knowledge of the current application of stochastic analysis and mathematical statistics, bank credit risk models and credit derivatives risk management problems of the banking mainstream.In this paper, and to draw on existing research and practice at home and abroad based on the results, focus on bank credit risk and credit derivatives and research issues explained. Paper consists of five parts, the main work as follows:1. Paper the first part (chapter) describes the research background and significance of research, analysis and research status and summary.2. The second part (ChapterⅡ) on Chinese commercial banks generate credit risk-specific reasons, characteristics, and management problems are analyzed and summarized; describes four foreign countries use more mature models in two model, based on the CreditMetrics VAR model and the KMV model of option pricing theory.3. In third part (ChapterⅢ) is the focus of this paper and one of innovation. Chapter Three main contents are:The company's asset value process as Ito process conditions, the company under the KMV model, default probabilities, leads the company's distance definition, is obtained Le "non-compliance by the company's credit rating from the forecasting firm model." The model derived to predict the company's credit rating of a new method, thus more easily forecast the company's credit rating.4. Papers PartⅣ(ChapterⅣ) is the focus of this paper and the innovation of the two. Mortgage loans secured bank credit risk premium issue of derivative products is an important issue, currently only a small number of experts and scholars discussed, studied the issues, such as Chen Liping [a] and so the risk-free interest rate process and the price process are Ito process conditions, the discussion on the secured mortgage insurance premium pricing. This Chapter is:the process for the jump in the price-under the condition of diffusion process, the establishment of a mortgage guarantee premium pricing model. The model derived credit risk of banks the premium pricing of derivatives, a new method used to get premium pricing of credit derivatives can be more paste to the actual situation.The last part is a thesis paper in the main results obtained are summarized.