The Research On The Application Of Credit Default Swap In The Risk Management Of Our Country's Commercial Bank

Commerical bank is special corporation which manages risk.Credit risk is the main risk that commerical must face in its daily operation.Suffering from debt crisis which happened since 1980s,the credit risk problem of international finace is aggravating,financial institutions in many countries are beginning to pay much attention to the management of credit risk. A series of credit risk management innovation tool arises at the historic moment ,credit deravitives which develop from 1990s is most obvious. Credit default swap is one of the most popular finance product which is applied in the credit derivatives,it occupies about two thirds market share of credit derivatives.Credit derivatives separate credit risk from financial asset and provide the risk transfer mechanism.It is possbile for bank to transfer and trade credit risk.Credit derivatives fundamentally changed the traditional mode of crdit risk management.To be aimed at the serious problem of credit risk and backward present situation of risk management.This article researchs how to apply credit default swap which has simple structure and is applied maturely in the risk management of our commerical bank .It is advantageous for pricing credit default swap by constructing pricing model base on analysis cash follow.Besides that this article gives empirical evidence for price effect factor of credit default swap.The result of empirical analysis indicates that the main factor which affects the price of credit default swap is credit rating of reference asset ,the second important factor is free risk interest rate. The maturity of credit default swap contract is the least influence factor.This artice analyses the necessity of credit default swap's application by ispecting the present situation of commerical bank credit risk management in our countury.We also elaborate the project design of how to apply credit default swap and gives some correlative advice for that.It is helpful for commerical bank to resolve badness loan by researching how to imply credit default swap in our country's bank.It is also helpful for commerical bank to improve management of credit risk.