Credit Risk Analysis Of Counter-party

A large number of large-scale financial institutions that involve financial derivatives transaction,closed down in 2008 globe financial crisis.In this crisis,Basel Committee was under criticism.The globe financial institutions further improved the demand on management of the counter-party credit risk after this crisis,which concerns the whole bank system even the steady progression of national economy.Strengthen its study has vital theoretical and practical significance.This paper first introduces the two basic theories of credit risk management : Asset management theory and liability management theory?Secondly,the KMV model based on the modern option theory and making full use of the market information.Then,we compare four methods of measuring counter-party credit risk(CCR).The current exposure method(CEM),the internal model method(IMM),the standard method(SM),non internal model method(NIMM).In this paper,the relative theory of counter-party credit risk' measurable has carried on the comparative study,based on the theory of credit risk management and KMV model.Furthermore empirical analysis on the counter-party credit risk according to the KMV and GARCH model.In consideration of the time lag of the data acquisition,we select GARCH model to calculate the exposure at default between counter-parties in the process of empirical analysis.Overall considerate the listed enterprise' value of debt,debt maturities and stock value volatility.Complete the computation of theoretical expectation of probability of default.Finally,based on the empirical analysis,some management strategies present to the counter-party credit risk.Reliable evaluation information of credit risk and intentional policy was supplied to discover in time,evade even eliminate the credit risk for investor,creditor and regulator.