信用风险缓释工具的缓释作用分析-analysis of the slow-release effect of credit risk slow-release tools.docxVIP

摘要信用风险是商业银行面临的最古老的风险之一，也一直是全球各大商业银行关注的焦 点。2004 年，巴塞尔委员会发布了《新资本协议》，对抵质押、保证和信用衍生工具等信用 风险缓释工具做了详尽的分析与阐述，并认为这些信用风险缓释工具能够有效分散和转移信 用风险。2010 年，国内的大型商业银行已经开始实施《新资本协议》，而信用风险缓释技术 作为《新资本协议》的重点内容，如何使用信用风险缓释工具将成为我国商业银行面临的主 要问题。当前，我国经济增速放缓，金融风险有所显现，信贷风险不容忽视。面临如此严峻 的经营环境，商业银行如何利用信用风险缓释技术不仅关系到商业银行自身的经营安全，也 影响到我国宏观经济的发展。因此，如何发挥信用风险缓释工具在降低商业银行信用风险程 度中的作用，将成为本文研究的重要内容。本文的研究内容是信用衍生工具对信用风险的风险缓释作用，包括抵押和质押、净额结 算、保证和信用衍生工具。首先，本文用定性分析和定量分析相结合的方法，在对信用风险 缓释工具的风险缓释作用理论分析的基础上，从反映抵押品价值的抵押率入手，用期权定价 法模型考察抵押品价值与违约概率、违约损失率的关系，用 Copula 函数考察抵押品价值与风 险价值与资本金要求的关系，抵押品价值能够有效降低贷款的违约概率、违约损失率、风险 价值度与资本金要求。其次，用具体实例分析净额结算在风险缓释作用，净额结算在缓释交 易对手的风险中具有重要的作用。再次，对保证贷款风险缓释作用的分析，即被设定保证后 贷款的违约概率的分析。最后，分析信用衍生工具对商业银行经营的影响。【关键词】信用风险抵押质押保证 信用衍生工具AbstractCredit risk is the oldest one of the risks faced by commercial banks, has been the focus of attention of the worlds major commercial banks.In 2004, the Basel Committee issued the New Basel Capital Accord, in which collateral, guarantees and credit derivatives and other credit risk mitigation tools are to do a detailed analysis and interpretation, and the credit risk mitigation tools are to effectively spread and transfer credit risk. In 2010, the domestic large commercial banks have begun to implement the New Basel Capital Accord, credit risk mitigation techniques as the content focus of the New Basel Capital Accord, so that how to use credit risk mitigation tools will be the main problem faced by the commercial banks in China. At present, Chinas economic growth is slowing, financial risk has appeared, credit risk can not be ignored. Facing such a difficult business environment, how commercial banks take advantage of the credit risk mitigation techniques is not only related to the operating safety of the commercial banks, also affect Chinas macroeconomic development. Therefore, how to play the role of credit risk mitigation tool in reducing commercial bank credit risk level, will become an important part of this study.The research content of this article is risk mitigation