商业银行信用风险转嫁策略研究-金融学专业论文.docxVIP

摘要商业银行信用风险转嫁是一个全新的研究领域，值得建立一个理论分析框 摘要 商业银行信用风险转嫁是一个全新的研究领域，值得建立一个理论分析框 架，因为它能提供金融产品创新的理念，是银行由当事人成为代理人角色的关 键。风险转嫁策略有静态和动态两种理解：静态的策略是指避险产品本身，主 要包括补偿型产品、保险型产品、证券型产品以及对冲型产品；动态的策略是 指风险转嫁的流程，主要有风险识别、产品设计、风险定价、风险营销等过程。 定价技术是风险转嫁流程的核心环节，是风险管理的精华。信贷资产组合保险 策略定价技术通用性强，可以作为其他产品定价的基础。信贷资产的特殊性决 定了其保险定价没有成熟的模型，只能对已有的方法进行一些变换来达到目的。 CreditMetrics模型为解决这一问题提供了借鉴，对该模型进行适当改进，并 配合蒙特卡罗模拟，可以得到较为理想的费率。 信用风险转嫁策略的实旎需要克服三大难点，即相关制度如何与巴塞尔协 议、银行管理模式以及市场运行环境相整合。为适应风险管理的发展趋势，商 业银行的功能需要重新界定。另一方面，信用风险转嫁也会给我们带来一些理 论性反思，例如可能孳生道德风险，可能会造成社会风险存量的增加，还可能 会与一国货币政策发生冲突。 关键词：信用风险、风险转嫁、巴塞尔协议、定价、CreditMetrics、蒙特卡罗 模拟 AbstractThe Abstract The Credit Risk Transfer of commercial bank is a bran-new research field．which is worthy of being analyzed in a theoretical framework,for it carl offer the innovative idea of financial products，it’S the key for banks to shift their roles from principal to agent．There lies two kinds of comprehension about Risk Transfer Strategy,static strategy and dynamic strategy：The static strategy meansihe risk product itself,mainly includes compensatory prodoct，insurance product，security product and hedge product；The dynamic strategy means the flow of Risk Transfer, mainly includes the process of risk identification,product designing，risk pricing and risk distribution．Pricing technology is the COre tacbe of Risk Transfer flow,and the elite ofRisk Management．The technology ofpricing the insurance strategy ofcredit portfolio is universal，it’S the pricing foundation of other products．The particularity of credit asset determines that there is not any mature model to pricing the insurance strategy,the only way is to change the existing methods．CreditMetries model gave some reference to solve the problem，we call make some improvement to the model， 谢t11 the help ofMonte Carlo Simulation．resonable fee will be available． To implement the strategy of Credit Risk Transfer,we should conquer those difficulties，such as how to adapt the correlative system to Basel Accord，bank management mode and market fun