Dissertation > Excellent graduate degree dissertation topics show

The Analyses of Factors Which Influence the Collateral Risk in Bond Repurchase

Author: WangFei
Tutor: WangXueBiao
School: Dongbei University of Finance
Course: Quantitative Economics
Keywords: Credit Risk Bond repurchases Collateral Risk
CLC: F831.51
Type: Master's thesis
Year: 2010
Downloads: 81
Quote: 0
Read: Download Dissertation

Abstract


The credit risk of commercial bank has a long history. With the development of the economic, the financial market has always been changing and financial products have been greatly innovated, the credit risk has also been greatly extended. In the past several decades, many commercial banks of different countries in the word have suffered many disasters, and many of the large commercial banks and other financial organizations have been bankrupt, the central reason is credit risk. And the credit risk is attracting more and more attention. The management of the credit risk is becoming more and more important in the management of the commercial banks at the same time. How to improve the management of the credit risk by measuring it has become a very important challenge for commercial banks of different countries in the world. Both the commercial banks and the academics are paying more and more attention to the study of credit risk management techniques. Especially the economic environment of current society is changing rapidly, the financial market develops continually, the innovation of the business of commercial banks is very fast, market participants are also diversifying, there are more kinds of credit derivatives and the transaction becomes more and more complicated, these all extend the meaning of the credit risk. As a result, making systematic deeper study of the management of credit risk and using it well are very useful to keep the development of commercial banks sustaining and steady, and keep the macro economy and financial system operates efficiently. This forces the whole financial field both here and abroad to regard the study of credit risk management techniques as one of the most challenging issues.The chapter one of this paper simply introduce the background and meaning of the study and current condition of the study both here and abroad; the chapter two is about the definition and features of credit risk, and then simply introduces traditional methods of credit risk management and emphasizes to discourse the four most popular credit risk models; the chapter three introduces the definition of bond repurchase, and talks about its development in China; the chapter four analyzes the factors which influence the collateral risk in the bond repurchase transaction by building models; the chapter five is about relate conclusions which derive from the study. Finally, the paper gets the conclusions:the longer of the maturity of the bond, the higher of the haircut which is asked for; if the haircut increases, the probability of suffering losses will decrease; the smaller of the probability of default, the smaller of the probability of suffering losses; if the interest rate at the beginning of the period decreases, the probability of suffering losses will increase; if the long term mean of interest rates increases, the probability of suffering losses will decrease; if the speed of convergence of the interest rate to its mean increases, the probability of suffering losses will decrease; when the volatility of the interest rate process increases, then the probability of suffering losses increases.

Related Dissertations

  1. Publishing credit Credit Risk Control Problem,G231-F
  2. Improve the Small and Medium-sized Enterprises Credit Risk Rating System of Commercial Bank,F832.4
  3. A Study on Personal Credit Risk Based on IRB in Bank of China,F832.4
  4. The Research on the Retail Credit Risk Management of Bank of Communication,F832.3
  5. Study on Management of Retail Credit Risk in Rural Credit Cooperative,F832.4
  6. Reseaching on Using of Credit Derivatives of Our Country,F224
  7. The Credit Risk Management of Rural Micro-finance,F832.4
  8. Default correlation based on the degree of concentration risk control method,F830.5
  9. City Commercial Banks' Credit Risk Management,F832.4
  10. Study on Credit Risk Management in Consumer Credit Based on Network Organization,F224.32
  11. Credit Risk Control Research on Auto Financing Corporations,F832.4
  12. Under the New Situation of the Management of the Risk Road about China’s Commercial Bank Credit,F832.4
  13. Based on adaptive RBF neural network commercial bank credit risk early warning assessment study,F224
  14. Research on Credit Risk Management of SME Lending of China’s Commercial Banks,F832.4
  15. The Research on Risk Measurement of Loan in China from the Perspective of Economic Cycle,F832.4
  16. University Credit Risk Study in the Background of Greatly Expanded Enrollment,F832.4
  17. A Research on Customer Credit Risk Management of the XX Bank,F832.2
  18. Third party logistics warehouse receipts pledge to carry out research activities,F832.4;F224
  19. Credit Risk Management Study of Commercial Banks in China and Empirical Analysis,F224
  20. Empirical Study of the Credit Risk Measurement on China’s Listed Companies,F832.5;F224

CLC: > Economic > Fiscal, monetary > Finance, banking > World of finance, banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile