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Credit Risk of Commercial Bank and the Pricing of Its a Class of Derivaties

Author: ChenZhiYing
Tutor: WangJian；LiYingQiu
School: Changsha University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Commercial bank Credit risk KMV model Credit rating prediction model Home mortgages Mortgage guarantee insurance model
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 31
Quote: 1
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Abstract


Credit risk is due to the risk of counterparty's inability to perform, is the oldest commercial bank lending risk, the most important financial risks. In the context of economic globalization, the degree of openness of the national banking industry gradually increased, commercial banks adapt to the needs of the times, and also continue to introduce new credit derivatives. How to prevent credit risk, is an important issue facing the national banking sector in international financial activities, the next several years risk research areas most challenging topics. The application of stochastic analysis of knowledge and mathematical statistical model of bank credit risk and credit derivatives problem is that the mainstream of the bank risk management. Learn and absorb the existing domestic and foreign research and application of the results on the basis of elaborate studies around the bank's credit risk and credit derivatives. The article is divided into five parts, and its main tasks are as follows: (1) The first part of the thesis (Chapter I) describes the research background and significance, and the research status were analyzed and summarized. (2) The second part (Chapter II) to generate unique credit risk of commercial banks in China, its features and management problems in the analysis and generalization; introduced two models in the more mature of the four models of foreign countries in applying : the CreditMetrics model VAR-based and based on option pricing theory KMV model. 3 The third part (Chapter III) is one of the focus of this article and innovation. Chapter: process in the value of the assets VA (t) the Ito process conditions by default from the forecast the company's credit rating model. The model derived a new method to forecast the company's credit rating, which is more convenient to forecast the company's credit rating. 4 The fourth part (Chapter IV) is the focus of this article and innovation. Guarantee mortgage premium is an important issue in the bank credit risk derivative products, currently only a small number of experts and scholars to discuss, research the problem, such as Chen Liping the process in the risk-free rate and housing prices are Ito process conditions, discuss research a guarantee mortgage premium pricing. Chapter: jump in the price process - under the conditions of the diffusion process, the establishment of secured mortgage premium pricing model. The model is derived Credit Risk premium pricing of derivative products, a new method, which want to be able to play a supporting role in the prevention of bank credit risk. Finally summarize the main results obtained for the paper.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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