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Application Study of Credit Default Swap in the Credit Risk Management of Commercial Banks

Author: ZhangYing
Tutor: WuJingMei
School: Capital University of Economics
Course: Finance
Keywords: Credit Derivatives Credit Default Swap Credit Risk Management Risk Analysis
CLC: F832.2
Type: Master's thesis
Year: 2007
Downloads: 288
Quote: 1
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Abstract


Nowadays, the credit risk is considered to be the most important risk that commercial banks in China face. The excessive concentration of credit risk will put a severe threat to the survival and development of the commercial banks in China, as well as the security and stability of the whole financial system. The essential method of resolving the credit risk problem is to improve the ability and seek new ways of controlling and transferring credit risk on the bank’s side. Thus, the credit risk of the bank can be decentralized within the whole financial system.Credit Default Swap (CDS), which accounts for 33 percent of the global credit derivatives marketing share, is one of the most important and technology-matured credit derivatives currently. It’s mainly a financial contract, which can separate the credit risk from the reference assets and transfer it to the credit protection seller. The prominent characteristic of CDS is the risk-transfer mechanism it provides for the credit risk after separating it from the market risk. Compared with the conventional credit risk management tools, CDS has great advantage on solving the "Credit Dilemma" problem, enhancing the liquidity of assets and so on. Based on the advantages mentioned above, with an amazing increasing speed, CDS get an explosive development during the several years just after it’s born.At present, the credit risk management of commercial banks in China is under great pressure. However, due to the lack of advanced risk transferring and eluding tools, the banks are always in the passive status when the credit risk occurred and have no effective measures to control and manage it actively. As the CDS has been proved to be an effective method of credit risk management, both in practice and in theory, it will with no doubt become the inevitable choice of the credit risk management tool of the bank in China. Therefore, to discuss and study CDS deeply will undoubtedly impel the introduction of credit derivatives to our market and play its role in the credit risk decentralizing and transferring. So that the rising risk management tool can be introduced and implemented in the credit risk management of our banks as soon as possible.This dissertation is mainly focused on the way of how to introduce the CDS to the credit risk management of commercial banks in China. To solve the main problems currently exist in the credit risk management, based on the explanation of the rationale of CDS and the introduction of the development actuality of CDS in the world scale, this dissertation makes a deep discussion on the necessity and feasibility of applying the CDS to the banks’ credit risk management. Besides, it also points out the barriers of developing CDS in China and recommends some methods to conquer those difficulties.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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