【作者】 曾智；

【导师】 巴曙松；

【作者基本信息】 重庆大学 ， 金融学， 2015， 硕士

【摘要】 08年金融危机爆发后,交易对手信用风险被认为是导致金融市场危机爆发最重要的一个原因。危机后,如何防范交易对手信用风险成为了全世界监管部门和国际组织讨论的热门话题。巴塞尔银行监管委员会出台了新的巴塞尔协议III,其中一个重点就是针对防范交易对手信用风险的改革。早在1998年颁布的巴塞尔I中,巴塞尔委员会就开始关注交易对手信用风险,认为部分和外汇、利率相关的表外业务面临存在交易对手信用风险。在2004年巴塞尔协议II中,巴塞尔委员会正式引入交易对手信用风险这一概念,并随后提出了相关的度量模型。但在2008年金融危机中,暴露出了巴塞尔委员会在交易对手信用风险监管上的漏洞,为此委员会在巴塞尔III中的重点之一就是对交易对手信用风险的监管以及度量,根据一致性、简单性和审慎性的原则,引入了信用估值调整模型,并改进和替代现有的度量模型。2014年,巴塞尔委员会要求使用最新的交易对手信用风险标准法测算违约风险暴露,以此替代之前发布的非内部模型法、现期暴露法和标准法,使之成为与内部模型法并行的度量模型。场外衍生品交易和证券融资交易是交易对手信用风险滋生的温床,规范这两个市场的交易行为,并加强监管是控制交易对手信用风险产生的有效手段之一。目前,我国衍生品市场和证券融资市场尚处于起步的阶段,风险暴露还不是特别的明显,但未来随着我国利率市场化、人民币国际化、资产账户放开的趋势下,场外衍生品交易和证券融资交易将会快速发展起来。因此,有效地防范交易对手信用风险尤为重要。本文以巴塞尔委员会关于交易对手信用风险监管为路径,详细地梳理了巴塞尔委员会对交易对手信用风险的研究,给出了交易对手信用风险的定义和特征;其次,在巴塞尔委员会所发布的报告基础上,系统地总结了巴塞尔委员会关于交易对手信用风险的监管度量框架演进以及度量模型;此外,理论模型与实证相结合,通过KMV模型对目前我国上市企业存在的交易对手信用风险进行了实证分析;最后,根据实证结果,提出了如何防范交易对手信用风险的防范措施。更多还原

【Abstract】 After the financial crisis, the Counterparty Credit Risk is considered one of most reasons to cause the crisis. And the prevention of Counterparty Credit Risk has become the hot topics between regulatory authorities and international organizations. The Basel Committee on banking supervision issued new Basel III, which one of the focuses is about the reform of Counterparty Credit Risk. Basel Committee began to study on Counterparty Credit Risk in 1998, thinking that some off-balance-sheet activities related to foreign exchange, interest rate face Counterparty Credit Risk. The Basel Committee formally introduced the concept of counterparty credit risk, and then put forward the relevant measurement model in Basel II. There are some defects in the Basel I and II,which is exposed in the crisis, so the regulation and measurement of Counterparty Credit Risk is one of the focuses, and the Basel Committee introduced the Credit Valuation Adjustment Model, and improved or replaced existing measurement model based on the principle of consistency, simplicity, and prudential. The Basel Committee required using Standard Method to measure the risk of default, which replaced the Non-Internal Model method, the Current Exposure Method and Standard Method, and making it the parallel measurement model of Internal Model Method.Over-the-counter Derivatives Trading and Securities Margin Trading are the root of Counterparty Credit Risk, so regulating these two market, and strengthening supervision are the most efficient measures to prevent the Counterparty Credit Risk.Now the Derivatives Market and Securities Financing Market in our country is still in its infancy, but with the development of Interest Rate Marketization, the Internationalisation of the Renminbi, Capital Account liberalization, these two market will developed quickly. Therefore, it is very important to prevent the Counterparty Credit Risk effectively.Based on the reports of Basel Committee on the management of Counterparty Credit Risk, this paper arranges the study of Counterparty Credit Risk of Basel Committee, and summarizes the definition and characteristics of Counterparty Credit Risk. At the same time, it systematically summarizes the measurement frame and model of Counterparty Credit Risk based on the reports released by the Basel Committee.Besides, combining theoretical model and empirical analysis, it measures the size of theCounterparty Credit Risk on the listed companies through the KMV Model. Finally,according to the empirical results, it studies the control of Counterparty Credit Risk.更多还原