【作者】 游桂云； 韩思颖； 刘铮；

【Author】 Guiyun YOU1,2,Siying HAN1,Zheng LIU2 1College of Economics,Ocean University of China,Qingdao,China 2 School of Insurance and Economics,University of International Business and Economics,Beijing,China

【机构】 中国海洋大学经济学院； 对外经济贸易大学保险学院；

【摘要】 信用风险缓释工具CRM是银行转移信用风险的有效手段,通过买入CRM可降低银行资本金要求,有效满足巴塞尔监管协议。我国推行CRM将有利于完善信用风险分担机制,有效解决"信用悖论",提高直接融资比例。本文采用信用价差的思路对CRM进行定价,其中的主要参数选取KMV模型进行处理。通过以09建行11债券为标的的CRM定价,为我国CRM定价研究提供一定意义的参考。更多还原

【Abstract】 Credit risk mitigation(CRM) is an effective mean for bank’s credit risk transformation.Buying CRM can reduce bank’s capital requirement,and meet Basel regulatory agreement effectively.China’s implementation of CRM will help improve the credit risk-sharing mechanisms,solve the "paradox of credibility" effectively and raise the proportion of direct financing.In this paper,the idea of credit spread is used to price CRM,in which the main parameters processed by KMV model.Through pricing 11 Beidahuang CP01 CRM,this paper provides some references for China’s CRM pricing research.更多还原