Based On The Credit Derivatives Of Our Country Commercial Bank Credit Risk Management Research

Credit risk is one of the most important risks that these commercial banks are facing, credit risk management methods of the experience from the classical credit risk management to use technology of modern engineering credit risk management. The method of credit risk management has experienced from classic credit management to modern credit management which based on the modern engineering technology. Credit derivatives can price and transfer the credit risk which helps commercial banks to decentralize the excessive concentration of credit risk without hurting the existed relationship between the banks and customers. Credit risk is also the main problem our country commercial banks have been facing. And with recent years the banking innovation, credit risk has become more and more complex. Credit derivatives have obvious advantages relative to the traditional credit risk management method in solving credit risk. Commercial Banks not only can use credit derivatives to separate and manage credit risk, but also can improve their profitability by acquiring risk return as the investors. So when the financial market is ripe, the introduction of credit derivatives to enhance the credit risk management level of commercial banks in our country is quite significant.This paper comprehensively introduces the definition, structure and hedge mechanism of credit derivative, then focuses on the analysis of its core product research credit default swap related theory. It Includes CDS pricing discusses based on Credit Metrics model, uses regression analysis studying on all the factors which influence CDS pricing and designs CDS contracts on the basis of reinsurance, etc. According to the credit risk management state of commercial banks in China, this paper elaborates the necessity and prospect of credit derivatives. At last this paper gives some useful recommendations for introduction and development of credit derivatives. Credit derivatives are expected to play an important role in credit risk management with effectively avoiding the negative influence.