The Design And Implementation Of Counterparty Credit Risk Assessment System

To guarantee the safety of counterparty’s credit and to evaluate the credit risk of counterparty is very important for the stability of financial system. It is an urgent requirement for credit investors to use information technology to improve accuracy and timeliness of the counterparty credit risk assessment. The system in this article, focused on this current urgent requirement, optimizing the CreditMetrics model with the comparison of historical data, develops the counterparty credit risk assessment system.Through the investigation of business process of the counterparty credit risk assessment in a trade, fully considered the change of counterparty’s rating, default compensation of counterparty in specific level and other factors, this system uses the CreditMetrics Model to figure out the value at risk based on rating migration and historical data; adopts the B/S Three Layer Architecture to improve code reusability and coupling; uses the SQL Server2008as database. It realizes the functions of assessing counterparty credit risk. The "counterparty credit risk assessment system" contains three major functional modules, transaction management module, risk calculation module, risk change prediction module. The system pays attention to user experience, such as, the fuzzy query of the transactions; the humanized set to submit a new trade, etc. The system is prominent in the risk prediction module. Through the way of chart, the credit risk assessment is greatly visual. It has the advantages of convenience and affordability, and also promotes the efficiency of the credit risk assessment.This system in this article uses Three Layer Architecture. It has the characteristics of high reusability and so on. After coding and testing, this performance of "counterparty credit risk evaluation system" is good, and it can satisfy the requirements of accurate evaluation counterparty credit risk directly.