Research On The Measurement Of The Overall Risk Of Export Credit Insurance

After the financial crisis in2008, there are growing trade frictions between China and other countries ranging from developed countries to developing countries. In order to cope with the trade frictions, China changes the trade development strategy from "enlarging the domestic demand" to "change the trade increase mode and strike a trade balance". Export credit insurance is widely accepted as the export supporting device in international trade. And WTO has clearly notified export credit insurance has the legal immunity and it plays an important role in the modification of trade strategy. Many scholars have devoted themselves to the studies in this field and there have been abundant achievements. However, the focus of Chinese scholars lies in the theoretical research and the export credit insurance practices to some extent are still under explored. There are lots of problems in the export credit insurance market and among them, the imbalance between the demand and supply is a prominent one. The root of the problem lies in that the price of export credit insurance can not reflect the crisis. In order to have a deep understanding of the crisis in export credit insurance, the present thesis will build a model to measure the crisis. The rationale and innovative part are as follows.Chapter one introduces the problems existing in the export credit insurance market. The research orientation of the present thesis will be introduced based upon the problems. The research method for the present thesis absorbs the research results both from domestic and abroad scholars.Chapter two gives the introduction of the development of export credit insurance in China. Later, the crisis faced by the export enterprises will be followed. And the fact that the commercial crisis and national crisis can only be undertaken by export credit insurance will be revealed. Commercial crisis refers to the crisis posed by the buyer while national crisis refers to economic, political and social crisis, which will be the study focus of the present thesis. Chapter three will introduce the model of measurement of the commercial crisis on enterprises level. Through the introduction of experts evaluation method, multiple statistic method, nerve network model, KMV model, credit Metrics model, a summary of the strengths and weaknesses as well as the comparison of database, feasibility, and efficiency will be conducted. The author finds out the Z model and Riskcale model have great value in commercial field. KMV model is good at evaluating the probability of default and Credit Metrics model is efficient in evaluating multiple listed companies’credit crisis. The author of the present thesis chooses KMV model and Credit Metrics model as the main tools to evaluate the commercial business crisis. While Z model and Riskcale model are used to evaluate the primary model for evaluation. The model established for the present thesis can be called the comprehensive model, which only creates a combination of financial institutions commercial crisis without focusing on the crisis model for export credit insurance commercial crisis. We can benefit from this as the crisis model for financial institutions can reflect the commercial credit for enterprises and the results are much more reliable. The model used for export credit insurance commercial credit can measure the credit crisis of importers to some extent, however, it can not fully reflect it. In order to get a holistic and accurate the commercial credit crisis of export credit insurance, a professional model for measuring the commercial crisis in export credit insurance should be established.Chapter four divides the national crisis into qualitative model and quantitative model based on the criteria of measurement. Then the inventory analysis of qualitative model, the complete qualitative analysis, structural qualitative analysis and the judgment of quantitative model, the Logit model and the political instability method will be introduced. However, the above mentioned ways are not applicable for the national crisis measurement. Thus the focus of the present thesis turns to the notional solvency. Based on the national solvency, the present thesis creates a modified national economic and political crisis models, which can reflect the economic and political crisis rather than the general crisis. The author of the present thesis uses the Black-Scholes option pricing model to calculate the credit rate and the largest solvency ability of a country through combining the market value, macro economic revenue, crisis revenue, financial risk rate, security ability together. This method is quite practical, however, it is not theoretical enough. When measuring the national crisis, the present thesis makes hypotheses and creates the model based on hypotheses. The limitations of the modified model of the national crisis lie in the following aspects. Firstly, the criteria chosen for measuring the national political crisis is much subjective. Secondly, fewer indicators are adopted for measuring the economic crisis. Thirdly, the basis of the national crisis model is the Black-Scholes option pricing theory and the theory is on the ground of a series of hypothesis.Chapter five of the present thesis describes the analytic framework of chapter three and chapter four. This framework directly shows the process of measurement of export credit insurance and national crisis and we can follow the steps to measure crisis. Once we get the commercial credit crisis and the national crisis of export credit insurance, we can have a comprehensive evaluation of the crisis. Export credit insurance crisis is a combination of commercial and national crisis. In an ideal state, commercial crisis is the normal distribution of default and the national crisis is the normal distribution of national solvency, thus in the present thesis Copula functional analysis to evaluate the general crisis of export credit insurance. The present thesis just points out the way to evaluate without giving practical research, which is the limitation of the present research and the future orientation of research.