| Credit risk is one of the major risks that the commercial banks encountered,before the credit risk transfer instruments appear,commercial banks had taken anegative credit asset management policies that held to maturity.After theemergence of credit risk transfer instruments,the credit risks can be proactivemanaged,thus there is a rapid development in the credit risk tranter market.Butafter the financial crisis which outbreak in the2007,many people think that theabuse of credit derivatives,the securitization,and other credit risk transferinstruments induce this financial crisis,thus, it is particularly important to analysisof the impact of credit derivatives for commercial banks.Credit derivatives,including Credit Default Swaps,Total Return Swaps,Credit-link notes,Credit spread options and Synthetic CDOs, etc. This paperdescribes in detail the various mechanism for credit derivatives,analyzes thepositive and negative effects on the commercial bank that credit derivativesgenerated. Overall,on the one hand so that banks have better credit management,on the other hand increasing the asymmetric information,causing banks to holdmore risk positions.In this paper, the empirical analysis is about the relationship between the creditderivatives and the risk of commercial banks,using quarterly data of2003to2013, based on the GMM model. The results shows that before the financialcrisis,the use of credit derivatives was significantly enlarged small banks risklevel,but the impact on large banks is not significant,and after the financialcrisis,the impact on both large and small banks are not significant.Finally,the paper puts forward some policy suggestions from both macro andmicro aspects based on empirical results. |
