基于信用度量制模型的互换价值VaR的计量

Measuring VaR of Swap Value by Credit Metrics Model

互换这一衍生工具有助于规避风险、谋取收益。但互换本身也有金融风险。由于涉及两个或两个以上交易主体,信用风险是互换交易中的主要金融风险形式之一。本文运用信用度量制模型度量了互换价值VaR,以期对我国金融机构严重信用风险的度量、管理有所借鉴。

As an important financial derivative, swap is favorable to avoid risk and gain benefit, but swap also has financial risk. Because of involving with two or more traders, credit risk is the main financial risk of swap. This article introduces the Credit Metrics Model to measure the VaR of swap value, so as to upgrade our country's credit risk measurement level.