交易对手信用风险管理的实证分析

An empirical analysis on the management of counter party's credit risk

在近年来的金融危机中,参与场外衍生品交易而引起的信用违约事件对整个金融体系冲击很大,因此防范交易对手信用风险尤为重要。本文基于构建的金融衍生品资产组合,根据t-Copula函数的拟合结果研究汇率与利率之间的相关性,再结合资产组合的盈亏情况研究市场风险的变动对交易对手信用风险暴露的影响。最后,基于全文实证分析结果提出通过转换结算方式、注重风险缓释措施、引入交易结算对手等措施来加强对金融风险之间相关性的防范。

Credit default events due to the participation of OTC derivatives have caused a big impact on the entire financial system in recent years. Therefore, it is particularly important to prevent counter party＇s credit risk. Based on constructed financial derivatives portfolio, this paper discusses correlation between exchange rate and interest rate according to t-Copula function fitting result, and then researches the effects of changes in market risk on counter party credit exposures according to losses and gains of portfolio. Finally,some measures are suggested to prevent financial risk correlation including converting settlements, focusing on risk mitigation measures, introducing transaction counter parties,etc.