论银行业衍生产品交易对手信用风险管理

银行是场外衍生产品市场的主要参与者。在从事场外衍生产品业务时,银行会面临一种特殊的风险———交易对手信用风险。美国次贷危机中,交易对手信用风险的破坏性体现得尤为明显,使参与其中的银行承受了巨大损失。本文厘清了衍生产品交易对手信用风险的定义及特征,总结了全球及中国的衍生产品交易对手信用风险现状,介绍了国外银行业的风险管理经验,最后,提出了我国银行业应采取的风险管理措施。

Studies on Banks' Counterparty Credit Risk Management

Banks are the main participants in the OTC derivatives market.Banks engaged in derivatives business will face a special kind of risk-counterparty credit risk,and in the U.S.subprime mortgage crisis,the damage of the counterparty credit risk is particularly obvious,and made participating banks suffering huge losses.This paper clarifies the definition and characteristics of derivative counterparty credit risk.Then,it summarizes the global and China's derivatives counterparty credit risk situation and describe...