CRM Pricing Research of China's Inter-bank

Guiyun You, Siying Han, Zheng Liu

2012

Full text Open access: Gold Metadata (CSL-JSON)

DOI 10.2991/citcs.2012.36

Data confidence 70 medium

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Abstract

Credit risk mitigation (CRM) is an effective mean for bank's credit risk transformation.Buying CRM can reduce bank's capital requirement, and meet Basel regulatory agreement effectively.China's implementation of CRM will help improve the credit risk-sharing mechanisms, solve the "paradox of credibility" effectively and raise the proportion of direct financing.In this paper, the idea of credit spread is used to price CRM, in which the main parameters processed by KMV model.Through pricing 11 Agriculture CP01 CRM, this paper provides some references for China's CRM pricing research.