The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this paper,we introduce a new technology——Copula function——to integrate single credit risk,and discuss how to use copula function to manager portfolios of credit risks and value credit derivatives. Credit risks are the main problems for Chinese banks.Credit derivatives have a function to transfer credit risks,Credit derivatives market grows very quickly,they are sure to become a very important part of financial market.Study the valuation techniques for credit derivatives,design appwpriate derivatives for Chinese financial institutions,and seek useful methods to mangage credit risks are helpful to improve the benefits and asset quality of Chinese commercial banks.
According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank Bond Market liquidity and determinants that affect treasury bond liquidity.The empirical study finds that there is no significant difference among the treasury market liquidity at different time.In addition,the factors that affect the treasury bond liquidity include trade size,transaction price,risk(volatility of quotes),maturity and issue size.
认真作好风险度量和管理工作,保持金融机构的稳健经营,是现代经济运行的基石。近年来,为了更好地衡量资产损失的风险,人们提出了风险值(Value at Risk)的概念,目前,风险值(VaR)已经成为风险管理目标的同义词。本文讨论的是风险值度量方法的新进展。具体包括三部分内容:第一部分是对风险管理概念VaR的讨论,指出国内一些文章对VaR概念的一些不恰当理解和应用;第二部分是完善VaR度量方法的分类标准及名称,介绍了风险值度量方法的新进展,并给出了VaR度量方法的实施程序;第三部分是对风险值度量方法研究的展望。
