CRM Pricing Research of China's Inter-bank

DOI

10.2991/citcs.2012.36How to use a DOI?

Keywords

Credit risk mitigation; Credit spread; KMV

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.

Copyright

© 2012, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Guiyun You
AU  - Siying Han
AU  - Zheng Liu
PY  - 2012/11
DA  - 2012/11
TI  - CRM Pricing Research of China's Inter-bank
BT  - Proceedings of the 2012 National Conference on Information Technology and Computer Science
PB  - Atlantis Press
SP  - 130
EP  - 133
SN  - 1951-6851
UR  - https://doi.org/10.2991/citcs.2012.36
DO  - 10.2991/citcs.2012.36
ID  - You2012/11
ER  -