CRM Pricing Research of China's Inter-bank
Guiyun You, Siying Han, Zheng Liu
Available Online November 2012.
- https://doi.org/10.2991/citcs.2012.36How to use a DOI?
- Credit risk mitigation; Credit spread; KMV
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - 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 - https://doi.org/10.2991/citcs.2012.36 ID - You2012/11 ER -