Proceedings of the 2012 National Conference on Information Technology and Computer Science

CRM Pricing Research of China's Inter-bank

Authors
Guiyun You, Siying Han, Zheng Liu
Corresponding Author
Guiyun You
Available Online November 2012.
DOI
https://doi.org/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.
Open Access
This is an open access article distributed under the CC BY-NC license.

Download article (PDF)

Proceedings
2012 National Conference on Information Technology and Computer Science
Part of series
Advances in Intelligent Systems Research
Publication Date
November 2012
ISBN
978-94-91216-39-8
ISSN
1951-6851
DOI
https://doi.org/10.2991/citcs.2012.36How to use a DOI?
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  -