风险缓释

商业银行信用风险缓释工具及LGD估值研究

Research on Credit Risk Mitigation Instruments and Measurement of LGD in Commercial Banks

本文从风险缓释工具入手，解释了抵押品对违约概率和违约损失率和信用风险VaR的影响，对银行信用风险控制有着十分重要的理论与现实意义。

The paper starts with Risk Mitigation tool , try to explain how mortgage affects PD , LGD and credit risks VAR , Research of this sort is significant in theory and practice of Bank credit risk management .

Basel框架下ORI风险缓释效应的缺陷与修正

The flaw of and Remedy for ORI Slow Release Effect under Basel Framework

然而，由于没有合理考量风险缓释效应，新Basel框架在这方面的各种安排可能会引致一系列与其目标相冲突的陷阱，如不公平竞争问题、监管套利问题等。

However , because the slow-release effect of risk is not reasonably considered , arrangements under new Basel framework may lead to a series of pitfalls such as unfair competition and profit-taking through supervision , running counter to its objective .

本文试图通过对ORI风险缓释效应的量化分析，在揭示这些问题的同时为最终修正这些缺陷提供一些思路，从而更好地实现Basel框架的宗旨，也为完善我国的操作风险管理实践提供参考。

This paper attempts to quantitatively analyze the slow-release effect of ORI and provide some solutions so that the objective of Basel framework can be better realized and risk management be improved in our country .

为了让该产品更容易获得监管部门的认可，试点计划的支持者以中国银行间市场交易商协会（Nafmii）为首把CDS的中文名称改为信用风险缓释合约。

In a bid to make the products more palatable to regulators , supporters of the pilot project , led by the National Association of Financial Market Institutional Investors ( Nafmii ), changed the Chinese name for CDS to credit risk mitigation contracts .

抵押是信用风险缓释的主要工具之一。

Mortgage is one of main tools to release credit risk .

新巴塞尔协议框架下的信用风险缓释技术

Credit Risk Mitigation Techniques ( CRMT ) under New Basle Accord Framework

信用风险缓释产品是分离、转移、对冲和管理信用风险的工具。

Credit risk mitigation is a tool for separating , transferring , hedging and managing credit risk .

本文对信用风险缓释技术的内容、应用及绩效进行了对比研究：一是分析了三种技术作用的不同条件、缓释作用的计量等；

From two different aspects , the article analysis comparatively the contents , performance and quantities methods of credit risk mitigation .

探讨我国信用风险缓释产品会计处理方法，为我国刚刚起步的信用增进机制提供可选择的会计模式，能积极推动我国信用衍生产品与金融市场的发展。

Exploring the accounting treatment of credit risk mitigation in China actively promote the development of credit derivatives and financial markets .

调研结果显示，抵押资产的变现清偿比率不高，抵押评估质量低下，抵押的风险缓释作用远没有得到发挥。

Research shows that mortgaged assets do not have a high appraisal quality with low liquidity ratio and function poorly as a risk bumper .

信用风险缓释技术在新巴塞尔协议中占有相当重要的地位，其中，抵质押又是信用风险缓释的主要工具，各家银行均把抵质押品视为银行抵御风险的有效屏障。

Among them , mortgage and pledge are the main tools of Credit risk slow-releasing . Each bank regards the collateral as the effective barriers .

信用风险缓释技术是众多信用风险管理方法中的一种，它包括抵押交易、担保交易、信用衍生工具、表内净扣。

Credit risk mitigation technique is one of the ways to manage credit risk , it includes collateralized transactions , on-balance sheet netting , guarantees and credit derivatives .

常用的信用风险缓释工具主要有抵质押品、净额结算、保证以及信用衍生工具。

The main credit risk mitigation tools include collateral , netting , guarantees and credit derivatives ; otherwise , Credit risk mitigation tools can reduce credit risk regulatory capital .

这与巴塞尔银行监管委员会新的资本协议中的结论是一致的，其明确指出，对于同样的交易，使用信用风险缓释技术后的资本要求一定比未使用风险缓释技术的资本要求低。

This conclusion complies with new capital agreement by Basel Committee on Banking Supervision . The new capital agreement claims that the the capital requirements with use of credit risk mitigation techniques is less than without use during the same transaction .

供应链融资模式以产业链为依托、以核心企业为风险缓释手段，以自偿性资金为还款来源，有效地降低了中小企业的融资风险，在国内商业银行中得到了广泛的应用。

Supply chain financing model based on the industrial chain , the core enterprise as risk slow-release means , from their source of funds for repayment , effectively reduce the risk of financing for small and medium-sized enterprises . It has been widely used in domestic commercial Banks .

为此，文章首先从借款人、贷款方案、贷款投向和风险缓释四个要素出发，构建了一套产品水平的信用评分模型的整体分析框架，并将该框架具体应用于个人住房贷款产品；

For retail exposures , this paper firstly built an analytical framework for product-level credit scoring model , and by applying this framework to home mortgage loans , it built a hybrid scoring model for home mortgage loans which consists of a scoring card model and a Logistic model .

本文认为：信用衍生产品在商业银行信用风险管理及缓释银行监管资本要求等方面具有独特作用；

It is believed that credit derivatives have a unique role to play in credit risk management by commercial banks and cushioning the pressure of capital requirements from banking supervision .

同时也对商业银行操作风险的控制与缓释方面的研究做了简要的阐述。

Simultaneously has briefly described the researches on the control and release of operational risk for commercial bank .

最后，从企业文化建设、组织体系调整及管理模式、技术和方法等方面探索操作风险管理架构及缓释风险的方法，以期提高商业银行抗御风险的能力。

Finally , in order to improve the ability of commercial banks against risks , enterprise cultural construction , structural adjustment and managerial mode , techniques and methods are considered while an operation risk management framework and risk dissolution methods are explored .

然后按照操作风险的识别、评估、实施审计程序、操作风险的控制或缓释等几方面对其在商业银行的具体应用进行了详细说明。

Then we discuss operational risk identification , assessment , implementation of audit procedures , operational risk control or slow-release in commercial banks .

在当前我国商业银行建设全面风险管理体系过程中，公司信用风险是最为主要的风险种类，而其风险预警和风险缓释则是最为薄弱的关键环节。

Currently , in the process of building ERM system , credit risk is the most major risk categories of commercial Banks in China , while the risk early warning and risk mitigation are the weakest critical-links .

第一，加强风险管理内部环境建设；第二，构建良好的操作风险管理流程；第三，利用操作风险的缓释工具；第四，加强对商业银行的监管。

First , strengthen inner environmental establishment of risk management ; second , form good operational risk management process ; third , exploit the releasing tool of operational risk ; fourth , strengthen the supervising power towards commercial banks .