The Case Study of Bank's Counterparty Credit Risk Management of Financial Derivatives
| Autor: | Yu-Ping Teng, 鄧玉萍 |
|---|---|
| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 In the past 30 years, the financial market has revolutionary changes constantly, due to the liberalization of international market, growths of global trade and the progress of financial technology, which effecting financial market fluctuation aggravated, resulting in increasing the demands of risk management products from market dealers, reflecting on the rapid growths of international financial derivatives market and complication of transaction types. The financial crisis in 2017 caused by the burst of the real estate bubbles subprime mortgage issue, but the regional issue had effected the global financial market through over-the-counter derivatives transactions, which highlighted the subject of derivative financial commodity counterparty credit risk management system needed to be strengthened by international banking. From the point of view of banking in 2015, the Counterparty credit risk management control mechanism was not complete, which was one of the main reasons of the sales storm of Target Redemption Forward. This research according to literature reviews, from the estimated method of derivative financial commodity counterparty credit risk outburst, Basel capital accord I, II and III, etc. to strengthen the counterparty’s international norm evolution of credit risk management and its studies of Credit Risk deductions measures, with the actual risk cases, to study the most suitable method of risk management. By using case study research, analyzing the mode of operation and difficulties as the individual banks conducting in risk management practices, comparing the most suitable mode for international management, to present improvement suggestions of individual banks that can actually apply, and to financial supervision agencies as references. The results indicate individual banks can strengthen the calculation method of credit risk outburst, improve the method of Risk-Based Capital Charge, use risk credit measure properly and elevate the professional quality in every risk management view continuously. For domestic financial institutions and competent authorities, set up Credit Valuation Adjustment control system, establish domestic Over-the-counter markets centralized trading system and improve financial education of consumers constantly are recommended. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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