Page 32 - CCFA Journal - Second Issue

加中金融

交易对手信用风险（CCR）简介 INTRODUCTION OF COUNTERPARTY CREDIT RISK (CCR)

信用风险和对交易对手信用风险有什么区别？ What is the difference between credit risk and counterparty
credit risk?
“信用风险”和“交易对手信用风险”均指同一类型的风险，即合
同另一方不履行其还款义务的风险。信用风险通常用于已知风 Both 'credit risk' and 'counterparty credit risk' refer to the same type
险敞口的传统贷款业务中。交易对手信用风险（CCR）是衍生 of risk, i.e. the risk that the opposite side of a contract will not
工具的交易对手在交易最终结算之前可能无法履行其合同义务 honor its obligations to repay. Credit risk is typically used in the
的风险。它通常用于衍生产品中。与贷款的信用风险情况不 context of a traditional loan business, where the risk exposure is
known. Counterparty credit risk (CCR) is the risk that the
同，除了信用品质的不确定性外，CCR 还需要考虑交易远期中 counterparty of the derivatives may not be able to meet its
风险敞口的不确定性，例如与交易相关的损失。 contractual obligation before the final settlement of the transaction,

and typically used in the context of derivatives. Unlike the case of
CCR 相关模型
credit risk on loans, which only needs to consider the risk on credit
交易对手信用风险会有什么影响？首先，它会影响财报披露并 quality, CCR also needs to consider the uncertainty on the exposure
in the future of the deal, i.e. the potential loss associated with trades.
在损益中反映出来。我们需要进行定价，以测算有多少估值调
整是由于这些风险引起的。其次，需要一些风险管理模型来监 CCR associated models
控与 CCR 相关的风险，以便银行可以减轻这些风险。最后，
确保银行在承担 CCR 带来的交易损失后，仍能满足监管机构 Where will the CCR go? First, it will go to the financial reporting
设定的资本充足率要求。跟 CCR 相关的有如下 3 种模型: disclosure and impact on the profit and loss (P&L). We price them
to see how much of the valuation adjustments are due to those risks.
1. 估值模型（XVA）：估值调整是对衍生品合约公允价 Second, CCR requires monitoring by appropriate models so that
值进行调整时的总称，考虑到融资，信贷风险和监管 banks can mitigate those risks. Finally, regulators require an
资本成本，等等。最初，与 CCR 相关的估值模型仅指 accurate assessment of CCR as part of the capital requirements to
ensure banks are still safe after taking any losses from these
信用估值调整（CVA），这是对衍生产品的公允价值 transactions. There are 3 CCR associated models as below:
进行调整以计入 CCR 的结果。它反映了在交易期内对
冲交易对手违约的成本。CVA 引发了 CCR 的讨论。后 1. Valuation models (XVA): Valuation adjustment is the umbrella
来，银行和做市商试图用有担保交易对手交易的反向 name for adjustments made to the fair value of a derivative
头寸去对冲无担保交易对手的某些交易，这引入了融 contract to consider funding, credit risk and regulatory capital
资估值调整（FVA）。它是由于交易的变动保证金而 costs, etc. In the beginning, CCR related valuation model only
refers to Credit Valuation Adjustment (CVA), which is an
产生的，因为那些应付的变动保证金，银行需要考虑 adjustment to the fair value of derivative instruments to account
融资成本，这也对估值产生影响。XVA 涉及范围广。 for CCR. It reflects the cost of hedging counterparty defaults
对于那些有资本成本的交易，它引发了一个问题，即 over the life of the trade. CVA initiated the CCR discussion.
有多少估值调整是归因于资本成本。这是目前被金融 Later on, banks and market makers tried to hedge some trades
街广泛讨论的热门话题。 with unsecured counterparties by taking the opposite offsetting
2. 风险管理模型（PFE，压力测试）：因为估值调整应用 positions with secured counterparties, which introduces
于交易头寸，这直接影响财务报表的披露。 风险管理 Funding Valuation Adjustment (FVA). It is raised due to the
Variation Margin (VM) of trades, and banks need to incur
建模或者管控被用于测量、监控和减轻这些风险。引 funding costs for those payable variation margins, which also
入潜在远期风险敞口（PFE）来测算在机构愿意承担风 have an impact on the valuation. XVA has a very broad scope.
险的置信区间下的预期缺口。此外，还会根据风险偏 For those trades having capital charge, it raises the question of
好创建一些压力情景来监控风险。 how much valuation adjustment is due to those capital charges.
3. 资本模型：根据监管需求，预留资本，以确保银行和 This is currently a very broad discussion and popular topic in
存托机构持有的投资不会被有违约风险的投资主导。 the industry.
这是为了确保具有存款业务的机构保留一定的资本， 2. Risk management models (PFE, stressing testing): valuation
不会将所有客户存款用于投资。也是为了确保这些机 adjustments are applied to the trading positions which impact
directly on the financial reporting disclosure. Risk
构有足够的资本来消化损失，同时可以承受存款人的 management modeling or process is in place to measure,
提款。银行和存托机构必须能够履行义务，这一点很 monitor and mitigate those risks. Potential Future Exposure
重要。关于资本模型，有两种类型：监管资本模型和 (PFE) is introduced to look at the expected shortfall given
经济资本模型，也称为内部资本模型。后者是关于银 confidence level of which institution is willing to take the risk.
行和机构自己需要保留的资本量。讲座的主题主要是 Also, some stressed scenarios are created based on the risk
监管机构的资本需求。 appetite to monitor the risk as well.
3. Capital models: according to regulatory requirements, capitals
are set aside to ensure that banks and depository institutions'
holdings are not dominated by investments that increase the
risk of default. It is to ensure that institutions that have
depository functions hold some capitals so that they don’t have
enough capitals to absorb their losses meanwhile can stand
depositors’ withdrawals. It is important that banks and
depository institutions are able to meet their obligations. As for
capital models, there are two types: regulatory capital model
and economic capital model, which is also called internal
capital model. The latter is regarding what’s the amount of
capital that needs to be put aside from a bank and institution’s
perspective. The session topic will mainly be on regulator’s
required capital.

CCFA JOURNAL OF FINANCE DECEMBER 2020
Page 32 第32页