全球金融衍生品交易额逐年上涨，各金融机构为了开拓业务领域和业务范围，提高竞争力，不断设计产生新的衍生金融工具交易以满足客户投融资及避险等各种需求，导致衍生品交易额不断提高。不断提高的衍生品交易额导致了交易对手信用风险的大幅提升，交易对手信用风险的相关研究成为了管理机构和商业银行的重要课题。为此，本文从现有的交易对手信用风险度量方法入手，研究现有度量方法的思路，并考察在现有金融机构体系下我国商业银行交易对手信用风险的度量方法的效果，提出存在的问题，在此基础上针对交易对手信用风险度量方法的两个核心内容——交易对手信用风险违约风险和交易对手信用风险信用估值调整——分别提出方法的改进，以期提升我国商业银行交易对手信用风险的整体管理水平。 首先，明确本文的写作背景、意义和理论基础，坚实本文的写作基石。在分析国内外交易对手信用风险管理相关的研究成果的基础上，比较国内外的研究方法和视角，结合中国商业银行的实际，对交易对手信用风险进行有效识别，分析交易对手信用风险的产生原理，总结交易对手信用风险的特征，明确交易对手信用风险管理的基础理论，为本文的研究提供坚实的理论基础。 其次，对交易对手信用风险度量方法进行分析，明确交易对手信用风险度量的基本思路和方法。文中对“巴塞尔协议”中对交易对手信用风险的度量要求进行分析，掌握其度量思路，对其计量原理进行推演，分析该方法在中国的适用情况。 然后，根据现有的度量体系和度量方法，对中国商业银行的交易对手信用风险度量方法的使用效果进行评价。运用新直觉模糊法建立评价体系，提出修正的直觉模糊得分函数对度量方法效果进行评价，通过采用一系列直觉模糊算子和直觉模糊熵等的计算使结果更具可信性，针对交易对手信用风险管理的两个核心——违约风险和信用估值调整分别确定评价的财务指标和非财务指标，选取中国最具代表性的10家商业银行作为样本，进行实证分析，评价中国商业银行交易对手信用风险度量方法的使用效果。 最后，从交易对手信用风险管理的两个核心内容——违约风险和信用估值调整提出方法的改进。针对第一个核心——交易对手信用风险违约风险进行研究，提出改进的直觉模糊相似性测度法对交易对手信用风险违约风险进行研究。主要针对风险加权资产计量过程中的难点，交易对手的违约概率的测算进行研究，选取宏观、中观、微观三个方面的指标，结合以往研究中不容易量化的数据，建立交易对手违约概率计量体系，并进行算例分析，提升算法准确性。针对第二个核心——交易对手信用风险信用估值调整进行了研究，明确了信用估值调整的实质和原理，提出使用最小二乘蒙特卡洛方法加快估值的收敛速度，改进该部分的度量方法，并进行算例分析，证明该算法的优越性。 综上所述，本文从现有的交易对手信用风险度量方法入手，对度量方法的效果进行评价，提出存在的问题，并对问题进行解决，完善交易对手信用风险度量管理的体系，提升交易对手信用风险的整体管理水平，以期为中国商业银行的全面风险管理提供有益帮助。 关键词：商业银行；交易对手信用风险；评价体系；违约风险；信用估值调整

In recent years, the trading volumes of global financial derivatives are increasing year by year, for expanding the field and scope of business to improve the competitiveness, many financial institutions in various regions continuously produce and design new derivative financial instruments to satisfy the investment and financing or hedging demand of their customers. However, the continuous rising trading volume of derivatives lead to a significant increase in counterparty credit risk, it is obvious that how to mearuse the counterparty credit risk has become an important subject for the management institutions and commercial banks. Therefore, this paper starts with the existing counterparty credit risk management method to study the thought of existing measurement method, and examines the counterparty credit risk measurement effect under the current system, and then puts forward the existing issues. Based on these issues, by aiming at two aspects of risk management, which is default risk and credit valuation adjustment of counterparty credit risk, this paper proposes the improved methods respectively in order to improve the overall management level of counterparty credit risk for commercial bank. Firstly, based on the analysis of related research results at home and abroad on counterparty credit risk management, by comparing the domestic and overseas methodology and views and considering the reality of Chinese commercial banks, this paper effectively identifies the counterparty credit risk, analyzes the generation principles of counterparty credit risk, summarizes the characteristics of counterparty credit risk, and then conducts a research on the management object, management framework as well as the management process of counterparty credit risk. It will clarify the basic theory of counterparty credit risk management and provide a solid theory foundation for this research. Firstly, make clear the writing background, meaning and theoretical basis of this article, and solid foundation for the writing of this paper. Based on the analysis of the research results of the counterparty credit risk management both at home and abroad, this paper compares the research methods and perspectives, and combines with the actual situation in China′s commercial banks to effectively identify the counterparty credit risk and analyze the generation principle of counterparty credit risk. Then this paper summarizes the characteristics of counterparty credit risk and clarifies the basic theory of counterparty credit risk management so as to provide a solid theoretical basis for the research in this paper. Secondly, this paper analyzes the method of credit risk measurement of counterparty in commercial banks and clarifies the basic ideas and methods of counterparty credit risk measurement. This paper analyzes the measurement requirements of counterparty credit risk in the Basel Accord, grasps its measurement ideas, deduces its measurement principle and analyzes the application of the method in China. Then, according to the existing measurement system and method, it is important to evaluate the measurement effect of counterparty credit risk for Chinese commercial banks. By applying the new intuitionistic fuzzy method to establish an evaluation system, this paper modifies the intuitionistic fuzzy score function by using a series of intuitionistic fuzzy operator and intuitionistic fuzzy entropy, obviously, it makes the results become more reliable. For the two aspects of counterparty credit risk management, that is the default risk and credit evaluation adjustment, this paper determines the financial and non-financiai indicators respectively, and conducts an empirical analysis to evaluate the management effect of counterparty credit risk by selecting 10 representative Chinese commercial banks as samples. Finally, it is necessary to propose the improved method from two aspects of counterparty credit risk management, which is default risk and credit evaluation adjustment. For the first aspect, the default risk of counterparty credit risk, this paper applies the intuitionistic fuzzy similarity measure to manage this risk, which can provide a more reliable management method. It mainly aims to the difficulties existed in measuring the risk-weighted assets, therefore, it focuses on calculating the default probability of counterparty. By selecting the indicator from aspect of macro, meso and micro and combining the previous data, which is not easy to quantify, this paper establish a counterparty default probability metrological system, by analyzing the calculating examples to improve the accuracy of the calculation. For the second aspect, the credit evaluation adjustment of counterparty credit risk, this paper clarify the essence and principle of the credit evaluation adjustment, it puts forward to use the least square monte carlo method to accelerate the convergence rate of evaluation and improve the partial management method, and by analyzing the examples to prove the superiority of this algorithmic. In conclusion, this paper starts with the research of current situation, by evaluating the measurement effect, it brings forward the existing issues, and aims to settle these issues. Obviously, by improving the counterparty credit risk measurement system, the overall management level of counterparty credit risk will be uμgrade and it will provide a beneficial help for the comprehensive risk management of Chinese commercial banks. Keywords: Commercial Bank; Counterparty Credit Risk; Evaluation System; Default risk; Credit Valuation Adjustment