發(fā)布時間：2018-06-23 02:52

  本文選題：信用衍生品 + 銀行業(yè)穩(wěn)定　； 參考：《復(fù)旦大學(xué)》2013年博士論文

【摘要】：隨著美國金融危機(jī)漸行漸遠(yuǎn),盡管世界各國對于信用衍生產(chǎn)品的態(tài)度依然模棱兩可,對于信用衍生品與銀行業(yè)穩(wěn)定間的關(guān)系形成了“穩(wěn)定論”和“脆弱論”兩大陣營,但目前來看,信用衍生品總體上在監(jiān)管中恢復(fù)發(fā)展已是不爭的事實(shí)。除了危機(jī)前已較成熟的歐、美之外,中國、印度、韓國等國也加速了本國信用衍生品市場的發(fā)展步伐。面對信用衍生品市場一波未平一波又起的發(fā)展趨勢,迫切需要我們更深入、系統(tǒng)地研究信用衍生品是否能真正擔(dān)當(dāng)完善銀行業(yè)功能、強(qiáng)化風(fēng)險分散機(jī)制、促進(jìn)銀行業(yè)穩(wěn)定的重任,其相應(yīng)的前提條件又是什么。 由于決定銀行信用衍生品交易風(fēng)險效應(yīng)的因素不外乎銀行自身的資本、資產(chǎn)、風(fēng)險、政策,宏觀金融經(jīng)濟(jì)形勢、監(jiān)管政策、行業(yè)風(fēng)險狀態(tài),以及銀行交易對手方及其所在金融子板塊的風(fēng)險狀況,為此,本文一方面將從銀行信用衍生品交易的微觀決策角度,研究哪些因素會影響銀行的信用衍生品交易決策以及銀行的穩(wěn)定性水平。另一方面,本文從銀行風(fēng)險轉(zhuǎn)移的方向、交易對手角度,分析信用風(fēng)險轉(zhuǎn)移和分散的路徑。特別是根據(jù)信用風(fēng)險供需雙方的風(fēng)險敞口及其在金融系統(tǒng)中的脆弱性水平,可以在更清楚地評估銀行業(yè)風(fēng)險轉(zhuǎn)移對銀行系統(tǒng)的溢出效應(yīng)。 總體上,本文在系統(tǒng)梳理信用風(fēng)險、銀行業(yè)穩(wěn)定和信用衍生品等概念的基礎(chǔ)上,分別從微觀銀行個體、宏觀銀行業(yè)兩大方面,基于信貸市場特征(信用衍生品決策)、金融結(jié)構(gòu)(銀行與非銀行脆弱性)和信用衍生品交易銀行敞口關(guān)聯(lián)度(風(fēng)險傳染網(wǎng)絡(luò)模型)三大視角,通過系統(tǒng)回答銀行為什么會做信用衍生品交易、哪些在做信用衍生品交易和銀行如何進(jìn)行信用衍生品交易若干核心問題,研究信用衍生品交易的決策、成效及對銀行穩(wěn)定的影響。結(jié)合以上結(jié)論、中國相應(yīng)層次的特征和目前信用衍生品市場發(fā)展現(xiàn)狀,從促進(jìn)我國銀行業(yè)穩(wěn)定的角度提出發(fā)展我國信用衍生品市場的政策建議。 首先,在理論上離清信用衍生產(chǎn)品本質(zhì)特征——信用風(fēng)險分擔(dān)和傳染機(jī)制,以理論和實(shí)踐相結(jié)合的方式,研究信用衍生品的特征、市場等影響銀行業(yè)穩(wěn)定的基本元素,集中研究信用違約互換(CDS)、抵押債務(wù)權(quán)益(CDO)等主要信用衍生產(chǎn)品的定價方法、交易策略和風(fēng)險特征等,從正、反兩個方面初步探索信用衍生品交易對銀行業(yè)穩(wěn)定的影響途徑。 其次,由于銀行轉(zhuǎn)移和保留信貸資產(chǎn)風(fēng)險的決策是基于信用風(fēng)險轉(zhuǎn)移的難易程度(轉(zhuǎn)移成本)而定,根據(jù)銀行信用衍生品決策的核心決策變量是基礎(chǔ)信貸市場價格彈性,從銀行信用衍生品決策微觀過程出發(fā),研究單個銀行信用衍生品微觀決策對銀行業(yè)穩(wěn)定性的影響是本文的基礎(chǔ)研究。同時,利用美國信用衍生品市場中銀行數(shù)據(jù),集中研究銀行根據(jù)信貸資產(chǎn)風(fēng)險狀況、信貸資產(chǎn)市場特征與針對這些信貸資產(chǎn)的信用衍生品交易行為,以及影響銀行使用信用衍生品管理信用風(fēng)險的決策過程,探討銀行為何進(jìn)行信用衍生品交易,實(shí)證研究信貸資產(chǎn)特征與銀行信用衍生品決策、銀行風(fēng)險轉(zhuǎn)移效應(yīng)和銀行業(yè)穩(wěn)定間的關(guān)系。 再次,從金融市場視角出發(fā),在建立一個由銀行和非銀行構(gòu)成的金融市場體系的基礎(chǔ)上,通過對信用風(fēng)險交易對手風(fēng)險脆弱性的不同假設(shè),研究銀行系統(tǒng)內(nèi)部信用衍生品交易的穩(wěn)定效應(yīng),以及銀行與非銀行之間信用衍生品交易的穩(wěn)定效應(yīng)。同時,利用美國有信用衍生品交易史的大型銀行集團(tuán)公司的相關(guān)數(shù)據(jù),分析銀行如何使用信用衍生品交易,研究相關(guān)銀行在信用衍生品交易前后的近期、長期風(fēng)險水平,判斷不同交易狀況下,信用衍生品在銀行間、銀行與非銀行間交易的穩(wěn)定效應(yīng)。 在此基礎(chǔ)上,本文使用美國信用衍生品市場中相關(guān)交易銀行的市場數(shù)據(jù),利用基于雙邊風(fēng)險敞口測量方法中的矩陣模型法和網(wǎng)絡(luò)模型法,從宏觀視角建立由各類機(jī)構(gòu)組成的美國銀行系統(tǒng)網(wǎng)絡(luò)結(jié)構(gòu),刻畫美國CDS市場關(guān)聯(lián)程度的網(wǎng)絡(luò)關(guān)系,據(jù)此研究金融危機(jī)前后美國CDS市場中銀行行為,及其信用衍生品交易行為對美國銀行業(yè)穩(wěn)定性的影響。本文模擬了信用風(fēng)險在金融網(wǎng)絡(luò)中的交叉違約和傳染過程,研究了美國金融危機(jī)中暴露的“太大而不能倒”和“聯(lián)系過密而不能倒”現(xiàn)象。 最后,借鑒美國信用衍生品市場的發(fā)展經(jīng)驗(yàn),特別是根據(jù)本文從銀行微觀決策、銀行業(yè)信用衍生品交易和銀行網(wǎng)絡(luò)交易結(jié)構(gòu)的三個層次得出的初步結(jié)論,結(jié)合目前中國信用衍生品市場發(fā)展現(xiàn)狀,提出銀行業(yè)穩(wěn)定視角下培育和發(fā)展我國信用衍生品市場的政策建議。
[Abstract]:As the financial crisis in the United States is getting far away, although the attitude of the world to credit derivatives is still ambiguous, the relationship between credit derivatives and banking stability has formed two camps of "stability theory" and "vulnerability theory", but at present, it is an indisputable fact that the credit derivatives are restored to development in the supervision of the credit derivatives. In addition to the mature Europe and the United States before the crisis, China, India, South Korea and other countries have also accelerated the development of their credit derivatives market. Facing the development trend of the credit derivatives market, we urgently need to further study whether credit derivatives can truly improve their banking functions and strengthen their functions. What are the corresponding prerequisites for the risk diversification mechanism to promote the stability of banking industry?
Because the factors that determine the risk effect of the bank's credit derivatives trading are not only the bank's own capital, asset, risk, policy, macro financial and economic situation, regulatory policy, industry risk state, and the risk status of the bank's counterparty and its financial sub sector, this article will deal with the bank's credit derivatives on the one hand. On the other hand, this paper analyzes the path of the transfer and dispersion of credit risk from the direction of the bank risk transfer and the counterparty's point of view, especially on the risk exposure of the two sides of the credit risk and the financial department. The vulnerability level of the system can better assess the spillover effect of banking risk transfer on the banking system.
On the whole, on the basis of the systematic combing of credit risk, banking stability and credit derivatives, this paper is based on two aspects of micro banking individual and macro banking industry, based on the credit market characteristics (credit derivatives decision), financial structure (bank and non bank fragility) and credit derivatives trading bank exposure correlation degree (risk transmission). The three major perspectives of dyed network model), through a systematic response to a systematic answer to why banks do credit derivatives trading, what are the core issues of doing credit derivatives trading and how banks do credit derivatives trading, study the decision, effect and effect on the stability of the bank. The current situation of credit derivatives market and the policy recommendations for developing credit derivatives market in China are put forward from the perspective of promoting the stability of China's banking industry.
First, in theory, the essence of credit derivatives, credit risk sharing and infection mechanism, is studied in a combination of theory and practice. The characteristics of credit derivatives, market and other basic elements affecting the stability of the banking industry are studied, and the main credit derivatives, such as credit default swap (CDS), mortgage debt equity (CDO) and other major credit derivatives, are focused on. Pricing methods, trading strategies and risk characteristics, and so on, from the positive and negative two aspects to explore the impact of credit derivatives transactions on banking stability.
Secondly, the decision on the risk of bank transfer and retention of credit assets is based on the difficulty of the credit risk transfer (transfer cost). According to the price elasticity of the basic credit market, the core decision variable of the bank's credit derivatives decision is based on the price elasticity of the basic credit market. The influence of view decision on the stability of banking industry is the basic research of this paper. At the same time, using the bank data in the American credit derivatives market, it concentrates on the research on the bank according to the risk of credit assets, the characteristics of the credit asset market and the credit derivatives trading line against these credit assets, and the credit derivatives management letter that affects the bank's use. This paper uses the risk decision-making process to discuss why banks do credit derivatives trading, and empirically studies the relationship between credit asset characteristics and bank credit derivatives decision, bank risk transfer effect and banking stability.
Thirdly, from the perspective of financial market, based on the establishment of a financial market system composed of banks and non banks, the stability effect of credit derivatives trading within the banking system and the stability of the trade of credit derivatives between banks and non banks are studied on the basis of the different assumptions of the risk vulnerability of the competitors. At the same time, using the relevant data of the large bank group company with the history of credit derivatives trading in the United States, this paper analyzes how banks use credit derivatives trading to study the short-term and long-term risk levels of related banks before and after the transaction of credit derivatives, and judge the interbank, bank and non bank transactions under different trading conditions. The stability effect.
On this basis, using the market data of the relevant trading banks in the American credit derivatives market, using the matrix model method and the network model method based on the bilateral risk exposure measurement, the American bank system network structure composed of various institutions is established from the macro perspective, and the network relationship of the CDS market in the United States is depicted. According to this, the bank behavior in the American CDS market before and after the financial crisis, and the effect of the credit derivatives trading behavior on the stability of the American banking industry. This paper simulates the cross default and contagion process of the credit risk in the financial network, and studies the "too big but not inverted" and "too close" in the American financial crisis. Inverted "phenomenon.
Finally, drawing on the development experience of the American credit derivatives market, especially based on the preliminary conclusions from the three levels of the bank micro decision, the banking credit derivatives trade and the bank network trading structure, and combining with the current situation of the development of the Chinese credit derivatives market, this paper puts forward the development and development of China's credit from the perspective of the stability of the banking industry. Policy recommendations in the derivatives market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F832.33

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