【摘要】：2007年爆發(fā)的金融危機(jī)中,信用違約互換蘊(yùn)含的道德風(fēng)險(xiǎn)使其成為危機(jī)發(fā)生和發(fā)展的助推器。本文通過構(gòu)建信用違約互換交易的合約設(shè)計(jì)模型,研究該產(chǎn)品的作用以及控制其道德風(fēng)險(xiǎn)的最優(yōu)合約設(shè)計(jì)。分析發(fā)現(xiàn):交易雙方資金成本差異決定了信用違約互換具有優(yōu)化配置信用風(fēng)險(xiǎn)、提高銀行收益和拓寬市場(chǎng)主體投資渠道等有利作用,但信用違約互換交易會(huì)降低銀行監(jiān)督信貸資產(chǎn)的努力水平,導(dǎo)致信用風(fēng)險(xiǎn)積聚和增加。通過引入不完全保護(hù)機(jī)制,我們給出了有效控制信用違約互換道德風(fēng)險(xiǎn)的最優(yōu)合約。本文的研究結(jié)論為防范和控制信用衍生品隱含的道德風(fēng)險(xiǎn)提供了借鑒,有利于促進(jìn)其發(fā)揮分散信用風(fēng)險(xiǎn)等積極作用。
[Abstract]:In the financial crisis that broke out in 2007, the moral hazard of credit default swaps (CDS) made it a booster for the occurrence and development of the crisis. By constructing the contract design model of credit default swap transaction, this paper studies the function of the product and the optimal contract design to control its moral hazard. It is found that the difference in capital cost between the two parties determines that credit default swaps can optimize the allocation of credit risk, increase bank income and broaden the investment channels of market players. But credit default swaps reduce banks' efforts to monitor credit assets, leading to the accumulation and increase of credit risk. By introducing incomplete protection mechanism, we give the optimal contract to effectively control the moral hazard of credit default swaps. The conclusion of this paper provides a reference for preventing and controlling the implied moral hazard of credit derivatives and helps to play a positive role in dispersing credit risk and so on.
【作者單位】： 南京大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金“非線性降維方法及其在風(fēng)險(xiǎn)管理中的應(yīng)用”(項(xiàng)目編號(hào):11071113)資助
【分類號(hào)】：F224;F830

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 褚俊虹,陳金賢,胡U喕，

本文編號(hào)：2234145