本文關(guān)鍵詞： 商業(yè)銀行 信用風(fēng)險(xiǎn) 緩釋工具 緩釋機(jī)制　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：信用衍生產(chǎn)品是用來(lái)分離、轉(zhuǎn)移信用風(fēng)險(xiǎn)的各種工具和技術(shù)的統(tǒng)稱，自1992年由國(guó)際掉期與衍生產(chǎn)品協(xié)會(huì)（ISDA）提出后，在全球發(fā)展迅速且日趨成熟。信用違約互換、總收益互換、信用聯(lián)系票據(jù)和信用利差期權(quán)等是四種具有代表性的信用衍生產(chǎn)品。其中信用違約互換合約很好地解決了信用風(fēng)險(xiǎn)的流動(dòng)性問題，通過(guò)互換協(xié)議將信用風(fēng)險(xiǎn)在市場(chǎng)中進(jìn)行交易，實(shí)現(xiàn)資源的優(yōu)化配置。中國(guó)的信用衍生產(chǎn)品市場(chǎng)發(fā)展的比較晚，直到2010年10月29日，銀行間市場(chǎng)交易商協(xié)會(huì)發(fā)布《銀行間市場(chǎng)信用風(fēng)險(xiǎn)緩釋工具試點(diǎn)業(yè)務(wù)指引》，才標(biāo)志著我國(guó)信用衍生產(chǎn)品的真正問世。 中國(guó)版“CDS”自問世以來(lái)受到諸多關(guān)注，但是新產(chǎn)品的交易量卻并不活躍，其在商業(yè)銀行中的風(fēng)險(xiǎn)緩釋機(jī)制、風(fēng)險(xiǎn)緩釋效果亦有待進(jìn)一步的分析研究。本文首先詳細(xì)介紹了信用風(fēng)險(xiǎn)緩釋工具的定義、分類、交易原理等，并對(duì)信用風(fēng)險(xiǎn)緩釋工具在商業(yè)銀行中運(yùn)用的效果進(jìn)行了定性分析；對(duì)現(xiàn)階段信用風(fēng)險(xiǎn)緩釋工具在我國(guó)商業(yè)銀行中的發(fā)展現(xiàn)狀進(jìn)行了分析；同時(shí)對(duì)13家美國(guó)銀行的年度面板數(shù)據(jù)進(jìn)行量化分析，最終得出信用風(fēng)險(xiǎn)緩釋工具的使用并不直接表現(xiàn)出風(fēng)險(xiǎn)加權(quán)資產(chǎn)的降低，而是表現(xiàn)為在風(fēng)險(xiǎn)一定的情況下銀行可以發(fā)放更多的貸款，并得出在剔除了過(guò)度投機(jī)因素后銀行可增加約63%的目標(biāo)貸款額等結(jié)論。由于信用風(fēng)險(xiǎn)緩釋工具在我國(guó)的發(fā)展尚處于起步階段，，在商業(yè)銀行中的運(yùn)用存在諸多問題，結(jié)合美國(guó)信用違約互換市場(chǎng)的經(jīng)驗(yàn)和教訓(xùn)，本文提出應(yīng)培植有利于發(fā)展的市場(chǎng)運(yùn)行環(huán)境、構(gòu)建完善的監(jiān)管環(huán)境等建議，商業(yè)銀行積極發(fā)展信用風(fēng)險(xiǎn)緩釋工具應(yīng)首先轉(zhuǎn)變傳統(tǒng)經(jīng)營(yíng)模式、建立風(fēng)險(xiǎn)預(yù)警系統(tǒng)、加強(qiáng)對(duì)派生風(fēng)險(xiǎn)的控制并注重相關(guān)人才的培養(yǎng)。
[Abstract]:Credit derivatives are the general names of various instruments and techniques used to separate and transfer credit risk. Since 1992, the International Swaps and Derivatives Association (ISDAA) has developed rapidly and maturely in the world. Credit linked instruments and credit spread options are four kinds of representative credit derivatives, in which credit default swap contracts solve the liquidity problem of credit risk very well, and trade credit risk in the market through swap agreements. To achieve optimal allocation of resources. China's credit derivatives market developed relatively late until October 29th 2010, The Interbank Market Dealers Association has issued the "pilot Business Guide for Interbank Credit risk Relief Instruments", which marks the real emergence of credit derivatives in China. The Chinese version of "CDS" has attracted much attention since it came out, but the volume of new products is not active, and its risk mitigation mechanism in commercial banks. At first, this paper introduces the definition, classification, trading principle of credit risk mitigation tools, and makes a qualitative analysis of the effects of credit risk mitigation tools in commercial banks. This paper analyzes the current development of credit risk mitigation tools in commercial banks in China, and quantifies the annual panel data of 13 American banks. Finally, it is concluded that the use of credit risk mitigation tools does not directly reflect the reduction of risk-weighted assets, but shows that banks can make more loans under certain risks. After taking out excessive speculative factors, the bank can increase the target loan amount by about 63%. Because the development of credit risk mitigation tools in China is still in its infancy, there are many problems in the application of credit risk mitigation tools in commercial banks. Combined with the experience and lessons of the credit default swap market in the United States, this paper puts forward some suggestions, such as cultivating a market operating environment conducive to development and establishing a sound regulatory environment, etc. To develop credit risk mitigation tools, commercial banks should first change the traditional management mode, establish a risk warning system, strengthen the control of derivative risks and pay attention to the cultivation of relevant talents.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

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