【摘要】：2007年爆發(fā)的全球金融危機(jī)至今余波未了,這次金融危機(jī)與之前的危機(jī)相比具有一些新的特點(diǎn),它始于美國(guó)房地產(chǎn)市場(chǎng)調(diào)整所引起的次貸抵押貸款償付危機(jī),卻進(jìn)而發(fā)展成為整個(gè)金融市場(chǎng)的大地震,實(shí)體經(jīng)濟(jì)也遭遇重創(chuàng),最終跨過(guò)大洋,引發(fā)了全球的金融和經(jīng)濟(jì)海嘯。 這次美國(guó)次貸危機(jī)所帶來(lái)的全球經(jīng)濟(jì)損失遠(yuǎn)遠(yuǎn)超過(guò)了次級(jí)貸款及證券本身的損失,導(dǎo)致某個(gè)金融領(lǐng)域較小規(guī)模的的危機(jī)引發(fā)了全球大規(guī)模的經(jīng)濟(jì)危機(jī)。這會(huì)引發(fā)我們思考,信用衍生品何以能夠充當(dāng)次貸危機(jī)撬動(dòng)全球經(jīng)濟(jì)危機(jī)的杠桿?這其中金融風(fēng)險(xiǎn)的轉(zhuǎn)移和放大機(jī)制是什么? 信用衍生品對(duì)金融危機(jī)具有放大作用,它一方面增加了金融市場(chǎng)的信用風(fēng)險(xiǎn)總量；另一方面提高了金融市場(chǎng)的杠桿風(fēng)險(xiǎn),從而為資產(chǎn)泡沫和流動(dòng)性過(guò)剩創(chuàng)造了條件。在信用衍生品本身的模型風(fēng)險(xiǎn)、評(píng)級(jí)風(fēng)險(xiǎn)、對(duì)手方風(fēng)險(xiǎn),以及信用衍生品市場(chǎng)的信息不對(duì)稱,監(jiān)管缺位和滯后的共同作用下,金融系統(tǒng)的風(fēng)險(xiǎn)被大幅放大。信用衍生品是金融風(fēng)險(xiǎn)在各個(gè)金融市場(chǎng)和機(jī)構(gòu)之間擴(kuò)散的載體,它一方面使得金融風(fēng)險(xiǎn)從信貸市場(chǎng)擴(kuò)散至資本市場(chǎng)等其他金融市場(chǎng)；另一方面使得金融風(fēng)險(xiǎn)從資本市場(chǎng)反作用于信貸市場(chǎng)和貨幣市場(chǎng)。同時(shí),信用衍生品還是金融風(fēng)險(xiǎn)在各個(gè)國(guó)家和地區(qū)之間擴(kuò)散的載體。因此,信用衍生品對(duì)金融危機(jī)具有擴(kuò)散作用。本文運(yùn)用Merton模型和Vasicek漸近單因素模型,驗(yàn)證了美國(guó)房貸機(jī)構(gòu)對(duì)放貸標(biāo)準(zhǔn)的降低,會(huì)最終放大信用衍生品的投資風(fēng)險(xiǎn)；并進(jìn)一步建立VAR模型,利用脈沖響應(yīng)函數(shù)分析了信用衍生品對(duì)金融危機(jī)在貨幣市場(chǎng)、股票市場(chǎng)和大宗商品市場(chǎng)的擴(kuò)散作用,從而驗(yàn)證了資產(chǎn)證券化和信用衍生品對(duì)這次次貸危機(jī)的放大和擴(kuò)散作用。 信用衍生品是一把雙刃劍,只有在審慎監(jiān)管中才能得到健康發(fā)展。這需要做到如下幾點(diǎn)：加強(qiáng)對(duì)信用衍生品基礎(chǔ)資產(chǎn)質(zhì)量的監(jiān)管和信息披露；加強(qiáng)對(duì)評(píng)級(jí)機(jī)構(gòu)的監(jiān)管；控制金融機(jī)構(gòu)的杠桿風(fēng)險(xiǎn)；加強(qiáng)信用衍生品發(fā)行的披露制度；推進(jìn)信用衍生品市場(chǎng)由場(chǎng)外向場(chǎng)內(nèi)發(fā)展。而我國(guó)要發(fā)展健康的信用衍生品市場(chǎng)首先需要進(jìn)行市場(chǎng)建設(shè)、機(jī)構(gòu)建設(shè)、投資者建設(shè)和制度建設(shè)。
[Abstract]:The global financial crisis that broke out in 2007 has yet to come to an end. Compared with the previous crisis, the financial crisis has some new features. It began with the subprime mortgage repayment crisis caused by the adjustment of the US real estate market. But then developed into the entire financial market earthquake, the real economy was also hit hard, finally across the ocean, triggered the global financial and economic tsunami. The global economic losses caused by the U.S. subprime mortgage crisis far outweighed the losses of subprime loans and securities themselves, leading to a smaller financial crisis that triggered a large-scale global economic crisis. This will lead us to wonder how credit derivatives can act as leverage of the subprime crisis to leverage the global economic crisis. What is the mechanism of financial risk transfer and amplification? Credit derivatives magnify the financial crisis. On the one hand, it increases the total amount of credit risk in the financial market; on the other hand, it raises the leverage risk of the financial market, thus creating conditions for asset bubbles and excess liquidity. The risks in the financial system are greatly magnified by the combination of model risk, rating risk, counterparty risk and information asymmetry, regulatory absence and lag in the credit derivatives market. Credit derivatives are the carriers of the spread of financial risks in various financial markets and institutions. On the one hand, they make financial risks spread from credit markets to other financial markets such as capital markets. On the other hand, financial risk is counteracted from capital market to credit market and money market. At the same time, credit derivatives are also the carriers of the spread of financial risks in various countries and regions. Therefore, credit derivatives have a diffusion effect on the financial crisis. This paper uses Merton model and Vasicek asymptotic single-factor model to verify that the reduction of lending standards of American mortgage institutions will enlarge the investment risk of credit derivatives. Furthermore, the VAR model is established to analyze the diffusion effect of credit derivatives on the financial crisis in the money market, the stock market and the commodity market by using the impulse response function. Thus, it verifies the effect of asset securitization and credit derivatives on the amplification and diffusion of the subprime mortgage crisis. Credit derivatives are a double-edged sword, only in prudential regulation can get healthy development. This requires the following: strengthening the supervision and disclosure of the quality of the basic assets of credit derivatives; strengthening the supervision of the rating agencies; controlling the leverage risk of financial institutions; strengthening the disclosure system of the issuance of credit derivatives; Promote credit derivatives market from OTC to OTC development. In order to develop a healthy credit derivatives market in China, market construction, institutional construction, investor construction and institutional construction are needed.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.59;F224

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