本文選題：美國(guó) + 信用違約互換（CDS）��； 參考：《吉林大學(xué)》2013年碩士論文

【摘要】：美國(guó)信用違約互換市場(chǎng)的興起和發(fā)展是在國(guó)際金融市場(chǎng)中引人注目的，它給美國(guó)乃至全球的金融市場(chǎng)都帶來(lái)了巨大的沖擊。隨著經(jīng)濟(jì)全球化趨勢(shì)的日益加深，中國(guó)發(fā)展信用違約互換市場(chǎng)對(duì)加快金融市場(chǎng)口與國(guó)際接軌意義重大。 本文以信用違約互換市場(chǎng)相關(guān)理論為基礎(chǔ)，從信用違約互換本身的特征出發(fā)，結(jié)合美國(guó)信用違約互換市場(chǎng)的宏觀發(fā)展情況做出具體分析，總結(jié)一般規(guī)律，為我國(guó)信用違約互換市場(chǎng)發(fā)展提出建議。1995年美國(guó)摩根大通創(chuàng)造了信用違約互換，它以其本身交易成本低、合約靈活性強(qiáng)、有效地轉(zhuǎn)移信用風(fēng)險(xiǎn)和幫助投資者套期保值等優(yōu)勢(shì)很快占據(jù)了美國(guó)金融衍生品市場(chǎng)的主要份額，成為金融市場(chǎng)最具代表性的金融工具。1999年，國(guó)際互換交易和衍生工具協(xié)會(huì)就推出了第一個(gè)版本的信用違約互換標(biāo)準(zhǔn)合約，2003年和2009年兩次根據(jù)信用違約互換市場(chǎng)的情況和全球經(jīng)濟(jì)大環(huán)境的變化對(duì)信用違約互換相關(guān)問(wèn)題進(jìn)行修改，保證信用違約互換市場(chǎng)的平穩(wěn)發(fā)展。美國(guó)房地產(chǎn)市場(chǎng)從2000年美國(guó)降息開(kāi)始快速發(fā)展，以住房抵押貸款為資產(chǎn)基礎(chǔ)的證券在二級(jí)市場(chǎng)的轉(zhuǎn)手集中了大量的信用風(fēng)險(xiǎn)，市場(chǎng)參與者通過(guò)簽訂信用違約互換合約轉(zhuǎn)移風(fēng)險(xiǎn)，加快了信用違約互換市場(chǎng)的發(fā)展。 信用違約互換市場(chǎng)快速發(fā)展的同時(shí)，信用違約互換從風(fēng)險(xiǎn)轉(zhuǎn)移工具變成投機(jī)工具，高杠桿化，產(chǎn)品結(jié)構(gòu)也過(guò)于復(fù)雜。因?yàn)樾庞眠`約互換市場(chǎng)快速發(fā)展帶來(lái)的巨大經(jīng)濟(jì)效益，美國(guó)政府放松監(jiān)管，市場(chǎng)的自主監(jiān)管制度又不完善，風(fēng)險(xiǎn)管理過(guò)于依賴數(shù)學(xué)模型，場(chǎng)外交易不透明。2007年下半年美國(guó)房地產(chǎn)泡沫開(kāi)始破裂，市場(chǎng)參與者低估交易對(duì)手違約風(fēng)險(xiǎn)，相繼發(fā)生違約事件，例如雷曼破產(chǎn)、房地美和房利美等公司被政府收購(gòu)，，直接導(dǎo)致2008年爆發(fā)全球范圍的金融危機(jī)。2009年美國(guó)信用違約互換市場(chǎng)容量減小，人們重新認(rèn)識(shí)信用違約互換市場(chǎng)，對(duì)市場(chǎng)監(jiān)管制度、風(fēng)險(xiǎn)管理進(jìn)行調(diào)整，國(guó)際互換和衍生品協(xié)會(huì)在2009年4月又對(duì)信用違約互換交易機(jī)制作出了大范圍改革，又稱CDS“大爆炸”。經(jīng)過(guò)調(diào)整，美國(guó)信用違約互換市場(chǎng)進(jìn)入平穩(wěn)發(fā)展時(shí)期，并延續(xù)至今。 通過(guò)分析美國(guó)信用違約互換市場(chǎng)的發(fā)展過(guò)程，結(jié)合我國(guó)發(fā)展金融衍生品市場(chǎng)的歷史經(jīng)驗(yàn)和內(nèi)部及外部市場(chǎng)環(huán)境，指出盡管我國(guó)發(fā)展信用違約互換市場(chǎng)的環(huán)境制度已初步具備，但仍存在市場(chǎng)發(fā)展緩慢、市場(chǎng)定價(jià)能力差、相關(guān)法律體制欠缺、國(guó)際競(jìng)爭(zhēng)能力差等問(wèn)題。本文結(jié)合中國(guó)銀行間市場(chǎng)交易商協(xié)會(huì)對(duì)信用違約互換市場(chǎng)相關(guān)報(bào)告，對(duì)我國(guó)信用違約互換市場(chǎng)的發(fā)展提出建議：必須制定符合國(guó)情的市場(chǎng)交易監(jiān)管體制、交易主體多元化、加強(qiáng)市場(chǎng)定價(jià)分析能力和我國(guó)從業(yè)人員的專業(yè)技能，更好地發(fā)展信用違約互換市場(chǎng)。
[Abstract]:The rise and development of the credit default swap market in the United States is attracting attention in the international financial market, which has brought great impact to the financial markets of the United States and even the whole world.With the deepening of the trend of economic globalization, the development of credit default swap market in China is of great significance to accelerate the opening of financial market and international integration.Based on the relevant theories of credit default swap market and the characteristics of credit default swap itself, this paper makes a concrete analysis on the macro development of credit default swap market in the United States and summarizes the general law.This paper puts forward some suggestions for the development of China's credit default swap market. In 1995, J.P. Morgan of the United States created credit default swaps, which is characterized by its low transaction costs and strong contractual flexibility.The advantages of effectively transferring credit risk and helping investors to hedge quickly occupied the major share of the US financial derivatives market and became the most representative financial instrument in the financial market.The International Association for swap transactions and Derivatives introduced the first version of the Credit default swap Standard contract, which was interacted twice in 2003 and 2009 in the light of the circumstances of the credit default swap market and the changes in the global economic environment.In other words, the relevant issues should be revised,To ensure the smooth development of the credit default swap market.The US real estate market has developed rapidly since 2000 when the US cut interest rates. The transfer of mortgage-based securities in the secondary market has concentrated a large number of credit risks. Market participants transfer risks through the signing of credit default swap contracts.Accelerated the credit default swap market development.With the rapid development of the credit default swap market, the credit default swap has changed from a risk transfer tool to a speculative one. It is highly leveraged and the product structure is too complex.Because of the enormous economic benefits brought by the rapid development of the credit default swap market, the deregulation of the US government, the imperfection of the independent regulatory system of the market, and the dependence of risk management on mathematical models,OTC transactions are opaque. The US housing bubble began to burst in the second half of 2007, with market participants underestimating counterparty default risks, and subsequent defaults, such as the collapse of Lehman and the acquisition of companies such as Freddie Mac and Fannie Mae by the government.In 2009, the capacity of the credit default swap market in the United States decreased, people reperceived the credit default swap market, adjusted the market supervision system and risk management.In April 2009, the International Swaps and Derivatives Association also introduced a wide-ranging reform of the credit default swap trading mechanism, also known as the "Big Bang Theory" of the CDS.After adjustment, the United States credit default swap market into a stable period of development, and continue to this day.Based on the analysis of the development process of the credit default swap market in the United States and the historical experience of developing the financial derivatives market in China and the internal and external market environment, it is pointed out that although the environmental system for developing the credit default swap market in China has been preliminarily in place,However, there are still some problems such as slow market development, poor market pricing power, lack of relevant legal system and poor international competitiveness.Based on the report of China Interbank Market Dealers Association on credit default swap market, this paper puts forward some suggestions on the development of credit default swap market in China.Strengthen the market pricing analysis ability and the professional skills of our employees, develop the credit default swap market better.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F837.12

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