本文關(guān)鍵詞： 信用衍生品 CDS CRM CRMW　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：作為最重要的金融衍生工具，CDS在上個(gè)世紀(jì)末被ISDA正式推出后，，就受到了市場(chǎng)的廣泛認(rèn)同，并迅速得到跨越式發(fā)展。在本輪金融危機(jī)之前，CDS的規(guī)模已經(jīng)達(dá)到62萬億美元之巨，是美國當(dāng)年GDP的4.7倍。CDS的出現(xiàn)，使得信用風(fēng)險(xiǎn)可以像市場(chǎng)風(fēng)險(xiǎn)一樣被市場(chǎng)化定價(jià)，并可以毫無障礙的流通、轉(zhuǎn)移，從而使得聚集在銀行體系的信用風(fēng)險(xiǎn)在全社會(huì)得以合理配置。 本文第一部分詳細(xì)介紹了CDS的概念、功能、合同內(nèi)容、清算制度、發(fā)展?fàn)顩r以及監(jiān)管措施。CDS具有價(jià)格發(fā)現(xiàn)、信用風(fēng)險(xiǎn)轉(zhuǎn)移、套保、投機(jī)、套利等多種功能。通過CDS，銀行可以將持有的貸款、債券等資產(chǎn)的信用風(fēng)險(xiǎn)轉(zhuǎn)移出去，提高資本利用效率。第二部分詳細(xì)介紹了中國債券市場(chǎng)的發(fā)展及信用風(fēng)險(xiǎn)管理的現(xiàn)狀,重點(diǎn)介紹了旨在解決中小企業(yè)“融資難”問題的私募債。第三部分主要介紹了交易商協(xié)會(huì)嘗試推出的中國版CDS——CRM的產(chǎn)品體系及主要制度安排，CRM與CDS、保險(xiǎn)的區(qū)別，CRM的發(fā)展?fàn)顩r，以及CRM存在的主要問題。根據(jù)第三部分提到的問題，本文第四部分提出了如何推進(jìn)CDS的政策建議，主要包括：以違約風(fēng)險(xiǎn)可能較高的私募債和ABS作為CDS的切入點(diǎn)，解決中小企業(yè)“融資難”問題和轉(zhuǎn)移聚集在銀行體系內(nèi)的信用風(fēng)險(xiǎn)；積極引入保險(xiǎn)、基金、券商等機(jī)構(gòu)投資者參與，鼓勵(lì)投機(jī)、套保、套利等多種交易方式；制定相關(guān)政策，鼓勵(lì)銀行通過CDS緩釋資本，鼓勵(lì)保險(xiǎn)、擔(dān)保公司開拓與CDS相關(guān)的新業(yè)務(wù)，允許券商、基金公司等參與CDS創(chuàng)新業(yè)務(wù)；只有允許參與者多元化，讓更多的投資者報(bào)以不同的目的和預(yù)期參與進(jìn)來，CDS才有可能蓬勃發(fā)展，才能發(fā)揮它應(yīng)有的信用風(fēng)險(xiǎn)轉(zhuǎn)移和配置功能。
[Abstract]:As the most important financial derivatives, CDSs were officially launched by ISDA at the end of last century, which has been widely recognized by the market and developed rapidly before the financial crisis. The scale of CDS has reached $62 tillion, which is 4.7 times that of GDP in the United States, which makes credit risk market-oriented like market risk. And can flow and transfer without barriers, so that the credit risk gathered in the banking system can be rationally allocated in the whole society. The first part of this paper introduces the concept, function, contract content, liquidation system, development status and regulatory measures of CDS with price discovery, credit risk transfer, hedging, speculation. Arbitrage and other functions. Through the CDS, banks can hold loans, bonds and other assets of the credit risk transfer. The second part introduces the development of China's bond market and the current situation of credit risk management in detail. The third part mainly introduces the product system and main system arrangement of the Chinese version of CDS--CRM which the dealer association tries to launch. The difference between CRM and CRM, insurance, the development of CRM, and the main problems of CRM. According to the problems mentioned in the third part, the 4th part of this paper puts forward the policy recommendations on how to promote CDS. It mainly includes: taking private equity debt and ABS, which may have high default risk, as the entry point of CDS, to solve the problem of "financing difficulty" and to transfer the credit risk gathered in the banking system; Actively introduce insurance, fund, brokerage and other institutional investors to participate, encourage speculation, hedging, arbitrage and other trading methods; Make relevant policies, encourage banks to release capital through CDS, encourage insurance, guarantee companies to open up new business related to CDS, and allow brokers and fund companies to participate in CDS innovation business; Only by allowing participants to diversify and allowing more investors to participate in CDS with different goals and expectations can CDS flourish and play its proper function of credit risk transfer and allocation.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 李遠(yuǎn)航;張強(qiáng);喬煜峰;;中美債券市場(chǎng)制度的國際比較及其啟示[J];海南金融;2011年04期

2 時(shí)晉;吳錦宇;;試論金融創(chuàng)新中的自律規(guī)范——以中國信用衍生品創(chuàng)新為研究對(duì)象[J];經(jīng)濟(jì)與管理;2011年10期

3 王一鳴;任秋瀟;;信用悖論及其破解的理論分析與檢驗(yàn)[J];金融理論與實(shí)踐;2011年07期

4 溫彬;張友先;汪川;;國際債券市場(chǎng)的發(fā)展經(jīng)驗(yàn)及對(duì)我國的啟示[J];上海金融;2010年09期

5 華鳴;;美國次貸危機(jī)中的金融衍生品及其風(fēng)險(xiǎn)傳遞研究[J];財(cái)務(wù)與金融;2009年01期

6 李穎;;信用風(fēng)險(xiǎn)緩釋工具會(huì)計(jì)問題探討[J];財(cái)務(wù)與金融;2012年04期

本文編號(hào)：1443907