發(fā)布時(shí)間：2018-03-08 20:38

  本文選題：債務(wù)違約互換　切入點(diǎn)：流動(dòng)性風(fēng)險(xiǎn)　出處：《青島大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：債務(wù)違約互換,又稱(chēng)信用違約互換(CDS),作為一種常用的風(fēng)險(xiǎn)轉(zhuǎn)移工具,在資產(chǎn)證券化以及風(fēng)險(xiǎn)控制的角度發(fā)揮了重要的作用,盡管CDS的發(fā)展為公司以及個(gè)人甚至是國(guó)家?guī)?lái)了巨大的好處,但是CDS和CDS裸交易的過(guò)度發(fā)展也被認(rèn)為是引爆美國(guó)2007年金融危機(jī)的始作俑者,并且在2010年歐洲主權(quán)債務(wù)危機(jī)中也扮演了重要角色。隨著經(jīng)濟(jì)全球化的發(fā)展,我國(guó)資產(chǎn)證券化的步伐逐步加快,CDS在我國(guó)金融市場(chǎng)上的作用也會(huì)逐步加深。本文以CDS本身特點(diǎn),風(fēng)險(xiǎn)構(gòu)成為基礎(chǔ),同時(shí)結(jié)合信用違約互換在美國(guó)金融危機(jī)期間以及歐洲主權(quán)債務(wù)危機(jī)期間的表現(xiàn),著重研究了信用違約互換的風(fēng)險(xiǎn)構(gòu)成中的流動(dòng)性風(fēng)險(xiǎn),在分析流動(dòng)性風(fēng)險(xiǎn)的時(shí)候,以CDS交易量為流動(dòng)性風(fēng)險(xiǎn)指標(biāo),以貨幣供應(yīng)量、GDP總量、美國(guó)標(biāo)準(zhǔn)普爾指數(shù)、債券發(fā)行量、市場(chǎng)無(wú)風(fēng)險(xiǎn)收益率為影響因素,主要采用了國(guó)際計(jì)量領(lǐng)域比較新興的模型平均方法來(lái)研究各影響因素對(duì)CDS流動(dòng)性的影響,并且在各種模型權(quán)重選取的過(guò)程中,采用了OPT,JMA以及AIC,BIC這四種權(quán)重選取方法,并比較其優(yōu)劣。同時(shí)研究了美國(guó)次貸危機(jī)還有歐洲主權(quán)債務(wù)危機(jī)之后國(guó)際金融市場(chǎng)上為了更好的控制CDS的使用而采取的方法,以及交易制度,披露制度等相關(guān)制度上的改變,最后為CDS在我國(guó)的健康發(fā)展提出了建議。
[Abstract]:As a common risk transfer tool, debt default swaps (CDSs), also called credit default swaps (CDSs), play an important role in asset securitization and risk control. While the growth of CDS has brought enormous benefits to companies, individuals and even the country, the excessive growth of CDS and CDS naked transactions is also thought to have been the initiator of the 2007 financial crisis in the United States. In 2010, the European sovereign debt crisis also played an important role. With the development of economic globalization, the pace of asset securitization in China will gradually accelerate the role of China's financial markets will gradually deepen. Based on the risk composition and the performance of credit default swaps during the financial crisis in the United States and the sovereign debt crisis in Europe, the paper focuses on the liquidity risk in the risk composition of credit default swaps. In the analysis of liquidity risk, the CDS trading volume is taken as the liquidity risk indicator, the total amount of money supply, the S & P index, bond issuance, and the risk-free yield of the market are taken as the influencing factors. This paper mainly adopts the new model average method in the field of international measurement to study the influence factors on the liquidity of CDS, and in the process of selecting the weight of each model, it adopts the four weight selection methods of opt JMA and AICBIC. And compares its advantages and disadvantages. At the same time, it studies the methods adopted in the international financial markets to better control the use of CDS after the subprime mortgage crisis in the United States and the sovereign debt crisis in Europe, as well as the changes in the relevant systems such as the trading system and the disclosure system. Finally, some suggestions are put forward for the healthy development of CDS in China.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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