信用衍生品发展与银行业稳定：理论与实证

发布时间：2018-06-23 02:52

本文选题：信用衍生品 + 银行业稳定　；参考：《复旦大学》2013年博士论文

【摘要】：随着美国金融危机渐行渐远,尽管世界各国对于信用衍生产品的态度依然模棱两可,对于信用衍生品与银行业稳定间的关系形成了“稳定论”和“脆弱论”两大阵营,但目前来看,信用衍生品总体上在监管中恢复发展已是不争的事实。除了危机前已较成熟的欧、美之外,中国、印度、韩国等国也加速了本国信用衍生品市场的发展步伐。面对信用衍生品市场一波未平一波又起的发展趋势,迫切需要我们更深入、系统地研究信用衍生品是否能真正担当完善银行业功能、强化风险分散机制、促进银行业稳定的重任,其相应的前提条件又是什么。由于决定银行信用衍生品交易风险效应的因素不外乎银行自身的资本、资产、风险、政策,宏观金融经济形势、监管政策、行业风险状态,以及银行交易对手方及其所在金融子板块的风险状况,为此,本文一方面将从银行信用衍生品交易的微观决策角度,研究哪些因素会影响银行的信用衍生品交易决策以及银行的稳定性水平。另一方面,本文从银行风险转移的方向、交易对手角度,分析信用风险转移和分散的路径。特别是根据信用风险供需双方的风险敞口及其在金融系统中的脆弱性水平,可以在更清楚地评估银行业风险转移对银行系统的溢出效应。总体上,本文在系统梳理信用风险、银行业稳定和信用衍生品等概念的基础上,分别从微观银行个体、宏观银行业两大方面,基于信贷市场特征(信用衍生品决策)、金融结构(银行与非银行脆弱性)和信用衍生品交易银行敞口关联度(风险传染网络模型)三大视角,通过系统回答银行为什么会做信用衍生品交易、哪些在做信用衍生品交易和银行如何进行信用衍生品交易若干核心问题,研究信用衍生品交易的决策、成效及对银行稳定的影响。结合以上结论、中国相应层次的特征和目前信用衍生品市场发展现状,从促进我国银行业稳定的角度提出发展我国信用衍生品市场的政策建议。首先,在理论上离清信用衍生产品本质特征——信用风险分担和传染机制,以理论和实践相结合的方式,研究信用衍生品的特征、市场等影响银行业稳定的基本元素,集中研究信用违约互换(CDS)、抵押债务权益(CDO)等主要信用衍生产品的定价方法、交易策略和风险特征等,从正、反两个方面初步探索信用衍生品交易对银行业稳定的影响途径。其次,由于银行转移和保留信贷资产风险的决策是基于信用风险转移的难易程度(转移成本)而定,根据银行信用衍生品决策的核心决策变量是基础信贷市场价格弹性,从银行信用衍生品决策微观过程出发,研究单个银行信用衍生品微观决策对银行业稳定性的影响是本文的基础研究。同时,利用美国信用衍生品市场中银行数据,集中研究银行根据信贷资产风险状况、信贷资产市场特征与针对这些信贷资产的信用衍生品交易行为,以及影响银行使用信用衍生品管理信用风险的决策过程,探讨银行为何进行信用衍生品交易,实证研究信贷资产特征与银行信用衍生品决策、银行风险转移效应和银行业稳定间的关系。再次,从金融市场视角出发,在建立一个由银行和非银行构成的金融市场体系的基础上,通过对信用风险交易对手风险脆弱性的不同假设,研究银行系统内部信用衍生品交易的稳定效应,以及银行与非银行之间信用衍生品交易的稳定效应。同时,利用美国有信用衍生品交易史的大型银行集团公司的相关数据,分析银行如何使用信用衍生品交易,研究相关银行在信用衍生品交易前后的近期、长期风险水平,判断不同交易状况下,信用衍生品在银行间、银行与非银行间交易的稳定效应。在此基础上,本文使用美国信用衍生品市场中相关交易银行的市场数据,利用基于双边风险敞口测量方法中的矩阵模型法和网络模型法,从宏观视角建立由各类机构组成的美国银行系统网络结构,刻画美国CDS市场关联程度的网络关系,据此研究金融危机前后美国CDS市场中银行行为,及其信用衍生品交易行为对美国银行业稳定性的影响。本文模拟了信用风险在金融网络中的交叉违约和传染过程,研究了美国金融危机中暴露的“太大而不能倒”和“联系过密而不能倒”现象。最后,借鉴美国信用衍生品市场的发展经验,特别是根据本文从银行微观决策、银行业信用衍生品交易和银行网络交易结构的三个层次得出的初步结论,结合目前中国信用衍生品市场发展现状,提出银行业稳定视角下培育和发展我国信用衍生品市场的政策建议。
[Abstract]:As the financial crisis in the United States is getting far away, although the attitude of the world to credit derivatives is still ambiguous, the relationship between credit derivatives and banking stability has formed two camps of "stability theory" and "vulnerability theory", but at present, it is an indisputable fact that the credit derivatives are restored to development in the supervision of the credit derivatives. In addition to the mature Europe and the United States before the crisis, China, India, South Korea and other countries have also accelerated the development of their credit derivatives market. Facing the development trend of the credit derivatives market, we urgently need to further study whether credit derivatives can truly improve their banking functions and strengthen their functions. What are the corresponding prerequisites for the risk diversification mechanism to promote the stability of banking industry?
Because the factors that determine the risk effect of the bank's credit derivatives trading are not only the bank's own capital, asset, risk, policy, macro financial and economic situation, regulatory policy, industry risk state, and the risk status of the bank's counterparty and its financial sub sector, this article will deal with the bank's credit derivatives on the one hand. On the other hand, this paper analyzes the path of the transfer and dispersion of credit risk from the direction of the bank risk transfer and the counterparty's point of view, especially on the risk exposure of the two sides of the credit risk and the financial department. The vulnerability level of the system can better assess the spillover effect of banking risk transfer on the banking system.
On the whole, on the basis of the systematic combing of credit risk, banking stability and credit derivatives, this paper is based on two aspects of micro banking individual and macro banking industry, based on the credit market characteristics (credit derivatives decision), financial structure (bank and non bank fragility) and credit derivatives trading bank exposure correlation degree (risk transmission). The three major perspectives of dyed network model), through a systematic response to a systematic answer to why banks do credit derivatives trading, what are the core issues of doing credit derivatives trading and how banks do credit derivatives trading, study the decision, effect and effect on the stability of the bank. The current situation of credit derivatives market and the policy recommendations for developing credit derivatives market in China are put forward from the perspective of promoting the stability of China's banking industry.
First, in theory, the essence of credit derivatives, credit risk sharing and infection mechanism, is studied in a combination of theory and practice. The characteristics of credit derivatives, market and other basic elements affecting the stability of the banking industry are studied, and the main credit derivatives, such as credit default swap (CDS), mortgage debt equity (CDO) and other major credit derivatives, are focused on. Pricing methods, trading strategies and risk characteristics, and so on, from the positive and negative two aspects to explore the impact of credit derivatives transactions on banking stability.
Secondly, the decision on the risk of bank transfer and retention of credit assets is based on the difficulty of the credit risk transfer (transfer cost). According to the price elasticity of the basic credit market, the core decision variable of the bank's credit derivatives decision is based on the price elasticity of the basic credit market. The influence of view decision on the stability of banking industry is the basic research of this paper. At the same time, using the bank data in the American credit derivatives market, it concentrates on the research on the bank according to the risk of credit assets, the characteristics of the credit asset market and the credit derivatives trading line against these credit assets, and the credit derivatives management letter that affects the bank's use. This paper uses the risk decision-making process to discuss why banks do credit derivatives trading, and empirically studies the relationship between credit asset characteristics and bank credit derivatives decision, bank risk transfer effect and banking stability.
Thirdly, from the perspective of financial market, based on the establishment of a financial market system composed of banks and non banks, the stability effect of credit derivatives trading within the banking system and the stability of the trade of credit derivatives between banks and non banks are studied on the basis of the different assumptions of the risk vulnerability of the competitors. At the same time, using the relevant data of the large bank group company with the history of credit derivatives trading in the United States, this paper analyzes how banks use credit derivatives trading to study the short-term and long-term risk levels of related banks before and after the transaction of credit derivatives, and judge the interbank, bank and non bank transactions under different trading conditions. The stability effect.
On this basis, using the market data of the relevant trading banks in the American credit derivatives market, using the matrix model method and the network model method based on the bilateral risk exposure measurement, the American bank system network structure composed of various institutions is established from the macro perspective, and the network relationship of the CDS market in the United States is depicted. According to this, the bank behavior in the American CDS market before and after the financial crisis, and the effect of the credit derivatives trading behavior on the stability of the American banking industry. This paper simulates the cross default and contagion process of the credit risk in the financial network, and studies the "too big but not inverted" and "too close" in the American financial crisis. Inverted "phenomenon.
Finally, drawing on the development experience of the American credit derivatives market, especially based on the preliminary conclusions from the three levels of the bank micro decision, the banking credit derivatives trade and the bank network trading structure, and combining with the current situation of the development of the Chinese credit derivatives market, this paper puts forward the development and development of China's credit from the perspective of the stability of the banking industry. Policy recommendations in the derivatives market.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.5;F832.33

【参考文献】