金融危机背景下信用违约互换道德风险研究
发布时间：2018-09-10 10:09
【摘要】：2007年爆发的金融危机中,信用违约互换蕴含的道德风险使其成为危机发生和发展的助推器。本文通过构建信用违约互换交易的合约设计模型,研究该产品的作用以及控制其道德风险的最优合约设计。分析发现:交易双方资金成本差异决定了信用违约互换具有优化配置信用风险、提高银行收益和拓宽市场主体投资渠道等有利作用,但信用违约互换交易会降低银行监督信贷资产的努力水平,导致信用风险积聚和增加。通过引入不完全保护机制,我们给出了有效控制信用违约互换道德风险的最优合约。本文的研究结论为防范和控制信用衍生品隐含的道德风险提供了借鉴,有利于促进其发挥分散信用风险等积极作用。
[Abstract]:In the financial crisis that broke out in 2007, the moral hazard of credit default swaps (CDS) made it a booster for the occurrence and development of the crisis. By constructing the contract design model of credit default swap transaction, this paper studies the function of the product and the optimal contract design to control its moral hazard. It is found that the difference in capital cost between the two parties determines that credit default swaps can optimize the allocation of credit risk, increase bank income and broaden the investment channels of market players. But credit default swaps reduce banks' efforts to monitor credit assets, leading to the accumulation and increase of credit risk. By introducing incomplete protection mechanism, we give the optimal contract to effectively control the moral hazard of credit default swaps. The conclusion of this paper provides a reference for preventing and controlling the implied moral hazard of credit derivatives and helps to play a positive role in dispersing credit risk and so on.
【作者单位】： 南京大学经济学院;
【基金】：国家自然科学基金“非线性降维方法及其在风险管理中的应用”(项目编号:11071113)资助
【分类号】：F224;F830
[Abstract]:In the financial crisis that broke out in 2007, the moral hazard of credit default swaps (CDS) made it a booster for the occurrence and development of the crisis. By constructing the contract design model of credit default swap transaction, this paper studies the function of the product and the optimal contract design to control its moral hazard. It is found that the difference in capital cost between the two parties determines that credit default swaps can optimize the allocation of credit risk, increase bank income and broaden the investment channels of market players. But credit default swaps reduce banks' efforts to monitor credit assets, leading to the accumulation and increase of credit risk. By introducing incomplete protection mechanism, we give the optimal contract to effectively control the moral hazard of credit default swaps. The conclusion of this paper provides a reference for preventing and controlling the implied moral hazard of credit derivatives and helps to play a positive role in dispersing credit risk and so on.
【作者单位】： 南京大学经济学院;
【基金】：国家自然科学基金“非线性降维方法及其在风险管理中的应用”(项目编号:11071113)资助
【分类号】：F224;F830
【参考文献】
相关期刊论文 前1条
1 褚俊虹,陈金贤,胡U喕，
本文编号：2234145
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