信用风险缓释工具在商业银行中的运用研究

发布时间：2018-02-23 18:42

本文关键词： 商业银行信用风险缓释工具缓释机制　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：信用衍生产品是用来分离、转移信用风险的各种工具和技术的统称，自1992年由国际掉期与衍生产品协会（ISDA）提出后，在全球发展迅速且日趋成熟。信用违约互换、总收益互换、信用联系票据和信用利差期权等是四种具有代表性的信用衍生产品。其中信用违约互换合约很好地解决了信用风险的流动性问题，通过互换协议将信用风险在市场中进行交易，实现资源的优化配置。中国的信用衍生产品市场发展的比较晚，直到2010年10月29日，银行间市场交易商协会发布《银行间市场信用风险缓释工具试点业务指引》，才标志着我国信用衍生产品的真正问世。中国版“CDS”自问世以来受到诸多关注，但是新产品的交易量却并不活跃，其在商业银行中的风险缓释机制、风险缓释效果亦有待进一步的分析研究。本文首先详细介绍了信用风险缓释工具的定义、分类、交易原理等，并对信用风险缓释工具在商业银行中运用的效果进行了定性分析；对现阶段信用风险缓释工具在我国商业银行中的发展现状进行了分析；同时对13家美国银行的年度面板数据进行量化分析，最终得出信用风险缓释工具的使用并不直接表现出风险加权资产的降低，而是表现为在风险一定的情况下银行可以发放更多的贷款，并得出在剔除了过度投机因素后银行可增加约63%的目标贷款额等结论。由于信用风险缓释工具在我国的发展尚处于起步阶段，，在商业银行中的运用存在诸多问题，结合美国信用违约互换市场的经验和教训，本文提出应培植有利于发展的市场运行环境、构建完善的监管环境等建议，商业银行积极发展信用风险缓释工具应首先转变传统经营模式、建立风险预警系统、加强对派生风险的控制并注重相关人才的培养。
[Abstract]:Credit derivatives are the general names of various instruments and techniques used to separate and transfer credit risk. Since 1992, the International Swaps and Derivatives Association (ISDAA) has developed rapidly and maturely in the world. Credit linked instruments and credit spread options are four kinds of representative credit derivatives, in which credit default swap contracts solve the liquidity problem of credit risk very well, and trade credit risk in the market through swap agreements. To achieve optimal allocation of resources. China's credit derivatives market developed relatively late until October 29th 2010, The Interbank Market Dealers Association has issued the "pilot Business Guide for Interbank Credit risk Relief Instruments", which marks the real emergence of credit derivatives in China. The Chinese version of "CDS" has attracted much attention since it came out, but the volume of new products is not active, and its risk mitigation mechanism in commercial banks. At first, this paper introduces the definition, classification, trading principle of credit risk mitigation tools, and makes a qualitative analysis of the effects of credit risk mitigation tools in commercial banks. This paper analyzes the current development of credit risk mitigation tools in commercial banks in China, and quantifies the annual panel data of 13 American banks. Finally, it is concluded that the use of credit risk mitigation tools does not directly reflect the reduction of risk-weighted assets, but shows that banks can make more loans under certain risks. After taking out excessive speculative factors, the bank can increase the target loan amount by about 63%. Because the development of credit risk mitigation tools in China is still in its infancy, there are many problems in the application of credit risk mitigation tools in commercial banks. Combined with the experience and lessons of the credit default swap market in the United States, this paper puts forward some suggestions, such as cultivating a market operating environment conducive to development and establishing a sound regulatory environment, etc. To develop credit risk mitigation tools, commercial banks should first change the traditional management mode, establish a risk warning system, strengthen the control of derivative risks and pay attention to the cultivation of relevant talents.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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