美国商业银行场外衍生品交易、风险及监管改革

发布时间：2018-07-06 16:47

本文选题：商业银行 + 衍生品　；参考：《南京财经大学》2012年硕士论文

【摘要】：美国商业银行较早地涉足衍生品市场，以场外衍生品市场为主的衍生品交易逐渐成为商业银行新的利润点，特别是对于集中了大量衍生品头寸的系统重要性银行来说，衍生品交易收入占银行总收入的比重较大。本文以美国商业银行场外交易的国际经验为基础，首先研究了衍生品头寸与银行资产规模之间的关系，揭示美国银行业衍生品发展趋势，并基于交易损失分布指出场外交易存在风险。其次，本文从交易机制、市场基础设施及监管三个方面揭示场外衍生品市场存在的一些突出问题以及信用违约互换（CDS）的危害。在此基础上，文章继续剖析美国金融监管法案中有关场外衍生品市场的主要监管措施，涉及范围包括清算与交易、申报制度、市场参与者监管、保证金要求、持仓量限制及互换业务剥离。最后结合我国实际情况，，对我国商业银行衍生品业务的发展提出建议。
[Abstract]:Us commercial banks have set foot in the derivatives market earlier, and derivatives trading, dominated by over-the-counter derivatives markets, is gradually becoming a new profit point for commercial banks, especially for systemically important banks that have concentrated a large number of derivatives positions. Derivatives trading income accounted for a large proportion of total bank income. Based on the international experience of over-the-counter trading in American commercial banks, this paper first studies the relationship between derivatives positions and bank assets, and reveals the trend of derivatives development in the United States. Based on the distribution of transaction losses, the paper points out that there are risks in over-the-counter transactions. Secondly, this paper reveals some outstanding problems in over-the-counter derivatives market and the harm of credit default swaps (CDS) from three aspects: trading mechanism, market infrastructure and supervision. On this basis, the article continues to analyze the major regulatory measures in the over-the-counter derivatives market in the US Financial Regulation Act, covering the clearing and trading, reporting system, market participant regulation, and margin requirements. Position limits and swap divestiture. Finally, according to the actual situation of our country, some suggestions on the development of derivatives business of commercial banks in China are put forward.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F837.12

【参考文献】