信用衍生品对金融危机的放大和扩散效应分析
发布时间：2018-12-20 08:50
【摘要】：2007年爆发的全球金融危机至今余波未了,这次金融危机与之前的危机相比具有一些新的特点,它始于美国房地产市场调整所引起的次贷抵押贷款偿付危机,却进而发展成为整个金融市场的大地震,实体经济也遭遇重创,最终跨过大洋,引发了全球的金融和经济海啸。 这次美国次贷危机所带来的全球经济损失远远超过了次级贷款及证券本身的损失,导致某个金融领域较小规模的的危机引发了全球大规模的经济危机。这会引发我们思考,信用衍生品何以能够充当次贷危机撬动全球经济危机的杠杆?这其中金融风险的转移和放大机制是什么? 信用衍生品对金融危机具有放大作用,它一方面增加了金融市场的信用风险总量；另一方面提高了金融市场的杠杆风险,从而为资产泡沫和流动性过剩创造了条件。在信用衍生品本身的模型风险、评级风险、对手方风险,以及信用衍生品市场的信息不对称,监管缺位和滞后的共同作用下,金融系统的风险被大幅放大。信用衍生品是金融风险在各个金融市场和机构之间扩散的载体,它一方面使得金融风险从信贷市场扩散至资本市场等其他金融市场；另一方面使得金融风险从资本市场反作用于信贷市场和货币市场。同时,信用衍生品还是金融风险在各个国家和地区之间扩散的载体。因此,信用衍生品对金融危机具有扩散作用。本文运用Merton模型和Vasicek渐近单因素模型,验证了美国房贷机构对放贷标准的降低,会最终放大信用衍生品的投资风险；并进一步建立VAR模型,利用脉冲响应函数分析了信用衍生品对金融危机在货币市场、股票市场和大宗商品市场的扩散作用,从而验证了资产证券化和信用衍生品对这次次贷危机的放大和扩散作用。 信用衍生品是一把双刃剑,只有在审慎监管中才能得到健康发展。这需要做到如下几点：加强对信用衍生品基础资产质量的监管和信息披露；加强对评级机构的监管；控制金融机构的杠杆风险；加强信用衍生品发行的披露制度；推进信用衍生品市场由场外向场内发展。而我国要发展健康的信用衍生品市场首先需要进行市场建设、机构建设、投资者建设和制度建设。
[Abstract]:The global financial crisis that broke out in 2007 has yet to come to an end. Compared with the previous crisis, the financial crisis has some new features. It began with the subprime mortgage repayment crisis caused by the adjustment of the US real estate market. But then developed into the entire financial market earthquake, the real economy was also hit hard, finally across the ocean, triggered the global financial and economic tsunami. The global economic losses caused by the U.S. subprime mortgage crisis far outweighed the losses of subprime loans and securities themselves, leading to a smaller financial crisis that triggered a large-scale global economic crisis. This will lead us to wonder how credit derivatives can act as leverage of the subprime crisis to leverage the global economic crisis. What is the mechanism of financial risk transfer and amplification? Credit derivatives magnify the financial crisis. On the one hand, it increases the total amount of credit risk in the financial market; on the other hand, it raises the leverage risk of the financial market, thus creating conditions for asset bubbles and excess liquidity. The risks in the financial system are greatly magnified by the combination of model risk, rating risk, counterparty risk and information asymmetry, regulatory absence and lag in the credit derivatives market. Credit derivatives are the carriers of the spread of financial risks in various financial markets and institutions. On the one hand, they make financial risks spread from credit markets to other financial markets such as capital markets. On the other hand, financial risk is counteracted from capital market to credit market and money market. At the same time, credit derivatives are also the carriers of the spread of financial risks in various countries and regions. Therefore, credit derivatives have a diffusion effect on the financial crisis. This paper uses Merton model and Vasicek asymptotic single-factor model to verify that the reduction of lending standards of American mortgage institutions will enlarge the investment risk of credit derivatives. Furthermore, the VAR model is established to analyze the diffusion effect of credit derivatives on the financial crisis in the money market, the stock market and the commodity market by using the impulse response function. Thus, it verifies the effect of asset securitization and credit derivatives on the amplification and diffusion of the subprime mortgage crisis. Credit derivatives are a double-edged sword, only in prudential regulation can get healthy development. This requires the following: strengthening the supervision and disclosure of the quality of the basic assets of credit derivatives; strengthening the supervision of the rating agencies; controlling the leverage risk of financial institutions; strengthening the disclosure system of the issuance of credit derivatives; Promote credit derivatives market from OTC to OTC development. In order to develop a healthy credit derivatives market in China, market construction, institutional construction, investor construction and institutional construction are needed.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.59;F224
本文编号：2387745
[Abstract]:The global financial crisis that broke out in 2007 has yet to come to an end. Compared with the previous crisis, the financial crisis has some new features. It began with the subprime mortgage repayment crisis caused by the adjustment of the US real estate market. But then developed into the entire financial market earthquake, the real economy was also hit hard, finally across the ocean, triggered the global financial and economic tsunami. The global economic losses caused by the U.S. subprime mortgage crisis far outweighed the losses of subprime loans and securities themselves, leading to a smaller financial crisis that triggered a large-scale global economic crisis. This will lead us to wonder how credit derivatives can act as leverage of the subprime crisis to leverage the global economic crisis. What is the mechanism of financial risk transfer and amplification? Credit derivatives magnify the financial crisis. On the one hand, it increases the total amount of credit risk in the financial market; on the other hand, it raises the leverage risk of the financial market, thus creating conditions for asset bubbles and excess liquidity. The risks in the financial system are greatly magnified by the combination of model risk, rating risk, counterparty risk and information asymmetry, regulatory absence and lag in the credit derivatives market. Credit derivatives are the carriers of the spread of financial risks in various financial markets and institutions. On the one hand, they make financial risks spread from credit markets to other financial markets such as capital markets. On the other hand, financial risk is counteracted from capital market to credit market and money market. At the same time, credit derivatives are also the carriers of the spread of financial risks in various countries and regions. Therefore, credit derivatives have a diffusion effect on the financial crisis. This paper uses Merton model and Vasicek asymptotic single-factor model to verify that the reduction of lending standards of American mortgage institutions will enlarge the investment risk of credit derivatives. Furthermore, the VAR model is established to analyze the diffusion effect of credit derivatives on the financial crisis in the money market, the stock market and the commodity market by using the impulse response function. Thus, it verifies the effect of asset securitization and credit derivatives on the amplification and diffusion of the subprime mortgage crisis. Credit derivatives are a double-edged sword, only in prudential regulation can get healthy development. This requires the following: strengthening the supervision and disclosure of the quality of the basic assets of credit derivatives; strengthening the supervision of the rating agencies; controlling the leverage risk of financial institutions; strengthening the disclosure system of the issuance of credit derivatives; Promote credit derivatives market from OTC to OTC development. In order to develop a healthy credit derivatives market in China, market construction, institutional construction, investor construction and institutional construction are needed.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.59;F224
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