美国信用违约互换市场发展分析

发布时间：2018-04-12 09:15

本文选题：美国 + 信用违约互换（CDS）　；参考：《吉林大学》2013年硕士论文

【摘要】：美国信用违约互换市场的兴起和发展是在国际金融市场中引人注目的，它给美国乃至全球的金融市场都带来了巨大的冲击。随着经济全球化趋势的日益加深，中国发展信用违约互换市场对加快金融市场口与国际接轨意义重大。本文以信用违约互换市场相关理论为基础，从信用违约互换本身的特征出发，结合美国信用违约互换市场的宏观发展情况做出具体分析，总结一般规律，为我国信用违约互换市场发展提出建议。1995年美国摩根大通创造了信用违约互换，它以其本身交易成本低、合约灵活性强、有效地转移信用风险和帮助投资者套期保值等优势很快占据了美国金融衍生品市场的主要份额，成为金融市场最具代表性的金融工具。1999年，国际互换交易和衍生工具协会就推出了第一个版本的信用违约互换标准合约，2003年和2009年两次根据信用违约互换市场的情况和全球经济大环境的变化对信用违约互换相关问题进行修改，保证信用违约互换市场的平稳发展。美国房地产市场从2000年美国降息开始快速发展，以住房抵押贷款为资产基础的证券在二级市场的转手集中了大量的信用风险，市场参与者通过签订信用违约互换合约转移风险，加快了信用违约互换市场的发展。信用违约互换市场快速发展的同时，信用违约互换从风险转移工具变成投机工具，高杠杆化，产品结构也过于复杂。因为信用违约互换市场快速发展带来的巨大经济效益，美国政府放松监管，市场的自主监管制度又不完善，风险管理过于依赖数学模型，场外交易不透明。2007年下半年美国房地产泡沫开始破裂，市场参与者低估交易对手违约风险，相继发生违约事件，例如雷曼破产、房地美和房利美等公司被政府收购，，直接导致2008年爆发全球范围的金融危机。2009年美国信用违约互换市场容量减小，人们重新认识信用违约互换市场，对市场监管制度、风险管理进行调整，国际互换和衍生品协会在2009年4月又对信用违约互换交易机制作出了大范围改革，又称CDS“大爆炸”。经过调整，美国信用违约互换市场进入平稳发展时期，并延续至今。通过分析美国信用违约互换市场的发展过程，结合我国发展金融衍生品市场的历史经验和内部及外部市场环境，指出尽管我国发展信用违约互换市场的环境制度已初步具备，但仍存在市场发展缓慢、市场定价能力差、相关法律体制欠缺、国际竞争能力差等问题。本文结合中国银行间市场交易商协会对信用违约互换市场相关报告，对我国信用违约互换市场的发展提出建议：必须制定符合国情的市场交易监管体制、交易主体多元化、加强市场定价分析能力和我国从业人员的专业技能，更好地发展信用违约互换市场。
[Abstract]:The rise and development of the credit default swap market in the United States is attracting attention in the international financial market, which has brought great impact to the financial markets of the United States and even the whole world.With the deepening of the trend of economic globalization, the development of credit default swap market in China is of great significance to accelerate the opening of financial market and international integration.Based on the relevant theories of credit default swap market and the characteristics of credit default swap itself, this paper makes a concrete analysis on the macro development of credit default swap market in the United States and summarizes the general law.This paper puts forward some suggestions for the development of China's credit default swap market. In 1995, J.P. Morgan of the United States created credit default swaps, which is characterized by its low transaction costs and strong contractual flexibility.The advantages of effectively transferring credit risk and helping investors to hedge quickly occupied the major share of the US financial derivatives market and became the most representative financial instrument in the financial market.The International Association for swap transactions and Derivatives introduced the first version of the Credit default swap Standard contract, which was interacted twice in 2003 and 2009 in the light of the circumstances of the credit default swap market and the changes in the global economic environment.In other words, the relevant issues should be revised,To ensure the smooth development of the credit default swap market.The US real estate market has developed rapidly since 2000 when the US cut interest rates. The transfer of mortgage-based securities in the secondary market has concentrated a large number of credit risks. Market participants transfer risks through the signing of credit default swap contracts.Accelerated the credit default swap market development.With the rapid development of the credit default swap market, the credit default swap has changed from a risk transfer tool to a speculative one. It is highly leveraged and the product structure is too complex.Because of the enormous economic benefits brought by the rapid development of the credit default swap market, the deregulation of the US government, the imperfection of the independent regulatory system of the market, and the dependence of risk management on mathematical models,OTC transactions are opaque. The US housing bubble began to burst in the second half of 2007, with market participants underestimating counterparty default risks, and subsequent defaults, such as the collapse of Lehman and the acquisition of companies such as Freddie Mac and Fannie Mae by the government.In 2009, the capacity of the credit default swap market in the United States decreased, people reperceived the credit default swap market, adjusted the market supervision system and risk management.In April 2009, the International Swaps and Derivatives Association also introduced a wide-ranging reform of the credit default swap trading mechanism, also known as the "Big Bang Theory" of the CDS.After adjustment, the United States credit default swap market into a stable period of development, and continue to this day.Based on the analysis of the development process of the credit default swap market in the United States and the historical experience of developing the financial derivatives market in China and the internal and external market environment, it is pointed out that although the environmental system for developing the credit default swap market in China has been preliminarily in place,However, there are still some problems such as slow market development, poor market pricing power, lack of relevant legal system and poor international competitiveness.Based on the report of China Interbank Market Dealers Association on credit default swap market, this paper puts forward some suggestions on the development of credit default swap market in China.Strengthen the market pricing analysis ability and the professional skills of our employees, develop the credit default swap market better.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F837.12

【参考文献】