我国金融机构信用违约互换风险内部控制机制研究

发布时间：2018-06-17 17:45

本文选题：金融机构 + 信用违约互换　；参考：《财政部财政科学研究所》2014年硕士论文

【摘要】：20世纪90年代以来,随着金融全球化、一体化、自由化、创新化的发展,银行同业竞争不断加剧,全球金融业进入动荡时期。金融机构面临的风险越来越大,风险管理需求日益强烈。致力于转移信用风险的信用衍生产品应运而生并迅速发展,在金融市场中日益占据重要地位。信用违约互换(Credit Default Swap, CDS)是信用衍生工具中应用最为广泛的金融产品,占据信用衍生品市场份额三分之二。信用违约互换将金融资产的信用风险从其它风险中分离,使信用风险的转移和交易成为可能,从根本上改变了传统的信用风险管理模式。随后,在安然公司、世通公司破产事件中,信用违约互换发挥了重要的分散风险功能,赢得了市场参与者和监管当局的普遍认可。2002年,全球信用违约互换市场进入蓬勃发展时期,名义总额从2002年的2.19万亿美元上升至2007年的62.17万亿美元。我国信贷市场规模巨大,信用风险管理需求强烈。2013年我国金融机构贷款总额为718961.46亿元人民币,其中,中资全国性大型银行人民币贷款总额为382144.04亿元,中资全国性四家大型银行人民币贷款总额为287186.85亿元,中资全国性中小型银行人民币贷款总额为196162.94亿元。同时,我国债券市场发展迅速,2013年债券市场共发行各类债券87016.27亿元,较去年增长7218.72亿元,同比增长9.05%。信贷市场、债券市场的迅速发展对信用风险管理提出必然要求。在信用衍生品市场长期缺位的情况下,商业银行难以通过市场对信用风险有效对冲、转移和规避,易形成风险积聚,严重影响市场经济健康平稳发展。因此,发展我国信用违约互换市场势在必行。信用违约互换具有交易程序复杂、风险高度连锁的特点,一旦发生违约事件将极易造成金融市场恐慌。因此,建立完善我国金融机构信用违约互换内部控制体系具有重要现实意义。本文拟就我国金融机构信用违约互换风险内部控制进行研究。文章提出了选题背景和选题意义,阐明信用违约互换风险的内部控制相关理论,分析了我国信用违约互换市场发展现状,并对我国信用违约互换交易基础性风险和独特风险进行阐述。针对其内部控制现状及存在的问题,借鉴美国、欧洲及新兴国家及地区经验与教训,本文认为我国金融机构应当提高风险控制意识,完善内部法人治理结构,建立健全风险管理体系,加强内部审计监督,强化信用互换执行过程中风险内部控制。此外,应当完善相关配套设施,改善监管制度,健全法律法规体系,建立完善我国信用评级体系,大力发展债券市场,完善社会信用环境,推动我国信用违约互换市场的稳健发展。本文主要内容如下：第一部分：绪论。从当前国内外金融环境着手,剖析论文选题背景、选题意义,同时概括了创新点及不足之处。第二部分：信用违约互换风险内部控制相关理论分析。本文分别从内部控制理论、信用违约互换理论出发,层层推进,深入阐述信用违约互换风险内部控制内容框架和基本方法。第三部分：我国金融机构信用违约互换风险内部控制现状、问题及成因分析。通过简述我国目前信用互换市场发展现状,介绍信用互换风险内部控制体系客观环境,并对其内部控制的现状、存在问题及具体成因进行深入分析。第四部分：信用违约互换内部控制国际借鉴与启示。介绍国际金融机构在信用违约互换风险的内部控制方面的实践及经验,总结其对于我国金融机构的启示。第五部分：我国金融机构信用违约互换交易内部控制对策建议。针对前述信用违约互换风险内部控制及外部监管的不足之处,提出对策建议,以完善我国金融机构信用违约互换内部控制体系。
[Abstract]:Since the 1990s, with the development of financial globalization, integration, liberalization and innovation, the competition in the banking industry has been intensifying, and the global financial industry has entered a period of turbulence. The risks of the financial institutions are increasing, and the demand for risk management is increasingly strong. Credit Default Swap (CDS) is the most widely used financial product in credit derivatives. It occupies 2/3 of the market share of credit derivatives. Credit default swaps separate the credit risk of financial assets from other risks and make the transfer and transaction of credit risk For possible, it fundamentally changed the traditional credit risk management model. Then, in the Enron Corp, Enron Corp, the world company bankruptcy, credit default swaps played an important decentralized risk function, won the universal recognition of market participants and regulatory authorities, and the global credit default swap market entered a period of flourishing, nominal total. The amount rose from $2 trillion and 190 billion in 2002 to $62 trillion and 170 billion in 2007.
The scale of China's credit market is huge and the demand for credit risk management is strong in.2013 years. The total loans of China's financial institutions are 71 trillion and 896 billion 146 million yuan, of which the total amount of RMB loans in China's national large banks is 38 trillion and 214 billion 404 million yuan, and the total amount of RMB loans of the Chinese capital four large banks is 28 trillion and 718 billion 685 million yuan, and the Chinese capital is small and medium. The total amount of RMB loans for the bank is 19 trillion and 616 billion 294 million yuan. At the same time, the bond market in China has developed rapidly. In 2013, the bond market shared 8 trillion and 701 billion 627 million yuan of all kinds of bonds, up 721 billion 872 million yuan from last year, increasing 9.05%. credit market. The rapid development of the bond market is necessary for the credit risk management. The credit derivatives market is short for a long time. Under the circumstances, it is difficult for commercial banks to hedge effectively the credit risk through the market, transfer and avoid the risk accumulation, which seriously affects the healthy and stable development of the market economy. Therefore, it is imperative to develop the credit default swap market in China.
The credit default swap has the characteristics of complex transaction procedure and high risk chain. Once the default event is likely to cause panic in financial market, it is of great practical significance to establish and perfect the internal control system of credit default swap in financial institutions of our country. This paper is to carry out the internal control of credit default swap risk in China's gold and financial institutions. This paper puts forward the background and significance of topic selection, clarifies the internal control theory of credit default swap risk, analyzes the current situation of the development of the credit default swap market in China, and expounds the basic risk and unique risk of the credit default swap in China. The experience and lessons of Europe and the emerging countries and regions suggest that China's financial institutions should improve the awareness of risk control, improve the internal corporate governance structure, establish and improve the risk management system, strengthen internal audit supervision, and strengthen the internal control of risk in the process of the implementation of the credit swap. We should improve the system of laws and regulations, establish and perfect the credit rating system in China, develop the bond market, improve the social credit environment, and promote the steady development of the credit default swap market in China.
The main contents of this paper are as follows:
The first part: introduction. Starting from the current financial environment at home and abroad, it analyzes the background and significance of the thesis, and summarizes the innovation and shortcomings.
The second part: the theoretical analysis of the internal control of the risk of credit default swaps. This paper, starting from the theory of internal control and the theory of credit default swap, expounds the framework and basic methods of the internal control of the risk of credit default swaps.
The third part: the present situation, problems and causes of the internal control of the credit default swap risk in our financial institutions. The present situation of the development of the current credit swap market in our country is briefly introduced, the objective environment of the internal control system of the credit swap risk is introduced, and the present situation, the existing problems and the specific causes of the internal control are deeply analyzed.
The fourth part: the international reference and Enlightenment of the internal control of the credit default swap. The practice and experience of the internal control of the international financial institutions in the risk of the credit default swap are introduced, and the enlightenment to the financial institutions of our country is summarized.
The fifth part: suggestions on the internal control of credit default swap in China's financial institutions. In view of the shortcomings of the internal control and external supervision of the risk of credit default swap, some suggestions are put forward to improve the internal control system of credit default swap in our financial institutions.
【学位授予单位】：财政部财政科学研究所
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832

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