我国CDS产品设计及监管研究

发布时间：2018-05-07 03:11

  本文选题：CDS + CRM　； 参考：《对外经济贸易大学》2017年硕士论文

【摘要】：早在2010年10月份,中国银行间市场交易商协会(以下简称:交易商协会)就已推出“第一代中国版CDS”:信用风险缓释工具试点业务(CRM),包含采用“单一标的债务”条款的信用风险缓释合约(CRMA)和信用风险缓释凭证(CRMW),但由于当时债券刚性兑付未被打破,市场对此类产品的需求不太旺盛,加之一些机构监管政策、产品设计方面的因素,发展相对缓慢。近年来,我国债券市场环境已发生了明显的变化:刚性兑付已被打破、债券违约事件不断增多,市场成员对有效管理信用风险的需求大大增加。为此,在中国人民银行的指导下,交易商协会为推动我国信用风险缓释工具的进一步发展,完善银行间市场信用风险分散、分担机制,促进市场能够持续健康的发展,于2016年9月23日再次推出了“第二代中国版CDS”:信用违约互换合约类产品(CDS),采用“多标的债务”的产品结构设计。该CDS产品修正了过去的主要缺陷,同时又正值中国金融体系信用风险酝酿发酵和刚兑的松动时期,得到了市场各界极大的关注和期许。本文从交易商协会于2016年9月23日推出的《银行间市场信用风险缓释工具试点业务规则》及相关产品的业务指引出发,结合当前的信用债券市场的实际情况,通过对国内外同类型产品的对比和分析,参考国际CDS市场危机前后的经验和教训,通过文献研究法、案例研究法和比较分析法相结合的研究方式,对CDS的产品设计结构、自律监管规范进行了深入的研究分析后,得出以下结论:在当前信用债市场的整体情况下,推出CDS产品是非常有必要的,且“第二代中国版CDS”较“第一代中国版CDS”在产品设计和监管制度上更加贴近市场,尽管其产品设计及监管尚有待完善,但已基本达成了交易商协会的预期目标,未来势必会成为我国信用债市场健康、快速发展的有力保障和推动力。
[Abstract]:As early as October 2010, The Interbank Dealers Association of China (hereinafter referred to as the Dealer Association) has launched the "first China version of CDS": a pilot business for credit risk mitigation tools, which includes credit risk under the terms of "single underlying debt". Slow release contract (CRMA) and credit risk release certificate (CRMWL), but the rigid payment of bonds was not broken at that time. The market for such products is not very strong, coupled with a number of institutional regulatory policies, product design factors, the development is relatively slow. In recent years, China's bond market environment has undergone obvious changes: rigid payment has been broken, bond default events are increasing, market members' demand for effective management of credit risk has increased greatly. For this reason, under the guidance of the people's Bank of China, the Dealers Association, in order to promote the further development of credit risk mitigation tools in China, to improve the spread of credit risks in the interbank market, to share the mechanism, and to promote the sustainable and healthy development of the market. The second China version of CDS, a credit default swap product, was launched on September 23, 2016, using a "multi-subject debt" product structure design. The CDS product corrects major defects in the past and comes at a time when credit risk in China's financial system is simmering and loosening, and has received a lot of attention and expectation from all walks of life in the market. This paper starts from the pilot Business rules of Credit risk Relief tool in the Interbank Market launched by the Dealers' Association on September 23, 2016, and the business guidelines of related products, combining with the actual situation of the current credit bond market. By comparing and analyzing the same type of products at home and abroad, referring to the experiences and lessons before and after the crisis of international CDS market, and combining the literature research method, the case study method and the comparative analysis method, the product design structure of CDS is introduced. After in-depth research and analysis of self-regulatory norms, the following conclusions are drawn: under the overall circumstances of the current credit market, it is very necessary to launch CDS products. The second generation of CDS is more close to the market in terms of product design and regulatory system than that of the first Chinese version of CDS. Although its product design and supervision still need to be improved, it has basically achieved the expected goal of the Dealers' Association. The future will certainly become our country credit debt market healthy, the fast development has the strength safeguard and the impetus.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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本文编号：1855139