信用风险缓释工具在我国商业银行的应用研究

发布时间：2018-05-11 03:09

本文选题：信用衍生品 + 商业银行　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：金融市场上风险与收益相伴而生,而信用风险算是其中产生较早的风险类型之一,尤其在商业银行中占有一席之地,一直是全球银行风险管理所关注的重心。面对越来越强烈的信用风险管理需求,信用衍生品应运而生,并凭借其新颖高效的特点在国外金融市场上迅速发展壮大,成为90年代最具突破性的金融创新。2007年次贷危机使信用衍生产品的存在是福是祸成为各界争论焦点,但这没有撼动其在信用衍生市场的地位,反而更促进相关部门积极反思,逐渐完善相关法律法规的制定,填补监管空白,为信用衍生品的继续发展提供更为坚实的保障。与此同时,中国也开始逐渐重视逐年增加的银行信贷规模,着手进行信用衍生品的研究。并于2010年底正式推出中国的CDS(Credit Default Swap)——CRM(Credit Risk Mitigants),自此我国的信用衍生品市场有了零的突破。虽然CRM(Credit Risk Mitigants)问世以来受到多方密切关注,但其缓释机制和效果还未得到监管部门的确认,各方主体依然是观望者居多,产品初期交易量并不理想。因此本文首先根据新资本协议中对信用风险缓释技术的定义、分类和原理等的相关规定详细分析信用衍生工具和中国CRM(Credit Risk Mitigants)的原理以及在商业银行中的作用等内容。之后结合中国CRM(Credit Risk Mitigants)现阶段的发展进度找出尚需改进之处并分析其原因,同时选取美国大型商业银行的数据实证检验相似结构的信用衍生品交易对于增加银行贷款规模的影响程度,对实证结果进行剖析,并将美国信用衍生品市场发展的经验教训和我国国情紧密结合起来,借鉴国外发展信用衍生品的优势和不足,并从市场环境、参与主体、风险管理、信息披露及监管等多方面深入探究完善我国CRM(Credit Risk Mitigants)市场的可行方式。
[Abstract]:Risk and income come into being in financial market, and credit risk is one of the early risk types, especially in commercial banks, which has always been the focus of global bank risk management. In the face of more and more strong demand for credit risk management, credit derivatives emerge as the times require, and by virtue of its novel and efficient characteristics, credit derivatives are developing rapidly in foreign financial markets. In the 1990s, the subprime mortgage crisis made the existence of credit derivatives become the focus of controversy, but this did not shake its position in the credit derivatives market, but also promoted the positive reflection of the relevant departments. Gradually improve the formulation of relevant laws and regulations, fill in regulatory gaps, for the continued development of credit derivatives to provide a more solid protection. At the same time, China began to pay attention to the increasing scale of bank credit year by year, and began to study credit derivatives. At the end of 2010, China officially launched CDS(Credit Default Swap)--CRM(Credit Risk Mitigants.At that time, China's credit derivatives market had a zero breakthrough. Although CRM(Credit Risk Mitigants has been paid close attention to since it came out, the mechanism and effect of slow release have not been confirmed by the supervision department, the main body of all parties is still mostly wait-and-see, and the initial trading volume of products is not ideal. Therefore, according to the definition, classification and principle of credit risk mitigation technology in the new capital agreement, this paper analyzes in detail the principle of credit derivatives and CRM(Credit Risk Mitigants in China, as well as its role in commercial banks. Then combined with the current development progress of CRM(Credit Risk Mitigants in China to find out the areas that need to be improved and analyze the reasons. At the same time, select the data of large commercial banks in the United States to test the impact of credit derivatives trading with similar structure on increasing the scale of bank loans, and analyze the empirical results. Combining the experiences and lessons of the development of the credit derivatives market in the United States with the national conditions of our country, drawing lessons from the advantages and disadvantages of developing credit derivatives in foreign countries, and from the market environment, participating in the main body, risk management, This paper probes into the feasible ways to perfect the market of CRM(Credit Risk Mitigants in many aspects, such as information disclosure and supervision.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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