中国版CDS的发展问题与对策

发布时间：2018-01-19 11:10

本文关键词： 信用衍生品 CDS CRM CRMW　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：作为最重要的金融衍生工具，CDS在上个世纪末被ISDA正式推出后，，就受到了市场的广泛认同，并迅速得到跨越式发展。在本轮金融危机之前，CDS的规模已经达到62万亿美元之巨，是美国当年GDP的4.7倍。CDS的出现，使得信用风险可以像市场风险一样被市场化定价，并可以毫无障碍的流通、转移，从而使得聚集在银行体系的信用风险在全社会得以合理配置。本文第一部分详细介绍了CDS的概念、功能、合同内容、清算制度、发展状况以及监管措施。CDS具有价格发现、信用风险转移、套保、投机、套利等多种功能。通过CDS，银行可以将持有的贷款、债券等资产的信用风险转移出去，提高资本利用效率。第二部分详细介绍了中国债券市场的发展及信用风险管理的现状,重点介绍了旨在解决中小企业“融资难”问题的私募债。第三部分主要介绍了交易商协会尝试推出的中国版CDS——CRM的产品体系及主要制度安排，CRM与CDS、保险的区别，CRM的发展状况，以及CRM存在的主要问题。根据第三部分提到的问题，本文第四部分提出了如何推进CDS的政策建议，主要包括：以违约风险可能较高的私募债和ABS作为CDS的切入点，解决中小企业“融资难”问题和转移聚集在银行体系内的信用风险；积极引入保险、基金、券商等机构投资者参与，鼓励投机、套保、套利等多种交易方式；制定相关政策，鼓励银行通过CDS缓释资本，鼓励保险、担保公司开拓与CDS相关的新业务，允许券商、基金公司等参与CDS创新业务；只有允许参与者多元化，让更多的投资者报以不同的目的和预期参与进来，CDS才有可能蓬勃发展，才能发挥它应有的信用风险转移和配置功能。
[Abstract]:As the most important financial derivatives, CDSs were officially launched by ISDA at the end of last century, which has been widely recognized by the market and developed rapidly before the financial crisis. The scale of CDS has reached $62 tillion, which is 4.7 times that of GDP in the United States, which makes credit risk market-oriented like market risk. And can flow and transfer without barriers, so that the credit risk gathered in the banking system can be rationally allocated in the whole society. The first part of this paper introduces the concept, function, contract content, liquidation system, development status and regulatory measures of CDS with price discovery, credit risk transfer, hedging, speculation. Arbitrage and other functions. Through the CDS, banks can hold loans, bonds and other assets of the credit risk transfer. The second part introduces the development of China's bond market and the current situation of credit risk management in detail. The third part mainly introduces the product system and main system arrangement of the Chinese version of CDS--CRM which the dealer association tries to launch. The difference between CRM and CRM, insurance, the development of CRM, and the main problems of CRM. According to the problems mentioned in the third part, the 4th part of this paper puts forward the policy recommendations on how to promote CDS. It mainly includes: taking private equity debt and ABS, which may have high default risk, as the entry point of CDS, to solve the problem of "financing difficulty" and to transfer the credit risk gathered in the banking system; Actively introduce insurance, fund, brokerage and other institutional investors to participate, encourage speculation, hedging, arbitrage and other trading methods; Make relevant policies, encourage banks to release capital through CDS, encourage insurance, guarantee companies to open up new business related to CDS, and allow brokers and fund companies to participate in CDS innovation business; Only by allowing participants to diversify and allowing more investors to participate in CDS with different goals and expectations can CDS flourish and play its proper function of credit risk transfer and allocation.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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