基于模型平均方法的债务违约互换流动性风险研究

发布时间：2018-03-08 20:38

本文选题：债务违约互换　切入点：流动性风险　出处：《青岛大学》2017年硕士论文　论文类型：学位论文

【摘要】：债务违约互换,又称信用违约互换(CDS),作为一种常用的风险转移工具,在资产证券化以及风险控制的角度发挥了重要的作用,尽管CDS的发展为公司以及个人甚至是国家带来了巨大的好处,但是CDS和CDS裸交易的过度发展也被认为是引爆美国2007年金融危机的始作俑者,并且在2010年欧洲主权债务危机中也扮演了重要角色。随着经济全球化的发展,我国资产证券化的步伐逐步加快,CDS在我国金融市场上的作用也会逐步加深。本文以CDS本身特点,风险构成为基础,同时结合信用违约互换在美国金融危机期间以及欧洲主权债务危机期间的表现,着重研究了信用违约互换的风险构成中的流动性风险,在分析流动性风险的时候,以CDS交易量为流动性风险指标,以货币供应量、GDP总量、美国标准普尔指数、债券发行量、市场无风险收益率为影响因素,主要采用了国际计量领域比较新兴的模型平均方法来研究各影响因素对CDS流动性的影响,并且在各种模型权重选取的过程中,采用了OPT,JMA以及AIC,BIC这四种权重选取方法,并比较其优劣。同时研究了美国次贷危机还有欧洲主权债务危机之后国际金融市场上为了更好的控制CDS的使用而采取的方法,以及交易制度,披露制度等相关制度上的改变,最后为CDS在我国的健康发展提出了建议。
[Abstract]:As a common risk transfer tool, debt default swaps (CDSs), also called credit default swaps (CDSs), play an important role in asset securitization and risk control. While the growth of CDS has brought enormous benefits to companies, individuals and even the country, the excessive growth of CDS and CDS naked transactions is also thought to have been the initiator of the 2007 financial crisis in the United States. In 2010, the European sovereign debt crisis also played an important role. With the development of economic globalization, the pace of asset securitization in China will gradually accelerate the role of China's financial markets will gradually deepen. Based on the risk composition and the performance of credit default swaps during the financial crisis in the United States and the sovereign debt crisis in Europe, the paper focuses on the liquidity risk in the risk composition of credit default swaps. In the analysis of liquidity risk, the CDS trading volume is taken as the liquidity risk indicator, the total amount of money supply, the S & P index, bond issuance, and the risk-free yield of the market are taken as the influencing factors. This paper mainly adopts the new model average method in the field of international measurement to study the influence factors on the liquidity of CDS, and in the process of selecting the weight of each model, it adopts the four weight selection methods of opt JMA and AICBIC. And compares its advantages and disadvantages. At the same time, it studies the methods adopted in the international financial markets to better control the use of CDS after the subprime mortgage crisis in the United States and the sovereign debt crisis in Europe, as well as the changes in the relevant systems such as the trading system and the disclosure system. Finally, some suggestions are put forward for the healthy development of CDS in China.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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