含有反向CDS协议的信用贷款的设计和定价研究

发布时间：2018-04-21 13:25

本文选题：信用贷款 + 反向信用违约互换　；参考：《暨南大学》2014年硕士论文

【摘要】：在金融风险日益严重的现代金融市场中，金融风险管理已经成为各类金融机构的一项重要的工作。而对于银行来说，如何降低其不良贷款率则是其风险控制的主要目标。而在银行的各类贷款中，企业信用贷款由于它没有抵押品和质押品，并存在信息不对称的问题，已经成为银行风险控制的难点。但是伴随着经济的发展,将会有更多的中小企业出现，，考虑到其资本少、发展快的特点，必然会需求更多的企业信用贷款，因此，如何降低企业信用贷款的不良贷款率将是一个具有预见性的问题。本文创造性地将信用违约互换协议（CDS）嵌入到企业信用贷款中，设计出一种新的信用贷款形式，并给出了CDS的定价模型，在研究中还引入了企业声誉因子，作为给企业管理层贷款的附加值，也能促进银行和企业的长期合作。考虑到企业管理层对企业控制力最强，对信息了解最充分，该种贷款将银行的利益和贷款企业管理层的利益通过CDS协议进行绑定，并不向广大投资者分散风险，而是反过来从风险源上控制和消灭风险，所以本文称之为反向CDS协议。这种CDS协议既能帮助银行识别优质的项目和贷款企业，消除信息不对称问题对信用贷款的不良影响，且从长远来看，又为优质企业降低了贷款条件，有利于信贷业务的健康发展。
[Abstract]:In the modern financial market where financial risks are increasingly serious, financial risk management has become an important work of all kinds of financial institutions. For banks, how to reduce their non-performing loan ratio is the main target of risk control. Among all kinds of bank loans, enterprise credit loan has become the difficulty of bank risk control because of its lack of collateral and pledge, and the problem of information asymmetry. However, with the development of economy, more and more small and medium-sized enterprises will appear. Considering the characteristics of small capital and rapid development, more credit loans will be required. How to reduce the non-performing loan rate of enterprise credit loan will be a predictable problem. In this paper, we creatively embed credit default swap agreement (CDSs) into enterprise credit loan, design a new credit loan form, give the pricing model of CDS, and introduce the corporate reputation factor in the research. As the added value of loans to management, banks and enterprises can also promote long-term cooperation. Considering that the management of the enterprise has the strongest control over the enterprise and the best understanding of the information, this kind of loan binds the interests of the bank to the interests of the management of the lending enterprise through the CDS agreement, and does not spread the risk to the majority of investors. Instead, risk is controlled and eliminated from the source of risk, so this paper calls it reverse CDS protocol. This CDS protocol can not only help banks identify high-quality projects and loan enterprises, eliminate the adverse effects of information asymmetry on credit loans, but also reduce loan conditions for high-quality enterprises in the long run. It is conducive to the healthy development of credit business.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.5;F224

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