信用风险缓释工具:产品改造与缓释失效

发布时间：2018-03-14 04:34

本文选题：信用风险缓释　切入点：信用违约互换　出处：《科学决策》2014年05期 　论文类型：期刊论文

【摘要】：中国2010年底推出的信用风险缓释工具(CRM)基本沿袭国际通行的CDS产品结构,但对于标的债物条款做了一项改造。现有文献在探讨CRM交易清淡的原因时,均未分析这项产品改造对CRM市场发展的阻碍作用。论文结合信用衍生品的使用方式和国内外相关监管条文,分析这项产品改造对于信用保护范围带来的影响,进而推演CRM和国际通行的CDS在银行贷款风险缓释和资本缓释机制上的差异。研究显示,这项产品改造导致CRM工具的风险缓释和资本缓释两项核心功能同时失效,因而可能是CRM市场发展的真正瓶颈。
[Abstract]:The credit risk mitigation tool (CRM), introduced in end of 2010 in China, basically follows the internationally accepted CDS product structure, but it has made a reform of the terms and conditions of the underlying debt. The paper analyzes the impact of the product transformation on the scope of credit protection by combining the usage of credit derivatives and the relevant regulatory provisions at home and abroad. Furthermore, the differences between CRM and international CDS in risk mitigation and capital release mechanisms of bank loans are deduced. The research shows that the transformation of this product leads to the failure of both the core functions of risk mitigation and capital slow release of CRM tools at the same time. Thus may be the real bottleneck of the development of CRM market.
【作者单位】：对外经济贸易大学金融市场研究中心;对外经济贸易大学金融学院;全球风险协会北京分会;
【分类号】：F832.4;F832.5

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