区块链在场外衍生品市场中的应用价值

场外衍生品市场是多层次资本市场体系的重要组成部分,但由于其非标准化合约和非集中交易特征,导致其存在交易效率低下、透明度低、交易对手方信用风险管理困难等诸多制约因素。区块链技术解决了在去中心环境下建立信任机制的难题,可以有效改善场外衍生品市场的数据治理,规范交易行为,促进形成基于共识协作的自组织市场生态,显著提升信用风险管理水平,因而具有巨大的应用价值。本文认为,构建基于区块链的交易基础设施,不需要突破当前市场运行规则,不存在未解决的关键性技术障碍,具有良好的可行性。     

关于场外衍生品市场国际监管合作的研究

金融危机用事实说明,场外衍生品的高杠杆性、低透明度、主体集中化和风险多元化等特征容易诱发并扩大系统性风险,产生严重的外部负效应;同时,场外衍生品市场的交易活动涉及全球各经济体,迫切要求各国加强监管合作,共同规范场外衍生品市场的运行.理论分析证明,场外衍生品市场的国际监管合作要显著优于监管竞争.加强场外衍生品市场国际监管合作是解决“市场全球化”与“监管地区化”之间矛盾的有效途径.     

中央对手方机制在场外衍生品交易监管中的作用——以摩根大通巨亏事件为例

摩根大通巨亏事件,将场外衍生品交易与监管问题推到了人们的视野中。基于此,本文通过对中央对手方机制产生及发展的回顾,说明了该机制对场外衍生品交易具有的重要意义。为防范场外衍生品交易中的风险,需要借助中央对手方机制加强监管。     

中央对手方机制在场外衍生品交易监管中的作用——以摩根大通巨亏事件为例北大核心CSSCI

摩根大通巨亏事件,将场外衍生品交易与监管问题推到了人们的视野中。基于此,本文通过对中央对手方机制产生及发展的回顾,说明了该机制对场外衍生品交易具有的重要意义。为防范场外衍生品交易中的风险,需要借助中央对手方机制加强监管。     

印度场外衍生品交易报告库的发展研究

金融危机后,全球主要资本市场相继推出相应立法,如美国的《多德-弗兰克法案》、欧盟的《欧洲市场基础设施条例》等;同时新设或改革原有监管机构,调整多层次资本市场体系,以及通过建立交易报告库等市场基础设施加强对场外衍生品市场的监管。印度在加强场外市场集中清算和交易报告库等制度的建设方面,采取了通过交易报告库增加市场透明度、利用集中清算转移化解场外市场风险等措施。印度在充分了解和认识本国场外衍生品市场发展的基础上,选择了政府发起、本地设立以及单一管理的交易报告库模式。这符合印度场外衍生品的发展阶段和发展规模,能够满足阶段性场外衍生品交易透明性的需求,同时具备经济上的可行性。随着我国场外衍生品市场监管的推进,通过设立交易报告库使监管机构有效获取市场信息,并以此提高市场透明度、降低系统性风险日显重要。对此,印度场外衍生品交易报告库的设立模式具有一定的借鉴和启发意义。     

场外衍生品市场改革的国际框架、进展及展望

<正>截至2009年底,全球场外衍生品名义价值高达625万亿美元,巨额场外衍生品市场给国际金融体系造成系统性风险,包括交易对手信用风险、传染性风险和流动性风险,引起国际社会广泛关注。目前,场外衍生品监管改革的国际框架不断推进落实,本文分析研究监管改革的整体框架、主要国家当前的最新进展以及落实中存在的问题,以期对我国参与有关国际规则的制定以及国内市场发展完善提供参考和借鉴。     

场外衍生品的标准化衡量及中国场外衍生品标准化的实践

此次国际金融危机暴露出OTC衍生品市场存在信用风险高、风险易蔓延、透明度低以及缺少监管等问题。鉴于此,G20会议在2009年9月提出“标准化金融衍生品合约应该在有组织平台上进行交易”,而实现上述目标的先决条件是衍生品适度的标准化。文章阐述了国际组织对衡量OTC衍生品标准化程度达成的共识,总结了近年来中国在OTC衍生品标准化推进方面取得的进展,并就中国OTC衍生品标准化的发展方向提出政策建议。     

后金融危机时代场外衍生品交易报告库的发展及启示

次贷金融危机凸显了场外衍生品市场透明度的缺乏,国际监管机构和市场参与者由此意识到建设具有适当风险控制措施、精心设计的交易报告库对于提升市场透明度的重要作用。文章对国际场外衍生品交易报告库的发展及监管进行了详细梳理,对全球性的场外信用衍生品交易报告库Deriv/SERV TIW及场外利率衍生品交易报告库TriOptima IR TRR的架构、运营、功能,及其与其他场外衍生品交易后业务的关联等进行了深入的研究,并就构建中国的场外衍生品交易报告库提出了相关建议。     

金融监管政策动态

<正>国际监管组织1.巴塞尔委员会发布处理资本监管框架下相关衍生品交易的最终标准2014年3月,巴塞尔委员会发布处理资本监管框架下相关衍生品交易的最终标准,规定使用标准法来测量交易对手的信用风险,改善了现有的以非模型方式评估交易对手与衍生品交易相关的信用风险的方法。因此,标准法取代了当前巴塞尔资本监管框架下的风险披露方法和标准方法。同时,新的标准法通过限制银行在判断交易对手方信用风险时可选择的方法范围来     

金融衍生品错向风险及其防范研究

场外衍生品交易中,交易对手违约的风险与市场风险相结合,极其容易导致错向风险。随着危机前场外衍生品交易量的快速增大,在本轮金融危机中,错向风险出现在各种衍生品的交易中,由其造成的损失较大。许多国际组织、市场参与者和监管机构越来越重视对错向风险的防范。不过,对抵押品管理、交易压缩技术、引入中央对手方和采用信用估值调整等这些措施的研究有待深入,以更好地降低错向风险带来的损失。     

The impact of central clearing on counterparty risk,liquidity, and trading: Evidence from the credit default swap market

This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than settlement spreads published by the central clearinghouse. Furthermore, the relation between CDS spreads and dealer credit risk weakens after central clearing begins, suggesting a lowering of systemic risk. These findings are robust to controls for frictions in both CDS and bond markets. Finally, matched sample analysis reveals that the increased post-trade transparency following central clearing is associated with an improvement in liquidity and trading activity.     

后金融危机时代场外衍生品市场监管改革趋势

金融危机暴露出全球场外衍生品市场监管体制的缺陷。金融危机后,全球加强了场外衍生品市场立法和监管体制改革。从全球主要国家、经济体、国际组织提出的改革措施看,场外衍生品市场立法和监管制度改革呈现出以下趋势：提高场外衍生产品的标准化程度、提高市场透明度、推动集中清算、加强非集中清算交易者的风险管理、发挥资本金的作用、加强国际监管合作等。     

CCPs and network stability in OTC derivatives markets

Among the reforms to OTC derivative markets since the global financial crisis is a commitment to collateralize counterparty exposures and to clear standardized contracts via central counterparties (CCPs). The reforms aim to reduce interconnectedness and improve counterparty risk management in these important markets. At the same time, however, the reforms necessarily concentrate risk in one or a few nodes in the financial network and also increase institutions’ demand for high-quality assets to meet collateral requirements. This paper looks more closely at the implications of increased CCP clearing for both the topology and stability of the financial network. Building on Heath et al. (2013) and Markose (2012), the analysis supports the view that the concentration of risk in CCPs could generate instability if not appropriately managed. Nevertheless, maintaining CCP prefunded financial resources in accordance with international standards and dispersing any unfunded losses widely through the system can limit the potential for a CCP to transmit stress even in very extreme market conditions. The analysis uses the Bank for International Settlements Macroeconomic Assessment Group on Derivatives (MAGD) data set on the derivatives positions of the 41 largest bank participants in global OTC derivative markets in 2012.     

Counterparty risk,central counterparty clearing and aggregate risk

I construct a model of bilateral trading of over-the-counter (OTC) derivatives to study the performance of central counterparty (CCP) clearing. I first show how buyers are exposed to counterparty risk under bilateral clearing. I then show how a CCP can fully insure against counterparty risk through risk-mutualization and achieve full idiosyncratic risk-sharing among market participants. I further demonstrate the impact of aggregate risk on CCP clearing and illustrate a scenario in which the CCP fails to provide full insurance against counterparty risk and full idiosyncratic risk-sharing collapses under severe aggregate risk. To insure against aggregate risk and retain full idiosyncratic risk-sharing, sellers’ capital resource is important on top of CCP mutualization. Finally, I allow buyers to costly search for sellers and study the implications of optimal search effort. I show how a moral hazard problem can arise if effort is unobservable, in which case full CCP insurance against counterparty risk is no longer optimal.     

Statement of the Financial Economists Roundtable* Reforming the OTC Derivatives Markets

In investigations of the causes of the crisis, a major focus has been the role of derivative securities, particularly credit-default swaps (CDS). Despite widespread claims to the contrary, however, the 51 economists who signed this statement begin by asserting that CDS and other derivatives contracts were not a primary cause of the financial crisis. At the same time, derivatives markets are said to play an important economic role by shifting risks from businesses and individual investors to parties more willing (and generally better able) to bear them. But, as illustrated during the crisis, derivatives also can be used to transmit risk in ways that have the potential to pervade the entire financial system. With the aim of limiting systemic risk associated with the use of derivatives, the statement recommends the following:

• • measures that encourage migration of more derivatives transactions to central-clearing facilities, including higher capital requirements and stricter criteria (including segregation) for the collateralization of positions that are not cleared;
• • data reporting and repository requirements designed to help regulators and market participants to understand systemic risk exposures in the financial system;
• • post-trade price transparency for all sufficiently standardized OTC products;
• • continued migration of trading in actively traded OTC products to exchanges.

Finally, although the economists support regulations against market manipulation, they oppose potential restrictions on speculative trading, including the holding of “naked” CDS, while affirming that both hedging and speculation are important and socially beneficial activities in our financial system.     

The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk

Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007–2008 financial crisis. This trading activity was primarily in multi-name CDS, greater among larger and established funds, and directed toward counterparty dealers in financial distress. Funds that sold credit protection during the crisis experienced greater credit market risk and superior post-crisis performance, consistent with higher expected returns from liquidity provision. Funds using Lehman Brothers as a counterparty experienced abnormal outflows and returns of –2% immediately following Lehman's bankruptcy, suggesting that funds’ opportunistic trading in CDS exposed investors to counterparty risk.     

银行间利率衍生品市场交易管理业务探索与展望

冲销与电子化交易确认是当今国际场外衍生品市场的新兴交易管理业务,代表着危机后场外衍生品市场信息更透明、更集中的发展趋势。随着国内利率互换交易规模的扩大,制约利率互换市场发展的因素逐渐显现。为此,中国外汇交易中心在中国人民银行金融市场司的指导下深入研究国际经验,在充分调研的基础上积极筹备推出了利率互换冲销和电子化交易确认业务。相关业务的推出与不断完善有效提高了银行间利率互换交易的标准化程度,降低了市场整体风险,提高了市场成员的资本利用效率和授信管理效率,是银行间市场基础设施建设的重要进展。     

Pricing equity default swaps under the jump-to-default extended CEV model

Equity default swaps (EDS) are hybrid credit-equity products that provide a bridge from credit default swaps (CDS) to equity derivatives with barriers. This paper develops an analytical solution to the EDS pricing problem under the jump-to-default extended constant elasticity of variance model (JDCEV) of Carr and Linetsky. Mathematically, we obtain an analytical solution to the first passage time problem for the JDCEV diffusion process with killing. In particular, we obtain analytical results for the present values of the protection payoff at the triggering event, periodic premium payments up to the triggering event, and the interest accrued from the previous periodic premium payment up to the triggering event, and we determine arbitrage-free equity default swap rates and compare them with CDS rates. Generally, the EDS rate is strictly greater than the corresponding CDS rate. However, when the triggering barrier is set to be a low percentage of the initial stock price and the volatility of the underlying firm’s stock price is moderate, the EDS and CDS rates are quite close. Given the current movement to list CDS contracts on organized derivatives exchanges to alleviate the problems with the counterparty risk and the opacity of over-the-counter CDS trading, we argue that EDS contracts with low triggering barriers may prove to be an interesting alternative to CDS contracts, offering some advantages due to the unambiguity, and transparency of the triggering event based on the observable stock price.