美国信用衍生品交易监管立法及对我国的启示

本文论述信用衍生品主要类别、积极作用及交易蕴含风险,分析评价了2010年7月美国国会通过的包含信用衍生品在内的金融衍生品交易监管立法。我国监管层也有推出信用衍生品的计划,并于2010年11月开始市场试点,在此背景下作者对构建我国信用衍生品监管法律制度提出若干建议:加快制定包括信用衍生品在内的统一的金融衍生品交易监管法,为市场发展奠定法律基础;完善金融监管协调机制;尽快出台相关立法或司法解释以解决《中国银行间市场金融衍生产品交易主协议》有关规定与现行法律冲突的问题;适时修改监管规则以鼓励金融机构更多采用信用衍生品管理风险;逐步引进集中清算方式;改进信用衍生品监管信息披露要求。     

对我国发展信用衍生品市场相关问题的认识

本文从信用衍生品的定义、交易原理以及信用衍生品市场的发展状况出发,针对我国开展信用缓释工具试点后的交易状况,基于信用衍生品的功能对我国发展信用衍生品市场的必要性进行分析,结合国外信用衍生品市场发展的经验教训,对我国信用衍生品市场健康、长久的发展需要遵循的原则和配套完善等方面谈了自己的认识。     

发展我国信用衍生品市场有待解决的几个问题

《银行间市场信用风险缓释工具试点业务指引》的发布，标志着中国版的信用违约互换——信用风险缓释工具试点业务的正式启动，彰显我国坚持金融创新和继续发展资本市场的决心。下一步，需通过创造良好的监管环境、引导市场参与者正确认识信用衍生品、建立和完善社会信用机制、促进市场参与者多样化等途径，推进我国信用衍生品市场的健康有序发展。     

次贷危机发生前后信用衍生品市场监管的比较分析

信用衍生品是一柄"双刃剑",因其能分离和转移信用风险而被市场接受,但最终却因使用不当和监管不到位引发了次贷危机.本文从监管理念、监管机构、监管法案、监管举措等四个方面比较分析次贷危机发生前后,美英等国及国际性组织对信用衍生品市场实施监管的变化.在此基础上,探讨其对中国信用衍生品市场建设的启示.     

借鉴美国经验 防范我国CRMA风险

全球性金融危机将信用衍生品推上了风口浪尖,出于防范信用风险而设计的金融产品是危机的导火索。在经历了市场的深刻反省后,全球的信用衍生品规模又创新高,我国也适时推出了CRMA（信用风险缓释合约）系列信用衍生品,但在我国市场机制还不成熟的条件下对其监管是对监管部门的考验。本文分析了信用衍生产品市场的发展及其风险,指出我国金融监管当局应加强对CRMA风险的防范。     

美国信用衍生品交易监管立法的评述及对我国的启示与借鉴

本文对信用衍生品交易监管现状作概述后,介评了美国7月通过的包含信用衍生品在内的金融衍生品交易监管立法,我国也于2010年11月开始信用衍生品交易试点.本文提出了制定统一的金融衍生品交易监管法、完善金融监管协调机制、对交易者分层审慎监管、逐步引进集中清算方式、改进信用衍生品监管信息披露要求、适时修改相关监管规则以鼓励银行...     

信用衍生品市场的国际经验与中国发展——基于金融结构和宏观稳定的分析

信用衍生品是国际资本市场上最具创新性的金融工具之一。发展信用衍生品市场不仅可以转移金融机构的信用风险,同时也可以缓解金融脱媒问题,防止资本市场快速膨胀、扭曲银行和金融体系。然而,信用衍生品也有其另一面。美国金融危机显示信用衍生品与金融结构具有复杂的联系机制,可能冲击宏观稳定。本文提出,我国应深入剖析美国的信用衍生品市场与金融结构关系,跟踪国际市场的改革和发展方向,探索符合国情的信用衍生品市场发展道路。     

金融危机与信用衍生品创新

金融危机的爆发反映出信用衍生品创新存在问题,充分展现了金融创新的"双刃剑"性质。本文通过信用衍生工具使用对次级贷款发放规模影响的实证研究,指出了金融衍生品对危机的放大作用;因此,我国信用衍生品创新必须做好风险控制和市场体系建设,必须健全监管机制。     

场外金融衍生品市场监管的国际实践与启示

近年来,全球场外金融衍生品交易的快速发展及次贷危机的爆发暴露出场外金融衍生品市场监管的缺陷和风险管理的不足。我国场外金融衍生品市场尚处于发展初期,如何构建有效的监管体系确保市场健康发展成为我国金融市场建设中面临的重要问题。该文立足于当今国际场外衍生品市场的监管实践,以次贷危机为视角分析场外衍生品市场监管体系的薄弱、不足及将来的监管动向,在此基础上提出了我国场外衍生品市场监管的政策建议。     

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。     

Credit derivatives: international developments and lessons for India

Credit derivatives have been popular instruments for hedging of credit risks by banks and financial institutions. The notional value outstanding of credit default swap contracts, a type of credit derivative most in use, increased from US$6.4 trillion in December 2004 to US$57.89 trillion in December, 2007. However, this instrument, which was once ‘apple of the eye’ of market players, lost its sheen in the wake of the sub-prime crisis when it was perceived to have played a major role in igniting the crisis and spreading it across the global financial system. This article presents how this came about and the after thought of the regulators of developed countries in regulating these instruments. It then looks at what lessons India can draw from the experience of the Western nations before considering introduction of credit derivatives in the Indian markets.     

金融危机前后国际信用衍生产品市场的发展及启示

信用衍生产品自问世以来在分散金融机构信用风险、完善信用风险定价机制、提高债券市场流动性等方面发挥了积极的作用。该文介绍了信用衍生产品的主要功能及其在本次金融危机前、中、后三个时期的发展特点,肯定了基础信用衍生产品对金融市场的重要作用,指出中国应推动金融创新,建立有中国特色的信用衍生产品市场。     

全球金融市场在动荡中发展

2007年12月,国际清算银行发布了季度报告,对次贷危机威胁下的全球金融市场进行回顾,报告显示,市场遭受持续的信用恐慌打击,主要工业经济体的国债收益率显著下降,衍生品市场创下最繁忙记录,国际银行业跨境债权增长由急变缓（截至2007年6月末）。     

Insider trading in credit derivatives

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public information by informed banks. The information revelation occurs only for negative credit news and for entities that subsequently experience adverse shocks, and increases with the number of a firm's relationship banks. We find no evidence, however, that the degree of asymmetric information adversely affects prices or liquidity in either the equity or credit markets.     

Counterparty credit risk and the credit default swap market

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same underlying firm. This unique cross-sectional data set allows us to identify directly how dealers' credit risk affects the prices of these controversial credit derivatives. We find that counterparty credit risk is priced in the CDS market. The magnitude of the effect, however, is vanishingly small and is consistent with a market structure in which participants require collateralization of swap liabilities by counterparties.     

What drives the systemic banking crises in advanced economies?

This paper examines the drivers of post-war “systemic” banking crises in advanced economies. Using binary response models and a balanced panel of data, we show that persistently large departures from the long-run trend in housing and stock markets best predict the crises. Similar deviations in credit markets do not add to the explanatory power of the model that combines housing and stock market dynamics. Indicators capturing financial market risk perception also have high explanatory power. These findings indicate that extrapolative forecasts and neglect of tail risk drive asset market boom-bust cycles and systemic banking crises. Cycles in credit markets are driven by cycles in real-estate and stock markets before the crises. Additionally, capital inflow bonanzas fuel the stock and credit booms that spark systemic crises.     

信用违约互换产品信用事件拍卖结算机制研究

当前国内的信用衍生品——信用风险缓释工具已试水起航,随着业务的发展和深入,信用事件发生后其结算流程与结算效率将成为市场参与者关注的焦点。文章结合案例对国际上信用事件拍卖结算机制的运作原理进行了系统介绍,指出该机制为低流动性下发现某交易标的的市场公允价值提供了一种解决思路,建议可考虑借鉴此类方法并充分结合国内业务发展现状,适时推出国内信用风险缓释工具的拍卖结算机制。     

Cross-hedging strategies between CDS spreads and option volatility during crises

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for five European countries from 2007 to 2012, a sample period covering both the Global Financial Crisis (GFC) and the European debt crisis. We analyze to which extent effective cross-hedges can be performed between the credit and equity derivatives markets during these two crises. We find that during a global crisis a breakdown of the relationship between credit risk and equity volatility may occur, jeopardizing any cross-hedging strategy, which happened during the GFC. This stands in sharp contrast to the more localized European debt crisis, during which this fundamental relationship was preserved despite turbulent market conditions for both the CDS and volatility markets.