CDS：欧洲危机恶化的催化剂——兼论对我国金融衍生产品市场发展的启示

2008年金融危机的爆发,2009年底再度袭来的欧洲债务危机,都不可辩驳地证明了金融衍生产品在引致危机的过程中起着推波助澜的作用。本文以信用违约互换为例介绍了金融衍生产品的交易机制和＂双刃＂功能,并具体分析它在危机加剧中的作用。在此基础上结合国外发展的经验和教训,对我国金融衍生产品市场提出建立产品有序、审慎开发与有效监管相配合的发展体制。     

信用衍生产品在我国公司信用风险管理中的应用

信用衍生产品作为一种新型的金融衍生产品,为信用风险提供了一种重要的、更为有效的管理工具。文章介绍了信用衍生产品的定义及其种类,通过列举最近公司对信用衍生产品的主要应用,对信用衍生产品在我国公司中的运用前景进行了展望。     

信用违约互换

信用违约互换(credit default swap,CDS)是指信用违约互换的购买者(以下简称买方)向信用违约互换的出售者(以下简称卖方)转移第三方信用违约风险的信用衍生产品.在信用违约互换交易中,买方定期向卖方支付一定费用,而一旦出现第三方信用违约(主要指债券主体无法偿付),买方有权利将债券以面值出售给卖方,从而有效规避信用风险.由于信用违约互换产品定义简单、容易实现标准化,交易简洁,自1990年代以来得到了迅速发展.目前国外信用违约互换市场规模相当庞大,而且流动性强.     

信用违约互换(CDS)在中国的实践及业务模式探讨

近年来喏全球金融市场信用违约事件多发喏利用各类信用风险管理工具管理、组合、规避风险成为重要课题喏信用违约互换工具在各国普遍应用.本文对中国CDS工具业务模式、运营机构情况进行了全面调查喏对进一步完善信用风险缓释工具提出了针对性建议.     

基于CDS策略的专利融资信用风险违约概率研究

专利融资是一种备受国家创新战略关注的技术知识产权资本化模式,信用违约风险则是该模式运作过程必须面对的关键问题之一。基于信用违约互换(CDS)工具与策略,主要研究专利融资信用风险期望违约概率与实际违约概率的相关性,并分析其参数敏感性。研究结果表明,实际概率通常会低于期望概率且两者呈现正相关关系,同时,风险溢价与期望收益也呈现正相关性,即系统可以通过标准化分析工具调控实际概率,且能在一定程度上适当容忍稍大的风险,从而提高融资效率。     

信用衍生产品创新

影响信用风险大小的主要因素包括违约概率、信用暴露值以及违约损失率。传统信用风险管理大多着重干这三大因素的事前管理（如资信评级．信贷额度控制）与事后管理（如计提准备、催收）。但随着金融工程的快速发展，金融机构开始借助信用衍生产品来管理信用风险。     

美国信用违约互换带给市场的动荡及可资借鉴的教训

作为一种新型金融产品,信用违约互换试图为投资者提供固定收益投资的违约保护,但是在市场资产证券化过程中,该产品却使得信用风险更广泛地分散在固定收益市场中,从而构成了信用风险向体系性风险转化的潜在基础。除产品设计与市场营销策略等技术因素外,信用违约互换市场能否有效扩展实际上是有赖于以下三种因素：一是卖出方是否具有实际最终偿付能力;二是市场对于产品核心风险的评估与产品定价机制是否具有客观而统一的标准;三是买方机构的营利来源及大规模购买产品的意愿。信用违约互换技术上的设计可以说在一定程度上解决了衍生产品的操作风险,但从根本上讲并未有效化解交易相关的信用风险和市场风险。在2007年9月爆发的美国次贷危机中,信用违约互换也起到了推波助澜的作用,使风险散播到更大范围的市场层面,引起了体系性风险的扩大。该文的案例分析,使我们能够更清楚地了解次贷危机所凸显出的风险控制对于金融业务与产品创新的重要意义。     

信用违约互换与担保债务凭证的定价研究——来自中国金融市场的证据

截至目前我国金融市场在信用衍生品方面仍停留于初级探索阶段。本文基于中国股市、债市数据,以北京首都国际机场股份有限公司为例,对其CDS产品进行理论定价。一定程度上填补了国内研究关于CDS定价的实证研究空白。定价中采用三种方法对违约率进行计算,并在以往研究基础上进行一定改进,以利率期限结构代替利率常数对现金流进行贴现率,提高了计算精度。之后结合我国金融市场发展现状,对信用衍生品的引入提出相关建议。     

衍生产品的信用风险管理

衍生产品信用风险指的是衍生工具含有的信用风险。衍生产品的信用风险主要源于两方面,一是衍生产品本身具有交易对手违约风险,二是衍生产品标的资产含有交易对手违约风险。衍生产品信用风险具有复杂性、隐蔽性、普遍性、损失破坏大等特征。我国目前由于衍生产品市场不发达、信用风险意识不高、信用风险市场阙如等原因,在衍生产品信用风险管理方面几乎处于空白阶段。而发展衍生产品市场,尤其是衍生产品OTC市场又是我国的战略方向,为此,加强衍生产品信用风险意识,提高衍生产品信用风险管理水平有重要性和紧迫性。我们需要通过引入中央对手方交易机制等机制设计、对衍生产品信用风险进行合理定价、创新和发展信用衍生产品市场等途径,提高衍生产品的风险意识管理水平。     

信用违约互换与我国金融结构良性变迁

我国金融结构中一个突出的弊端是信用过分集中于银行并且在短时间内很难改变资金向银行集中的现实,因此通过信用衍生产品使银行的风险向非银行金融机构转移无疑是解决我国社会信用过于集中的有效方法。但我国现阶段推出的CDO信用衍生产品因定价复杂且具融资特性,并不适合在当前推广使用。比较而言,信用违约互换(CDS)不仅具有非融资性、结构简单等特点而且是构造“合成CDO”等其他信用衍生产品的基础工具,因此,应首先开发信用违约互换以促进我国信用衍生产品市场的建立,推动我国金融结构良性变迁。     

The CDS market reaction to restatement announcements

I investigate the credit market's reaction to restatement announcements through changes in credit default swap (CDS) spreads. I document an overall positive association between CDS returns and restatement announcements. Specifically, I find that more positive CDS returns are associated with restatements (1) involving fraud and (2) affecting more accounts. Moreover, these reactions are sensitive to the underlying entities’ credit ratings and the market‐wide investor sentiment. Next, I compare CDS and stock market reactions and find that more negative stock returns are associated with restatements (1) involving fraud and (2) decreasing reported income.     

US macroeconomic surprises and the emerging-market sovereign CDS market

Our primary aim is to examine whether US macroeconomic surprises affect the slope of the term structure of ‘sovereign credit default swap’ (SCDS) spreads in emerging markets. Our empirical results show that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in emerging countries. We find that the slope values in emerging markets are positively related to future market returns over 1- and 2-day horizons. Our results provide general support for the future informational role played by SCDS spreads for the national stock market within emerging markets.     

A dynamic programming approach for pricing CDS and CDS options

We propose a flexible framework for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS options. The default of the underlying reference entity is modelled within a doubly stochastic framework where the default intensity follows a CIR++ process. We estimate the model parameters through a combination of a cross sectional calibration-based method and a historical estimation approach. We propose a numerical procedure based on dynamic programming and a piecewise linear approximation to price American-style knock-out credit options. Our numerical investigation shows consistency, convergence and efficiency. We find that American-style CDS options can complete the credit derivatives market by allowing the investor to focus on spread movements rather than on the default event.     

CDS as insurance: Leaky lifeboats in stormy seas

What market features of financial risk transfer exacerbate counterparty risk? To analyze this, we formulate a model which elucidates important differences between financial risk transfer and traditional insurance, using the example of Credit Default Swaps (CDS). We allow for (heterogeneous) insurer insolvency, which captures the possibility that relatively risky counterparties may exist in the market. Further, we find that stable insurers become less stable as the price of the contract decreases. The analysis includes insured parties that have heterogeneous motivations for purchasing CDS. For example, some may own the underlying asset and purchase CDS for risk management, while others buy these contracts purely for trading purposes. We show that traders will choose to contract with less stable insurers, resulting in higher counterparty risk in this market relative to that of traditional insurance; however, a regulatory policy that removes traders can, perversely, cause stable counterparties to become less stable. We conclude with two extensions of the model that consider a Central Counterparty (CCP) arrangement and the consequences of asymmetric information over insurer type.     

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.     

Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008–2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection aggressively at the onset of the crisis, but started covering their positions at its height while simultaneously shifting their assets towards sovereign bonds and loans. Our findings underscore the importance of accounting for derivatives exposure in building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk.     

Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both fixed and time-varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the period of a global financial crisis. Our results suggest the presence of a low LGD and a relatively high PD during a recent financial crisis.     

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.