| 信用违约互换产品信用事件拍卖结算机制研究 |
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| 引用本文： | 韩迪铮. 信用违约互换产品信用事件拍卖结算机制研究[J]. 中国货币市场, 2011, 0(9): 29-34 |
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| 作者姓名： | 韩迪铮 |
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| 作者单位： | 中国外汇交易中心市场二部; |
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| 摘 要： | 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。
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| 关 键 词： | 信用违约互换 拍卖结算机制 初始市场中间价 |
A study on auction settlement mechanism for CDS credit events |
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| Han Dizheng,RMB Market Department,China Foreign Exchange Trade System. A study on auction settlement mechanism for CDS credit events[J]. China Money, 2011, 0(9): 29-34 |
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| Authors: | Han Dizheng RMB Market Department China Foreign Exchange Trade System |
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| Affiliation: | Han Dizheng,RMB Market Department,China Foreign Exchange Trade System |
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| Abstract: | As one of the credit derivatives in China's financial market,credit risk mitigation instruments have been put into practice.Following business development,the settlement process and efficiency upon occurrence of a credit event will be the focus of attention of market participants.This article gives a comprehensive account of the operating principles of the credit event auction settlement mechanism in the international market through case analysis.It points out that such mechanism provides a solution for det... |
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| Keywords: | credit default swap auction settlement mechanism initial market midpoint |
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