【摘要】：2007年爆發(fā)的全球金融危機(jī)至今余波未了,這次金融危機(jī)與之前的危機(jī)相比具有一些新的特點,它始于美國房地產(chǎn)市場調(diào)整所引起的次貸抵押貸款償付危機(jī),卻進(jìn)而發(fā)展成為整個金融市場的大地震,實體經(jīng)濟(jì)也遭遇重創(chuàng),最終跨過大洋,引發(fā)了全球的金融和經(jīng)濟(jì)海嘯。 這次美國次貸危機(jī)所帶來的全球經(jīng)濟(jì)損失遠(yuǎn)遠(yuǎn)超過了次級貸款及證券本身的損失,導(dǎo)致某個金融領(lǐng)域較小規(guī)模的的危機(jī)引發(fā)了全球大規(guī)模的經(jīng)濟(jì)危機(jī)。這會引發(fā)我們思考,信用衍生品何以能夠充當(dāng)次貸危機(jī)撬動全球經(jīng)濟(jì)危機(jī)的杠桿?這其中金融風(fēng)險的轉(zhuǎn)移和放大機(jī)制是什么? 信用衍生品對金融危機(jī)具有放大作用,它一方面增加了金融市場的信用風(fēng)險總量；另一方面提高了金融市場的杠桿風(fēng)險,從而為資產(chǎn)泡沫和流動性過剩創(chuàng)造了條件。在信用衍生品本身的模型風(fēng)險、評級風(fēng)險、對手方風(fēng)險,以及信用衍生品市場的信息不對稱,監(jiān)管缺位和滯后的共同作用下,金融系統(tǒng)的風(fēng)險被大幅放大。信用衍生品是金融風(fēng)險在各個金融市場和機(jī)構(gòu)之間擴(kuò)散的載體,它一方面使得金融風(fēng)險從信貸市場擴(kuò)散至資本市場等其他金融市場；另一方面使得金融風(fēng)險從資本市場反作用于信貸市場和貨幣市場。同時,信用衍生品還是金融風(fēng)險在各個國家和地區(qū)之間擴(kuò)散的載體。因此,信用衍生品對金融危機(jī)具有擴(kuò)散作用。本文運用Merton模型和Vasicek漸近單因素模型,驗證了美國房貸機(jī)構(gòu)對放貸標(biāo)準(zhǔn)的降低,會最終放大信用衍生品的投資風(fēng)險；并進(jìn)一步建立VAR模型,利用脈沖響應(yīng)函數(shù)分析了信用衍生品對金融危機(jī)在貨幣市場、股票市場和大宗商品市場的擴(kuò)散作用,從而驗證了資產(chǎn)證券化和信用衍生品對這次次貸危機(jī)的放大和擴(kuò)散作用。 信用衍生品是一把雙刃劍,只有在審慎監(jiān)管中才能得到健康發(fā)展。這需要做到如下幾點：加強(qiáng)對信用衍生品基礎(chǔ)資產(chǎn)質(zhì)量的監(jiān)管和信息披露；加強(qiáng)對評級機(jī)構(gòu)的監(jiān)管；控制金融機(jī)構(gòu)的杠桿風(fēng)險；加強(qiáng)信用衍生品發(fā)行的披露制度；推進(jìn)信用衍生品市場由場外向場內(nèi)發(fā)展。而我國要發(fā)展健康的信用衍生品市場首先需要進(jìn)行市場建設(shè)、機(jī)構(gòu)建設(shè)、投資者建設(shè)和制度建設(shè)。
[Abstract]:The global financial crisis that broke out in 2007 has yet to come to an end. Compared with the previous crisis, the financial crisis has some new features. It began with the subprime mortgage repayment crisis caused by the adjustment of the US real estate market. But then developed into the entire financial market earthquake, the real economy was also hit hard, finally across the ocean, triggered the global financial and economic tsunami. The global economic losses caused by the U.S. subprime mortgage crisis far outweighed the losses of subprime loans and securities themselves, leading to a smaller financial crisis that triggered a large-scale global economic crisis. This will lead us to wonder how credit derivatives can act as leverage of the subprime crisis to leverage the global economic crisis. What is the mechanism of financial risk transfer and amplification? Credit derivatives magnify the financial crisis. On the one hand, it increases the total amount of credit risk in the financial market; on the other hand, it raises the leverage risk of the financial market, thus creating conditions for asset bubbles and excess liquidity. The risks in the financial system are greatly magnified by the combination of model risk, rating risk, counterparty risk and information asymmetry, regulatory absence and lag in the credit derivatives market. Credit derivatives are the carriers of the spread of financial risks in various financial markets and institutions. On the one hand, they make financial risks spread from credit markets to other financial markets such as capital markets. On the other hand, financial risk is counteracted from capital market to credit market and money market. At the same time, credit derivatives are also the carriers of the spread of financial risks in various countries and regions. Therefore, credit derivatives have a diffusion effect on the financial crisis. This paper uses Merton model and Vasicek asymptotic single-factor model to verify that the reduction of lending standards of American mortgage institutions will enlarge the investment risk of credit derivatives. Furthermore, the VAR model is established to analyze the diffusion effect of credit derivatives on the financial crisis in the money market, the stock market and the commodity market by using the impulse response function. Thus, it verifies the effect of asset securitization and credit derivatives on the amplification and diffusion of the subprime mortgage crisis. Credit derivatives are a double-edged sword, only in prudential regulation can get healthy development. This requires the following: strengthening the supervision and disclosure of the quality of the basic assets of credit derivatives; strengthening the supervision of the rating agencies; controlling the leverage risk of financial institutions; strengthening the disclosure system of the issuance of credit derivatives; Promote credit derivatives market from OTC to OTC development. In order to develop a healthy credit derivatives market in China, market construction, institutional construction, investor construction and institutional construction are needed.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F831.59;F224

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