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论文编号：	4168
作者编号：	2120102303
上传时间：	2012/6/4 23:23:15
中文题目：	关于我国信用风险缓释工具市场发展的研究
英文题目：	A Study for the Development of Credit Risk Mitigation Market in China
指导老师：	王永进
中文关键字：	信用风险缓释（CRM），信用违约互换（CDS），信用等级，定价机制
英文关键字：	Credit Risk Mitigation (CRM), Credit Default Swap (CDS), Credit Rating, Pricing Mechanism
中文摘要：	本文以信用风险缓释工具（CRM）的市场发展为研究对象，围绕其产生背景、功能以及实践中存在的问题等方面，在与信用违约互换（CDS）进行比较研究的基础上，探索其中国化的发展道路。文章首先对CDS进行了理论梳理、市场分析以及价格影响机制的探讨，揭示了CDS作为新型信用风险管理工具的积极作用、可能带来的不利影响及其存在的制度基础。在对CDS价格影响因素的实证分析中，本文选取了对CDS价格形成最为重要的三个关键因素建立回归模型，并对其中的参考实体的信用等级与CDS的合同期限两者的重要性做了比较。最后得出，信用评级体系的发展好坏直接决定了CDS的价格能否充分反映信用风险的市场价值，提高信用评级系统的准确性是完善CDS定价机制的前提和必要条件。在完善信用评级体系的同时，也需要合理设置CDS合同的到期期限，优化配置期限结构，完善定价机制。人民币CRM工具源于CDS产品，只是在交易主体、杠杆率设定和交易结构等方面有别于CDS，是具有中国市场特色的信用风险衍生工具。本文从我国实践出发，通过对CRM与CDS产品特点的对比分析，从根源上挖掘CRM市场发展中存在的问题，并提出了相应建议。本文的结论主要包括三个层次，首先，我们不能因为信用衍生产品在金融危机中的一些消极表现就否定其在转移和规避信用风险方面的积极作用，我们要做的是吸取教训，并采取措施避免类似危机的再次发生，而不能因噎废食。其次，我国银行间市场交易商协会在此时推出CRM工具既合适又合理，而且很有必要。CRM不仅有利于直接融资债券市场的发展，更为中小企业融资难问题提供了一种解决思路，对我国的金融市场化进程也具有积极的推动作用。最后，鉴于目前人民币CRM市场仍存在的一些问题，本文认为其需要在制度设计、产品创新、风险防范和机构协调等方面加以完善和优化。希望本文的研究结果能对CRM在中国市场未来的发展起到一定作用。
英文摘要：	The paper focuses on the market development of Credit Risk Mitigation (CRM) tools. On the basis of comparative studies with Credit Default Swap (CDS), I pay much attention to the background, functions and practice problems of CRM, hoping to explore its own way in China. Firstly, I make a review of CDS theory and analyze the CDS market and its pricing mechanism, revealing the positive role, possible adverse impact and institutional basis of the new credit risk management tools. In the empirical analysis of CDS prices, I select three key factors in the formation of the CDS price to make a regression model. In addition, I make a comparison of the importance of reference entity’s credit rating and the CDS maturity, founding that improving the accuracy of the credit rating system is the prerequisite and necessary condition to perfect the CDS pricing mechanism. At the same time, we also need to set the CDS contract maturity reasonably, to further improve the pricing mechanism. RMB CRM tool is derived from the CDS product, with some small differences in transaction parties, the leverage ratio and transaction structures. CRM tool, as a Chinese credit risk derivative, has its own market characteristics. The article focuses on China’s practice, analyzes the characteristics of CRM and CDS products and look for profound problems of China’s CRM market. At last, I make corresponding recommendations on institution design, product innovation, risk prevention and government coordination. The conclusion of this paper consists of three main levels. First, we cannot refuse to admit CRM’s positive role in transferring and avoiding credit risk just because of some negative aspects found in America Subprime Mortgage Crisis. Secondly, it is appropriate, reasonable and necessary to introduce CRM tools by NAFMII. Finally, in view of that it still has some problems in CRM market, I suggest the government need to make some improvement on the institution design, product innovation, risk prevention and government coordination.
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