【摘要】 对结构性金融工具的研究顺应我国建设国际金融中心的趋势。本文根据抵押资产的种类和证券化的深度分别对结构性金融工具进行分类,分析了它的基本运作理念和正面效用,阐明了次级债务担保凭证在结构性金融工具中的重要地位以及研究其风险特征所具有的现实意义。本文以企业债券作为对比基准,研究债务担保凭证在次级债危机中表现出的有别于传统金融产品的风险特征。在所有风险特征之中,由次级债务担保凭证杠杆评级所产生的结构性风险最为严重,本文运用柯布拉模型进一步阐明次级债务担保凭证结构性风险突出的原因。虽然次级债务担保凭证和企业债券具有众多截然不同的风险特征,但是信用评级机构在次级债危机爆发前仍然以同一信用基准来表述两者的信用风险水平,本文分析了该行为对于投资者的误导性。最后,根据研究结果对我国结构性金融工具的纵向发展提出相应的建议。更多还原

【Abstract】 The research on Structured Finance Instruments is the trend of establishing China`s International Financial Center.The essay classifies the SF instruments according to the category of supporting assets and the depth of securitization,and analyzes SF instruments’basic operation concept and positive effect.Then the essay illuminates Sub-prime Collateralized debt obligations’ importance and the practical meaning of studying its risk features.In comparison with corporation bonds,the essay researches the unique risk features of the CDOx exhibited in the Sub-prime bond crisis.Among them,the structural risk caused by rating leverage is the most serious one.Subsequently,the essay,using copula model,further illuminates why Sub-prime CDOS’ structural risk outstands so much.Finally,the essay sums up experience for China’s structured Finance development.更多还原