巨灾风险债券

【作者】 张海平；

【导师】 雷荣迪；

【作者基本信息】 对外经济贸易大学 ， 国际贸易， 2000， 硕士

【摘要】 “知识就是力量”——培根的这句至理名言在当今人类社会步入信息时代之际，更显得振聋发聩。应当看到，在知识经济条件下，只有具有创新性的知识才能转化为生产力，才会对经济发展产生重大的推动作用。而国际金融市场正是最具创新精神的领域之一。近十年间，资产管理、基金管理、投资组合服务、金融衍生产品交易、资产证券化等金融创新产品层出不穷，令人眼花缭乱，目不暇接。相比而言，保险行业就显得过于谨小慎微，缺乏应有的创新意识。但在知识经济创新浪潮的冲击下，保险行业不得不奋起迎接挑战，积极开发适合客户需要的创新性产品。同时，随着世界经济自由化程度日益加深，各国为了增强在全球经济格局中的综合竞争实力，开始放松原先对金融各部门间严格的限制，使得保险与资本市场日益呈现出相互融合的趋势。过去十年间频繁爆发的自然灾害在给受灾地区的经济发展和社会生活带来重大损失的同时，也使全球保险人和再保险人屡受重创。重大灾害事件造成的损失金额日益攀升，令保险业界人士寝食难安，而资本市场数以十万亿计的资本容量使保险人看到了希望的曙光。如何利用资本市场将巨灾风险化解于无形，已经成为保险业界人士和投资银行家们关心的问题，巨灾风险债券正是在这样的背景下应运而生的。作为保险与资本市场融合趋势下的创新性金融产品，巨灾风险债券的构造大量采用了金融工程学领域的最新成果，属于保险与证券技术相结合的产物。尽管其目前尚处于探索阶段，但已经发行的近三十支债券受到了资本市场投资者的欢迎，这也使得保险业界人士与投资银行家信心倍增。笔者在对巨灾风险债券进行理论研究的基础上，结合实践工作经验，从它的产生、基本运作原理、实践应用、以及未来发展方向等四个方面进行了剖析，希望能够较为全面具体地介绍这种创新型金融工具。第一章主要是从近年来自然灾害事件频率上升以及损失规模扩大等方面，阐述了巨灾风险债券产生的自然条件，而过去十年间保险与资本市场日益融合的大趋势也为巨灾风险债券的产生提供了技术和经济基础。第二章对巨灾风险债券运作原理的介绍旨在为其后的论述作出铺垫。巨灾风险债券的基本结构与普通债券有所不同，特别是巨灾风险债券的信用风险并非取决于债券发行人的经营状况，而是取决于发行人之外的约定事件（即触发事件）的发生与否。从这个意义上讲，巨灾风险债券的触发机制就显得异常重要了，因此在对证券化和巨灾<WP=3>风险债券基本结构加以简要介绍之后，笔者重点对三种类型触发机制进行了细致的分析。通过对比三者的优缺点，希望从中发掘触发机制未来的发展趋势。第三章则是以前一章对巨灾风险债券基本结构的介绍为基础，充分结合实践中的具体运作，以及保险与资本市场业界人士对巨灾风险债券的评价，较为全面地剖析了其发展现状。随后还以最新发行的两项较为成功的巨灾风险债券为例，从风险组合的安排、触发机制的选择、债券结构的设计、募集对象等与巨灾风险债券相关的若干重大问题进行了对比研究。第四章展望了巨灾风险债券的发展前景，指出这种顺应当今金融创新潮流而诞生的新型金融产品必将具有无穷的生机与活力，并且为保险风险证券化的发展奠定了坚实的技术基础，积累了实践经验。整篇论文围绕着巨灾风险债券的产生和发展进行了较为系统全面的分析和论述，希望通过对巨灾风险债券的介绍，凸现当今世界保险领域涌动的创新意识，并能够对我国保险业务创新研究起到抛砖引玉的作用。更多还原

【Abstract】 "Knowledge is power" —— the shine of this proverb becomes more brilliant in the era of information. However, not all the knowledge can be transformed into productivity, but only those with the spirit of innovation can greatly force the economic development forward and bring the fundamental change to our society. Fortunately, the international financial market is one of the most advanced realms with the sense of innovation.During the last decades, the booming of the financial innovative products, for example, assets management, fund management, investment portfolio, financial derivatives, assets securitization, and etc, sometimes even makes us dumfounded and amazed. Comparatively speaking, it seems that the insurance industry is overcautious and lack of the sense of creation and innovation with the selling of traditional non-changeable insurance products. Nevertheless, the tide of innovation in the knowledge-based economy has thoroughly broken the fences and walls of the insurance area, (re)insurers have to stand up and face the challenge, bring in the innovative products which can adapt to the demand and requirements of their clients. In the meantime, the deepening of world economic liberalization also fundamentally changes the framework and structure of international competition. Deregulation, Internet transparency and the impact of globalization are transforming the competitive landscape of financial services, which leads to the convergence of insurance and capital market. Property/casualty insurers must assess their companies’ core competencies and operational capabilities to determine their ability to develop innovative products, service and delivery in the face of formidable competitors. Almost overnight, the list of competitors has widened to include banks securities firms, as well as new entrants such as Internet "attackers". These new competitors are not burdened with legacy systems or agency systems, have innovative ideas, strong management and a focus on execution.Strategic management in the 21st century will require all companies to constantly innovation——a difficult task for the historically staid property/casualty industry. Innovation requires changing——and sometimes destroying——outdated business models, often accessing external expertise through outsourcing, alliances, joint ventures, and through mergers and acquisitions.<WP=5>This paper focuses on the Catastrophe bonds, one of the innovative financial products combining the techniques of insurance and securities. The frequent outbreak and enormous loss-size of catastrophes, for example, windstorm, floods, earthquakes, volcano eruption, hurricanes, and etc, have greatly frightened the (re)insurers who are eager to find some alternatives to transfer the risks smoothly. It seems that the capital market can function best. Although CAT bonds are still at the start-point of development, inevitably with several limitations, the successfully-delivered CAT bonds during the last 36 months have greatly aroused the interests of the investors in the capital market, which also enhances the confident of the supporters in the insurance and capital markets.This paper focuses on the following four parts concerning the CAT bonds: the origin, the basic theory and framework of CAT bonds, the practical issuance and case analysis, the future prospects of CAT bonds and the insurance risk securitization. We hope that the introduction of CAT bonds in this paper can be of reference to the innovation activities for our insurance industry. The core idea behind the CAT bonds is the spirit of innovation, which is obviously reflected in its structure: the introduction and design of triggering mechanism, the establishment of objective default risk. Therefore, we pay more attention to the above issues, especially to the analysis and comparison of three different triggering mechanisms. After the comparison, we find the proper combination of the advantages of the three and forecast the future prospects of this innovative product.Finally, we stress the impo更多还原