【作者】 刘宇新；

【导师】 魏灿秋；

【作者基本信息】 四川大学 ， 企业管理， 2004， 硕士

【摘要】 信用衍生产品是规避信用风险、解决信用悖论的有效工具。它可使银行在无须出售其贷款、确保客户关系的前提下，剥离、转移信用风险，从而为银行业解决信用悖论、脱离两难选择的困境提供了解决之道。但是它只能部分转移而不能完全消除信用风险，而且作为一种新型的金融衍生工具，信用衍生产品同样会带来各种新的风险，其中最重要的还是信用风险，既借款人与信用保护卖方联合违约的可能性。研究适用于信用衍生产品的信用风险量化模型是建立信用衍生产品市场的前提。 本文从介绍信用风险的特征出发，主要探讨了信用衍生产品信用风险的定性分析、建立量化模型以及风险监控等问题。首先，扼要介绍了信用衍生产品的产生背景、概念、实质、特点与其对银行信用风险管理的功效，以及当前国际上信用衍生品市场的发展趋势。并着重分析了各类信用衍生产品的避险原理 文章的重点是信用衍生产品信用衍生产品信用风险的定性分析、量化模型的建立以及风险监控研究的论述。第三章首先阐述了其信用风险的成因，然后从评估信用保护出发，论述了信用衍生产品交易中信用保护双方的信用风险；第四章借助莫顿的贷款定价理论分析了信用保护卖方的违约选择权函数与信用保护买方的支付报酬函数，重点研究了如何利用KMV公司的预期违约模型来度量信用衍生品的联合违约概率。 最后，本文就信用衍生产品的风险控制进行了探讨。着重讨论了如何选择有效的信用保护卖方，并分析了中国潜在的信用衍生交易市场参与者。更多还原

【Abstract】 The credit derivatives are the effective instruments to handle the credit paradox. They are financial techniques which are used to diverse, transfer and decrease the credit risk from the underlying loans as to create a new mechanism for trading credit risk in non-traditional formats within defined risk/reward parameters.Although credit derivatives were not introduced until 1992, their markets are almost the fastest developing market. These derivatives have a lot of advantages, but they also bring some new uncertainty and risks. The new important question is how to control these new products and ensure that they are used only in appropriate circumstances.The article focuses on the research of the analyses, measurement and control of the risk of the credit derivatives. First, the article mainly introduces the structure, emergence and development of the credit derivatives and the huge effects to financial markets. In part three, the article explores the credit risk of the credit derivatives to the protection buyer and seller and other risk, such as operational risk, liquidity risk. In the part four, the article discusses how to use the EDF model to predict the united frequency of these new products. At last, the article introduces the problem that should be considered in choosing the good trader.更多还原