【摘要】 关于AIG危机原因的争论焦点是除了CDS之外,是否还有其他主要原因?因为从资产信用评级、违约率和证券化资产占比等惯常的风险指标来看,AIG的投资风险并不高,甚至低于同业水平。但通过对AIG投资组合及CDS基础资产构成的深入分析,我们发现,对以次贷和非优质贷款为支撑的MBS的风险暴露叠加效应,是AIG危机的深层原因:CDS基础资产中的次贷资产比例高、借出证券押金投资和其他保险资金投资组合中的次贷证券比例也明显高于同业水平,这就是AIG经营中的隐患。次贷危机爆发后,AIG对这种风险暴露叠加效应估计不足,因而应对措施力度不够,直接导致AIG没能在次贷危机中脱身、最终倒下。更多还原

【Abstract】 Whether there are other main reasons of AIG crisis besides CDS? For the investment risk of AIG is not high from the common risk indicators such as asset credit rating, default rate and securitization asset percentage. By deep analysis of AIG’s portfolio and underlying assets structure of CDS, we find the interacted effects of risk exposure of sub-prime credit and non-prime credit is the main reason of AIG crisis. After the breakout of sub-prime crisis, AIG has not realized the seriousness of the interacted effects of risk exposure, and taken little countermeasures so that AIG couldn’t escape from sub-prime crisis.更多还原