美国信用违约互换带给市场的动荡及可资借鉴的教训

Market turbulence caused by US Credit Default Swap and its lessons for reference

作为一种新型金融产品,信用违约互换试图为投资者提供固定收益投资的违约保护,但是在市场资产证券化过程中,该产品却使得信用风险更广泛地分散在固定收益市场中,从而构成了信用风险向体系性风险转化的潜在基础。除产品设计与市场营销策略等技术因素外,信用违约互换市场能否有效扩展实际上是有赖于以下三种因素:一是卖出方是否具有实际最终偿付能力;二是市场对于产品核心风险的评估与产品定价机制是否具有客观而统一的标准;三是买方机构的营利来源及大规模购买产品的意愿。信用违约互换技术上的设计可以说在一定程度上解决了衍生产品的操作风险,但从根本上讲并未有效化解交易相关的信用风险和市场风险。在2007年9月爆发的美国次贷危机中,信用违约互换也起到了推波助澜的作用,使风险散播到更大范围的市场层面,引起了体系性风险的扩大。该文的案例分析,使我们能够更清楚地了解次贷危机所凸显出的风险控制对于金融业务与产品创新的重要意义。

As a new financial product, credit default swap （CDS） is supposed to provide default protection for investors＇ fixed-income investments. However, this product has further dispersed credit risks in the fixed-income market in the process of asset securitization, forming the potential basis for turning credit risks into system risks. Apart from some technical factors, such as product design and marketing strategies, the effective extension of the CDS market actually depends on the following three factors. The first factor is the seller＇s actual compensation capacity; the second is the universal standards on evaluation of product＇s essential risks and pricing system; and the third is the buyer＇s profit source and willingness to buy large-scale products. The technical design of CDS eased the operational risks of derivative products to some extent, but essentially, it hasn＇t effectively solved the credit risks and market risks related to the transaction. During the outbreak of the US subprime crisis in September 2007, the CDS also added fuel to fire by dispersing risks to wider market levels, which therefore enlarged the system risks. The case study from this paper will further demonstrate the importance of risk control in the financial business and product innovations after the subprime crisis.