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次级债务担保凭证的风险特征研究——基于企业债券的视角 被引量：3

Study on the Risk Features of Sub-Prime Collateralized Debt Obligations——Based On the Comparison with Corporation Bonds
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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。 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.
作者 刘建国 沈云良
机构地区 华东理工大学商学院
出处 《华东理工大学学报（社会科学版）》 2009年第4期38-45,共8页 Journal of East China University of Science and Technology：Social Science Edition
关键词 结构性金融工具 次级债务担保凭证 风险特征 Structured Finance Instrument Sub-prime Collateralized Debt Obligations risk feature
分类号 F832.59 [经济管理—金融学]
  • 相关文献

参考文献14

  • 1Joseph R. Mason.Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions.Available at SSRN: http://ssrn.com/ abstract=1027475, 2007.
  • 2Krishan Nagpal, Reza Bahar.Measuring Default Correlation.Available at http:// faculty, chicagobooth. edu/anil.kashyap/research/usmpf2008confdraft.pdf, 2001.
  • 3Erik Heitfield. Parameter Uncertainty and Credit Risk of Collateralized Debt Obligations. Available at SSRN:http://papers.ssrn.com/sol3/papers.cfm?abstract_id= 1190362, 2007.
  • 4Gary Gorton.The Panic of 2007.Available at: www. nber.org/papers/w14358, 2008.
  • 5Joshua D. Coval, Jakub Jurek, Erik Stafford.The Economics of Structured Finance. Available at:http:// papers.ssrn.com/sol3/papers.cfm?abstract_id =1287363, 2008.
  • 6Efraim Benmelech, Jennifer Dlugosz.The Alchemy of CDO Credit Ratings. Available at SSRN: http:// papers.ssrn.com/sol3/papers.cfm?abstract_id =1391825, 2008.
  • 7Demyanyk, Yuliya, and Otto Van Hemert. Understanding the Subprime Mortgage Crisis. Available at SSRN: http://ssrn.com/abstract=1020396, 2008.
  • 8Fender, Ingo, and John Kiff.CDO Rating Methodology: Some Thoughts on Model Risk and Its Implications[J].Journal of Credit Risk, 2005, Vol. 1.
  • 9国际货币基金组织.全球金融稳定报告[R].中国金融出版社.2008:30-31.
  • 10Greenlaw et al (2008).Leveraged Losses: Lessons from the Mortgage Market Meltdown. http://facuhy. chicagobooth.edu/anil.kashyap/research/ usmpf2008confdraft.pdf, 2008.

二级参考文献30

  • 1理查德·比特纳.贪婪、欺诈和无知---美国次贷危机真相[M].中信出版社,2008.
  • 2国际货币基金组织.全球金融稳定报告[J].2008年4月.
  • 3Gary Gorton. (2008). The Panic of 2007 [ J ]. Yale ICF Working Paper No. 08 - 24
  • 4Joseph R. Mason. (2007). Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions[J]. Available at SSRN: http://ssrn.com/abstract = 1027475
  • 5Adam B. Ashcraft. (2008). Understanding the Securitization of Subprime Mortgage Credit [ J ]. Wharton Financial Institutions Center Working Paper No. 07 -43; FRB of New York Staff Report, No. 318
  • 6Joshua D. Coral, Jakub Jurek, Erik Stafford. (2008). The Economics of Structured Finance [ J ]. Havard Business working paper 09 - 060.
  • 7Yuliya Demyanyk, Otto Van Hemert. ( 2008 ). Understanding the Sub - prime Mortgage Crisis [ J ]. Available at SSRN : http ://ssm. corn/abstract = 1020396.
  • 8Kathleen C. Engel, Patricia A. McCoy. (2007). Turning a Blind Eye: Wall Street Finance of Predatory Lending [J]. Fordham Law Review, Vol. 75, p. 102
  • 9Yuliya S. Demyanyk, Otto Van Hemert. (2008). Understanding the Subprime Mortgage Crisis [ J ]. Available at SSRN: http://ssrn, com/abstract = 1020396, 2008, Table 1.
  • 10Adam B. Ashcraft, Til Schuermann. (2008). Understanding the Securitization of Subprime Mortgage Credit[ J]. Wharton Finaneial Institutions Center Working Paper No. 07 -43; FRB of New York Staff Report, No. 318, Page 16 - 17.

共引文献59

同被引文献25

  • 1赵江波.解析“次贷危机”中的CDO[J].决策与信息（财经观察）,2008(4):13-13. 被引量：6
  • 2《全球金融稳定报告》,2008年10月,图1.13.
  • 3《全球金融稳定报告》2009年4月,图1.3.
  • 4Franklin Allen and Douglas Gale, "Bubbles and Crises", The Economic Journal, No.110, 2000, PP. 236-256.
  • 5Tobias Adrian and Hyun Shin, "Liquidity and financial cycles", BIS Working Papers, No.256, 2008, PP. 14-16.
  • 6http://en.wikipedia.org/wiki/File:Leverage_Ratios.png.
  • 7David Greenlaw and Jan Hatzius, "leveraged losses: lessons from the mortgage market meltdown" Proceedings of the U.S. Monetary Policy Forum, 2008, PP.38, Exhibit 4.2.
  • 8http://www.bloomberg.com/.
  • 9辛侨利、孙兆东.《次贷危机》,中国经济出版社2008年版,第189页.
  • 10米什金.《货币金融学》,中国人民大学出版社2004年版,第278页.

引证文献3

二级引证文献4

华东理工大学学报（社会科学版）
2009年 第4期

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