信用衍生产品的功能与风险分析——从美国的次贷危机谈起

Analysis to the Functions and Risks of Credit Derivatives:A Perspective of the US Sub-prime Mortgage Crisis

从宏观角度看,信用衍生产品的使用,为商业银行带来了新的风险管理模式,为投资者提供了新的投资工具,但由于其杠杆化的特性,又使得信用衍生产品的使用在降低信用风险的同时,也会增加定价风险以及逆向选择和道德风险等问题,美国次贷危机的发生就证明了其"双刃剑"的特性。系统地研究信用衍生产品的风险及其功能,并从中找出防范风险的措施,对于我国金融衍生产品的开发与创新具有重要的促进作用。

From the macroscopic level,the use of credit derivatives brings a new risk management model for commercial banks but provides new investing means for investors.Because of its leveraged properties,however,the use of credit derivatives increases the risk of price,adverse selection and moral hazard.Such a ＂double-edged sword＂ property has been proved by the occurrence of the US sub-prime mortgage crisis.A systematic study of the risks and functions of credit derivatives is made in this paper,and the risk control measures are proposed.It can promote the development and innovation of domestic financial derivatives.