摘要
2012年5月,摩根大通在合成信贷资产组合仓位上出现20亿美元的巨额亏损,对冲基金以至整个华尔街都试图探究摩根大通巨亏的成因;另一方面,监管当局对摩根大通的交易也抱有怀疑态度,这一事件有可能加速"沃尔克规则"的推进实施。基于此,本文首先描述导致摩根大通亏损的复杂衍生品及交易策略,然后对导致亏损的合成信贷资产组合进行风险分析,并依据事件和风险量化的结果总结了亏损原因。本文试图通过已有资料及分析推理还原事件的真相,为我国未来衍生品交易风险管理提供案例借鉴。
When J. P. Morgan disclosed nearly 2 billion losses on ＂Synthetic credit portfolio＂ in May2012, hedge funds even the Wall Street tried to explore what happened to J. P. Morgan. While on the other hand, SEC believed this kind of transactions should be taken with a grain of salt, which may accelerate the implementation of＂ Volcker Rule＂ . Against this background, the article concludes details about complicated derivatives and trade strategies that cost the great loss, and then analyzes risk of Synthetic credit portfolio. Finally the writer concludes reasons of this event based on information of J. P. Morgan loss event and the result of risk quantifications. Through existing knowledge and the factsinferred from it, this article expects to provide refer- ences for risk management of derivatives in China.
出处
《科学决策》
2013年第5期73-94,共22页
Scientific Decision Making
基金
国家自然科学基金(70871023)
关键词
摩根大通巨亏事件
复杂衍生品
交易策略
风险分析
J. P. Morgan big loss event
complex derivatives
trading strategy
risk analysis
