摘要
文章从信用衍生品出发,提出并阐述了信用违约互换在信用衍生品市场中的重要性,且通过对信用违约互换的构成和交易结构的叙述,进一步加深对信用违约互换的理解。对信用违约互换的功能和定价模型做出阐述,明确其在信用风险管理中的作用。通过分析发现信用违约互换本身及其监管方面的不足。讲解信用违约互换在我国的应用,提出中国版信用违约互换——衍生品类信用风险缓释工具在我国良好发展所必须具备的条件和发展对策。
In view of the credit derivatives, the importance of credit default swap（CDS） in credit deriva- tives market is introduced and analyzed. Then the composition and trading structure of CDS are dis- cussed. To identify the role of CDS in credit risk management, the functions and pricing models of CDS are expounded. And the deficiencies in CDS and its management are pointed out. Finally, the ap- plication of CDS in China is analyzed, and some necessary conditions and measures to develop CDS in China, namely the credit risk mitigation technique like credit derivatives, are put forward.
出处
《合肥工业大学学报（社会科学版）》
2013年第3期77-83,共7页
Journal of Hefei University of Technology(Social Sciences)
关键词
信用衍生工具
信用违约互换
交易结构
定价模型
风险管理
信用风险缓释工具
credit derivatives
credit default swap（CDS）
transaction structure
pricing model
riskmanagement
credit risk mitigation technique
