信贷衍生品：建模和计算(新展银行-林卫东)课件.pptxVIP

信贷衍生产品：建模和计算 林卫东Credit Derivatives摘要引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理摘要引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理引言风险市场（credit risk market)公司债券信贷衍生产品(credit derivatives)一种能把信贷风险从基础资产中剥离出来，便于交易和管理的衍生工具基本功能： 风险有效转换，聚集，分散和重新包装信贷衍生产品的增长单个信贷CDS信贷指数相关性波动性Source: ISDA市场的参与者Source:BBA 2003/2004 survey市场的参与者信贷衍生产品的创新Source:BBA 2003/2004 survey交易的产品？信贷违约互换(Credit Default Swap, CDS)完全收益互换(Total Return Swap, TRS)信贷短期债券(Credit Linked Note, CLN)信贷组合互换/债券First-to-default basket, nth-to-default basket信贷组合批次债券信贷产品创新Option, futures, indices, constant maturity etc.市场最新发展CDS matching and confirmationStandardisation of documentationTradable Credit fixingsMarket regulation摘要引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理银行乙银行甲Protection 买家Protection 卖家违约事件发生时 100债券某公司债券信贷违约互换(CDS) 信贷溢价 credit spread信贷短期债券(CLN)6% + 100Special Purpose Vehicle(SPV)息票+到期本金（没有违约）2.4%CDS100（开始时）3.6% + 100100（开始时）利率互换摘要引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理银行乙银行甲 信贷溢价 credit spreadProtection 买家Protection 卖家违约事件发生时 100违约债券公司1债券……公司5债券信贷组合第一个违约互换(FTD)衍生债务抵押债券 (CDO)AssetsLiabilities Credit Risk Transfer through: - Cash “True Sale” - Synthetic using “Credit Default Swaps” RatingsSenior Class ADiversified Pool of , typically, fixed income assetsAAACreditTranchedSecurities SpecialPurposeVehicle TransferMezzanine Class B/C/DAA toBBBNotRatedSubordinated Credit Risk Transfer for: - Balance Sheet Management - Credit Arbitrage Assets may comprise: Investment Grade Bonds / Loans HY Bonds Leveraged Loans Emerging Market Debt ABS / MBSCDO : Collateralized “Debt” Obligations, more encompassingterm than other terms such as CBO (“Bonds”) and CLOs (“Loans”)The above is indicative capital structure only衍生债务抵押债券的特点Efficient Portfolio Diversification ToolGain Access to Assets, Otherwise Difficult to AccessChoose Tranche depending