摘 要

本文立足于CDS交易对手信用风险传染已有的研究成果，旨在依据金融学相关理论(包括博弈论和行为金融学)，论述了CDS交易对手信用风险产生的国际国内背景，信用风险传染的破坏性，以及研究它的创新性与必要性。说明CDS交易对手信用风险的内涵外延以及传染特征，并基于CDS交易对手行为中出现的道德风险、财务风险、贸易风险、交易对手情绪、市场信息波动、宏观政策传导以及产品结构特征等影响因素进行研究，通过分析雷曼兄弟破产原因引入CDS交易对手信用风险传染的动因。

本文基于CDS交易对手信用风险形成过程存在的博弈行为，提出4个前提，把其两者的关系描述在一个二维平面内，并设计出双方各自的效益函数，并通过构建博弈模型并分析了CDS交易对手双方的行为关系，得出了CDS交易对手1在不同监管策略下总体期望收益与CDS交易对手2违约行为发生的的概率是负相关的，CDS交易对手1商誉损失越多，那么它就越倾向于更严密地监管CDS交易对手2；CDS交易对手1的总体期望收益和其在CDS交易对手2选择违约时进行严格监管获得的收益成正比。最后基于博弈模型分析，从交易对手双方道德监管、财务预警体系建设等方面提出对策与展望。本文试图总结CDS交易对手信用风险传染的动因及影响机制，对深入探讨CDS交易对手信用风险传染的动因以及影响机制有很大的借鉴意义，并给予投资者合理的建议，以期为我国CDS市场发展和理论研究提供针对性的建议。

关键词：CDS市场；交易对手；博弈论；信用风险传染；影响机制

Motivation and influencing mechanism of credit risk contagion of CDS counterparties

Abstract

The results of this study based on the CDS counterparty credit risk contagion to existing, according to the relevant theories of Finance (including the financial game theory and behavior), discussing the CDS counterparty credit risk in the domestic and international background, destructiving credit risk contagion, and studying its innovation and necessity. This paper Illustrates the connotation and extension of CDS counterparty credit risk and infection characteristics, and behavior factors in CDS counterparty risk, financial risk, moral risk, counterparty trading market information, emotional fluctuation, macroeconomic policy conduction and product structure characteristic influence based on the research, through the analysis of the bankruptcy of Lehman brothers introduced CDS counterparty credit the risk of infection.

This paper based on the CDS counterparty credit risk of the game behavior in the process of existence, puting forward 4 conditions, the relationship between the two is described in a two-dimensional plane, and design their respective benefit function, and constructs the game model and analyzes the relationship of CDS on both sides of the counterparty, the probability that CDS 1 counterparties in different regulatory strategy under the overall expected revenue and CDS 2 counterparty default behavior is negatively related to CDS; the counterparty 1 loss of goodwill more, then it is more likely to be more rigorous supervision CDS counterparty 2; total expected revenue of CDS 1 and its counterparties in the CDS counterparty default 2 when the gains are proportional to the strict supervision. Finally, based on the game model analysis, this paper puts forward the countermeasures and prospects from the aspects of the moral supervision of both sides of the counterparties and the construction of the financial early warning system. This paper attempts to summarize the cause and effect mechanism of CDS counterparty credit risk contagion, to explore the CDS counterparty credit risk contagion motivation and the influence mechanism will be of great significance, and to give investors a reasonable proposal, with a view to China's CDS market development research and theory provide suggestions.

Key words: CDS marke ; counterparty ; game theory ; credit risk ; contagion mechanism

目 录

摘 要 I

Abstract II

第一章 绪论 1

1.1 研究背景及意义 1

1.2 研究内容 2

1.2.1 技术路线 2

1.2.2 技术路线图 3

1.3 研究方法 4

1.3.1 案例分析 4

1.3.2 模型分析 5

1.4 创新点 5

第二章 文献综述 6

第三章 CDS交易对手信用风险传染的动因 8

3.1 CDS交易对手信用风险传染的相关概念： 8

3.1.1 CDS交易对手信用风险的内涵 8

3.1.2 CDS交易对手信用风险传染的特征 8

3.2 CDS交易对手风险传染的影响因素： 9

3.2.1 道德风险因素 9

3.2.2 财务风险因素 10

3.2.3 贸易风险因素 11

3.2.4 交易对手情绪风险因素 11

3.2.5 市场信息波动 13

3.2.6 产品结构特征 14

3.2.7 宏观政策传导 14

第四章 CDS交易对手风险传染的影响机制 16

4.1 模型前提假设 16

4.2 博弈模型构建 17

4.3 博弈模型分析 19

第五章CDS信用风险传染的防范对策 21

第六章 结论与展望 23

6.1 研究结论 23

6.2 展望 23

参考文献 24

致谢 26

第一章 绪论

1.1 研究背景及意义

随着经济全球化的深入发展，金融衍生品不管是从种类上来说还是从使用价值上来说都产生了翻天覆地的变化。信用违约互换(CDS，Credit Default Swaps)极大地改变了以往的信用风险转移模式，通过分离、转移并交易多种多样的信用风险，不仅能够更好地应对类似于美国金融危机大萧条、席卷欧洲的主权债务危机以及东南亚金融危机这样的金融风险，还可以应对国内原材料劳动力成本上升、发展需求放缓等一系列问题。由于历史上很多信用危机会对金融市场造成极大的风险，并且如果这类危机一旦迅速蔓延，就会对银行、保险、证券等行业造成极大危害，乃至对世界金融安全与发展都会造成极大的隐患与恐慌。

CDS在为雷曼、世通等金融机构破产时分散市场风险起到了不可磨灭的作用，得到世界金融市场参与者的极大推崇。CDS通俗一点来说是一种能够转移金融机构信用风险的场外信用衍生品，在世界范围内广泛存在和交易。