国外信用风险转移市场作用机制研究述评
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外国经济与管理 2005 年 第 27 卷第 12 期, 页码：37 - 43
摘要
参考文献
摘要
近年来,信用风险转移市场迅速发展已引起了各国金融监管当局和国际组织的关注,与之相关的理论研究也渐成热点。本文介绍了信用风险转移市场的工具、参与主体及动机,归纳和探讨了国外学者关于信用风险转移市场对市场参与者间关系的影响及其宏观作用等,以期为我国信用风险转移研究提供借鉴。
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[8]Duffee G R and C Zhou.Credit derivatives in banking:useful tools for managing risk[J].Journal of Monetary Econom-ics,2001,48(1):25-54.
[9]Tolk J S.Understanding the risks in credit default swaps[R].Moody’s Investors Service,2001,3:1-16.
[10]Merritt R,M Gerity and M Lench.Synthetic CDOs and investment-grade assets:analytical and structuralissues[R].Fitch IBCA,Duff&Phelps,2001,12:1-5.
[11]Cebenoyan A S and P E Strahan.Risk management,capital structure and lending at banks[R].WhartonSchool Center for Financial Institutions Working Paper No.02-09,2001:1-31.
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[16]Norden L and M Weber.The comovement of credit default swap,bond and stock markets:an empiricalanalysis[R].CEPR Working Paper,No.4674,2004:1-45.
[17]International Monetary Fund.Global financial stability report[R].2002,3:36-40.
[18]Santomero A M and J J Trester.Financial innovation and bank risk taking[J].Journal of Economic Be-havior&Organization,1998,35(1):25-37.
[19]Instefjord N.Risk and hedging:do credit derivatives increase bank risk?[J].Journal of Banking&Fi-nance,2005,29(2):333-345.
[20]Reserve Bank of Australian Bulletin.Credit risk transfer markets:an Australian perspective[R].2003,5:55-62.
[21]Wagner W and I Marsh.Credit risk transfer and financial sector performance[R].CEPR Working Paper,No.4265,2004:1-30.
[2]European Central Bank.Credit risk transfer by EU banks:activities,risks and risk management[R].2004,5:11-20.
[3]Bank for International Settlements.Credit risk transfer[R].2003,1:31-51.
[4]Kiff J,F-I Michaud and J Mitchell.Instruments of credit risk transfer:effects on financial contracting and financial sta-bility[R].NBB Working Paper,http://papers.ssrn.com/sol3/papers.cfm?abstract_id=374640,2002:1-33.
[5]Gorton G and G Pennacchi.Banks and loan sales:marketing non-marketable assets[J].Journal of Monetary Economics,1995,35(3):389-411.
[6]Morrison A D.Credit derivatives,disintermediation and investment decisions[J].Journal of Business,2005,78(2):621-647.
[7]Arping S.Playing hardball:relationship banking in the age of credit derivatives[R].University of Amsterdam,http://ideas.repec.org/p/fam/rpseri/rp49.html,2002:1-33.
[8]Duffee G R and C Zhou.Credit derivatives in banking:useful tools for managing risk[J].Journal of Monetary Econom-ics,2001,48(1):25-54.
[9]Tolk J S.Understanding the risks in credit default swaps[R].Moody’s Investors Service,2001,3:1-16.
[10]Merritt R,M Gerity and M Lench.Synthetic CDOs and investment-grade assets:analytical and structuralissues[R].Fitch IBCA,Duff&Phelps,2001,12:1-5.
[11]Cebenoyan A S and P E Strahan.Risk management,capital structure and lending at banks[R].WhartonSchool Center for Financial Institutions Working Paper No.02-09,2001:1-31.
[12]Estrella A.Securitization and the efficacy of monetary policy[J].FRBNY Economic Policy Review,2002,5:1-13.
[13]Stanton S.Commentary[J].FRBNY Economic Policy Review,2002,5:257-258.
[14]Stanton S.The underinvestment problem and patterns in bank lending[J].Journal of Financial Intermedi-ation,1998,7(3):293-326.
[15]Minton B,T Opler and S Stanton.Asset securitization among industrial firms[R].Ohio State UniversityUnpublished Paper,http://pages.stern.nyu.edu/~igiddy/ABS/abs97.doc,1997:1-24.
[16]Norden L and M Weber.The comovement of credit default swap,bond and stock markets:an empiricalanalysis[R].CEPR Working Paper,No.4674,2004:1-45.
[17]International Monetary Fund.Global financial stability report[R].2002,3:36-40.
[18]Santomero A M and J J Trester.Financial innovation and bank risk taking[J].Journal of Economic Be-havior&Organization,1998,35(1):25-37.
[19]Instefjord N.Risk and hedging:do credit derivatives increase bank risk?[J].Journal of Banking&Fi-nance,2005,29(2):333-345.
[20]Reserve Bank of Australian Bulletin.Credit risk transfer markets:an Australian perspective[R].2003,5:55-62.
[21]Wagner W and I Marsh.Credit risk transfer and financial sector performance[R].CEPR Working Paper,No.4265,2004:1-30.
引用本文
韩琳, 胡海鸥. 国外信用风险转移市场作用机制研究述评[J]. 外国经济与管理, 2005, 27(12): 37–43.
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