讲义5-金融中介与ch

1、Market for Credit Risk Transfer Vehicles: Credit Derivatives and Collateralized Debt ObligationsChapter 31Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall2Credit Derivatives Transfer credit risk from one party to another party without sale of the loanCredit default swap is most pop

2、ular type of credit derivative Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall3Categorization Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall4International Swap and Derivatives AssociationStandardization of documentation Definitions Reference entity (a.k.a. refe

3、rence issuer)Reference obligation (a.k.a. reference asset)Credit event Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall5Credit Events 1999 ISDA identifies events that may reflect a serious deterioration in credit quality:BankruptcyCredit event upon mergerCross accelerationCross def

4、aultDowngradeFailure to payRepudiation/moratoriumRestructuringCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall6Mechanics of Single Name Swap Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall7Swap Premium Quarterly Premium = Notional Amount x Swap Rate x (Actual Num

5、ber of Days in Quarter) / 360 Occurrence of credit event No further payments of the swap premium by the protection buyerTermination value is determined for the swapCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall8Concerns with New Credit Risk Transfer Vehicles Counterparty risk Leg

6、al risk Risk of failure of market participants to understand associated risk High concentration of risk“Adverse selection” AIGs Collapse (Concentration Risk)AIG largest insurance company in the worldFinancial products division sold trillions of dollars of CDS on US subprime mortgagesCompany failed w

7、hen US housing market sunk and they were called on guarantee of MBS/CMOCost to US taxpayers to save company $182.5BCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall9AIGs CollapseAIG management was betting US house prices would never go downTotal disregard for the risk to the companyWhy no concern for risk?Not their money shareholders money, and premiums they took in allowed management to pay themselves huge bonuses (“agency problem”)Why did US government bail th