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上海交通大学上海高级金融学院举办“中国CDS市场的发展之路”高端论坛（图）
上海交通大学 金融市场 发展之路 论坛
2016/12/20
12月17日，上海交通大学上海高级金融学院（高金/SAIF）举办“中国CDS市场的发展之路”高端论坛，在中国首批信用违约互换（CDS）交易正式亮相一月有余之际，论坛汇聚了海内外信用风险专家与CDS市场发展研究学者，与近两百位现场观众，共同探讨CDS在中国发展的前景及其对信用市场和相关金融机构所带来的影响。2016年以来，中国信用债违约事件频出，银行不良资产状况堪忧，投资机构对信用风险的对冲需求激增...
金融创新产品风险的监管不到位是2007年美国次贷危机及2008年全球金融危机爆发的主要原因之一。在对MBS、CDO与CDS等创新产品风险及监管进行分析基础上创建的金融创新产品风险适应性监管机制框架包括风险的识别、风险的层级报告、风险的预警、风险的监管介入、风险的处理和金融危机与经济危机的预防六个部分。
Counterparty Risk and the Impact of Collateralization in CDS Contracts
Counterparty Risk Collateralization CDS
2011/7/25
Abstract: We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive t...
Collateralized CDS and Default Dependence
CVA CSA CCP swap collateral derivatives OIS EONIA Fed-Fund
2011/7/22
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have...
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...