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一、引言当前的市场经济就是信用经济,市场风险就是信用风险。信用衍生产品是国际互换和衍生品协会(ISDA)[1]为了描述这种新型OTC[2]合约于1992年创造的新名词。依据ISDA的定义,信用衍生工具是一种场外双边合约,其价值是从基础信用工具衍生而来。在这一合约下,双方同意互换商定的或者是根据公式确定的现金流,现金流的确定依赖于预先设定的未来一段时间内信用事件的发生。2003年4月发布的巴塞尔新资本协议(TheNewBaselCapitalAccord,BaselII)第三次征求意见稿,从资本监管角度,允许银行承认不涉及重组问题的作为风险缓释工具(CreditRiskMitigation)的信用衍生工具。只认可信用违约互换(CDSs)和总收益互换(TRSs)提出的信用保护与担保。
I. Introduction The current market economy is the credit economy, the market risk is the credit risk. Credit Derivatives is a new term created by the International Association of Interchange and Derivatives (ISDA) [1] in 1992 to describe the new OTC [2] contract. According to the ISDA definition, a credit derivative is an off-site bilateral contract whose value is derived from the underlying credit instrument. Under the contract, both parties agree to exchange the cash flow agreed or determined according to the formula. The determination of cash flow depends on the occurrence of a credit event in a predetermined period of time in advance. The third draft of the Basel II, issued in April 2003, allows banks to recognize credit derivatives as credit risk mitigation tools that do not involve restructuring issues from a capital regulatory perspective. Only recognize the credit protection and guarantee provided by CDSs and TRSs.