GLOBAL FINANCIAL CRISIS: SHOULD CREDIT DEFAULT SWAP BE MADE RESPONSIBLE

Lax monetary policy, sub prime lending, asset securitization, high leverage, role of credit rating agencies, fair value accounting and credit derivative products in general had been identified as an inclusive list of reasons behind global financial crisis. However, credit default swap (CDS) had been marked as the single most heinous reason by Google, Alan Greenspan, and Warren Buffet. On the other hand financial economists in general have found many advantages of CDS including enhancing liquidity, price discovery mechanisms and others. On 4th August 2010 Reserve Bank of India has issued the draft report of the Internal Group on introduction of Credit Default Swap for Corporate Bonds for public comments. Keeping global financial crisis in mind we have become apprehensive about this product. Our study has been classified in two parts. In Part-A we have studied the basic concepts of (i) credit risk, (ii) credit derivative products in general and credit default swap in particular and (iii) valuation of credit default swap through mathematical model and numerical example. Based on the famous exploratory study by Rene M. Stutz, we have made a humble attempt to argue whether CDS has aggravated the recent global financial crisis in Part- B.

宽松货币政策、次级抵押贷款、资产证券化、高杠杆率、信用评级机构的作用、公允价值会计以及广义信用衍生品，均被列为全球金融危机的完整成因清单。然而，Google、艾伦·格林斯潘与沃伦·巴菲特则将信用违约互换（Credit Default Swap，CDS）视为单一最恶劣的肇因。但总体而言，金融经济学家认为CDS具备诸多优势，包括提升市场流动性、完善价格发现机制等。2010年8月4日，印度储备银行发布了《企业债券信用违约互换引入内部小组报告草案》，面向公众征求意见。鉴于全球金融危机的前车之鉴，我们对该产品的推出抱有审慎疑虑。本研究分为两个部分：在A部分中，我们探讨了（i）信用风险、（ii）广义信用衍生品与特定的信用违约互换的基本概念，以及（iii）基于数学模型与数值示例的信用违约互换估值方法。基于勒内·M·施图茨（Rene M. Stutz）所开展的著名探索性研究，我们在B部分尝试论证CDS是否加剧了本轮全球金融危机。