风险配置的内在冲突、信用风险转移市场的脆弱性与监管改进  

Impacts of Regulation Improvement on Inherent Conflict in Risk Allocation and Fragility of Credit Risk Transfer Markets

作　　者：赵征[1] 

机构地区：[1]武汉大学经济与管理学院金融系,湖北武汉430072

出　　处：《上海金融》2012年第8期55-60,118,共6页Shanghai Finance

基　　金：教育部人文社会科学研究青年基金项目"金融体系风险配置机制的创新与优化研究--基于合约设计与交易结构的分析视角"(编号:12YJC90284;主持人:赵征);武汉大学自主科研项目(人文社会科学)(编号:20110344)的研究成果;"中央高校基本科研业务费专项资金"资助

摘　　要：信用风险转移工具的创新为金融中介提供了分散风险的灵活手段,但过度风险分担也导致激励扭曲。本文从合约设计中"风险分担"与"提供激励"内在冲突的分析入手,推导风险分担的约束条件,以此作为理论支撑,剖析信用风险转移的激励稀释效应和内生激励优化机制的局限性,以及风险转移链的复杂结构对代理问题的放大效应,阐释信用风险转移市场的脆弱性,进而为市场信息环境的监管改进提供建议。The innovations of credit risk transfer tools enable financial intermediaries to diversify their risks in a more flexible way.However,excessive risk sharing also leads to incentive distortion,which significantly contributes to the formation and spreading of sub-prime mortgage crisis.The thesis starts with the analysis on the inherent conflict between risk sharing and incentives providing and figures out the constraints of risk sharing.Based on the theoretical analysis,it explores incentives-dilution effect of credit risk transfer,the limitation of endogenous incentive optimization mechanism in CRT markets and magnification effect of the complicated structure of risk transfer chain on agency problem.By its elaboration on the fragility of CRT markets,it aims to provide advice on regulations of information of market environment.

关 键 词：风险配置 内在冲突 信用风险转移 脆弱性 

分 类 号：F832.5[经济管理—金融学]