信用违约互换指数:市场发展与应用实践  

Credit Default Swap(CDS)Index:Market Development and Practices

作　　者：黄轶 陈振宏 HUANG Yi;CHEN Zhenhong(Financial Markets Department,Bank of Communications Co.,Ltd.;Fixed Income Department,China International Capital Corporation Lid.)

机构地区：[1]交通银行股份有限公司金融市场部 [2]中国国际金融股份有限公司固定收益部

出　　处：《金融市场研究》2025年第3期1-20,共20页Financial Market Research

基　　金：中国银行间市场交易商协会金融衍生品专委会课题《信用违约互换指数风险管理实践及建议》研究成果,其他参与成员包括交通银行股份有限公司的李瑢、郭远、李荟均、黄迪;中国国际金融股份有限公司的时雨、杜婷、郭步超,招商银行股份有限公司的戴志英,德意志银行(中国)有限公司的徐肇廷、丁劭杰、冯楚超,国泰君安证券股份有限公司的林宁、陈寅聪,中国人民保险资产管理有限公司的王小虎,银行间市场清算所股份有限公司的郭渝、蔡悦、侯哲,中债资信评估有限责任公司的许静怡、闫丽琼、管婧。

摘　　要：CDS指数具有参考实体信用风险分散、标准化程度高、交易机制高效、市场流动性好、数据透明度高等特点,是境外主流的信用衍生品,但境内仍处于发展初期。本文介绍了境外CDS指数市场的发展概况,梳理了境外CDS指数主流产品序列、核心产品要素以及重要运行机制,并聚焦境外CDS指数在信用利差波动风险对冲、信用风险监测预警以及交易策略构建方面的应用。在此基础上,本文从CDS指数产品特性的角度出发,建议从加强产品属性和最佳实践宣传推广、优化CDS指数的编制方法、提升CDS指数合约标准化程度、推动CDS指数适时纳入集中清算促进境内CDS指数市场发展,同时基于调研针对CDS指数交易的风险管理,提出了采取整体授信模式管理参考实体信用风险、多元化交易对手风险管理措施、注意错向风险管理、加强市场风险识别计量的具体操作建议。The Credit Default Swap(CDS)index is characterized by the dispersion of reference entity credit risk,high standardization,efficient trading mechanisms,good market liquidity,and high data transparency.It is a mainstream credit derivative product in the offshore market,but is still in its infancy domestically.This paper traces the development of the offshore CDS index market and reviews the mainstream product series along with the core product elements and key operating mechanisms.It also examines the applications of the offshore CDS index in hedging credit spread volatility risk as well as credit risk monitoring and trading strategies.Based on the characteristics of the CDS index product,this paper makes four proposals to promote the development of the onshore CDS index market:strengthenthe promotion of product attributes and best practices,optimize the compilation method of the CDS index,enhance the standardization of CDS index contracts,and promotethe timely inclusion of the CDS index in central clearing.Additionally,based on surveys,the paper also provides specific operational suggestions for managing reference entity credit risk through an overall credit line model,diversifying counterparty risk management measures,paying attention to wrong-way risk management,and strengthening market risk identification and measurement.

关 键 词：CDS指数 交易应用 风险管理 

分 类 号：F832[经济管理—金融学]