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信用違約交換合約( CDS ):保險、 避險、投機還是大規模毀滅性金融武器?. 報告人:楊君毅. CDS 在金融危機中之角色:沒有 CDS 之世界. 利息: 10% ( 100 bp ). 債券 (如投資銀行發行之 CDO ):信用等級 BB (低於投資等級). 投資機構(如退休基金) :只能 「投資等級」 之標的。. 投資: $10 million. =. CDS 在金融危機中之角色:信用保險?. 利息: 10% ( 100 bp ). 債券 (如投資銀行發行之 CDO ):信用等級 BB (低於投資等級). 投資機構(如退休基金). - PowerPoint PPT Presentation
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CDS
CDSCDS
=
CDOBB10%100 bp$10 million
CDS
CDOBB
10%100 bp$10 millionAIGAAACDS1%CDS$10 million )
CDSCredit Enhancement
CDOAAA
10% 1% = 9%900 bp$10 millionAIGAAACDS1%
CDS$10 million )AAA
CDS
CDOBB
AIGAAA
CDS1%
CDS$10 million )
CDS
10%100 bp$10 millionAIGBCDS$10 million
CDS$10 million
CDO
CDS
10%100 bp$10 millionAIGFed the Treasury DepartmentBailoutsCDS$10 million
CDS$10 million
CDO
AIGCDS
200846172008992.9
AIG
FedAIG $600400AIG
AIG
AIG haircuts
199820081003347notional value683
CDSCDSreference entityCDSreference entity
CDS ?CDS
CDS ?indemnity
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CDS
CDS
CDS
CDS
CDSCDSCDSAIGCDSWarren Buffet2003financial weapons of mass destruction
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