具体描述
Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, and banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market; a clearly-written, pedagogical book with numerous illustrations; detailed review of real-case transactions; and a comprehensive historical perspective on market developments, including up-to-date analysis of the latest trends.
宏观经济学原理与中国实践 这是一本深入探讨宏观经济学核心理论，并将其置于中国经济转型与发展的大背景下进行分析的学术专著。本书旨在为读者提供一个理解国家经济运行规律、分析宏观经济现象、认识宏观经济政策制定逻辑的全面框架。全书共分为三个主要部分，层层递进，力求理论的严谨性与现实的贴合性相统一。 第一部分：宏观经济学基本理论框架 本部分作为全书的基石，系统梳理了宏观经济学最基础、最核心的理论体系。我们将从宏观经济学的定义、研究对象和基本方法论出发，逐步深入到国民经济核算、经济增长理论、失业与通货膨胀、总供给与总需求模型等经典范畴。 国民经济核算体系： 我们将详细介绍国内生产总值（GDP）、国民生产总值（GNP）、国民收入（NI）、可支配收入（DI）等关键宏观经济指标的计算方法、意义及其局限性。重点将阐述GDP核算在实际操作中可能遇到的挑战，以及不同核算方法（生产法、收入法、支出法）之间的联系与差异。此外，还会探讨 GNI（国民总收入）在国际收支和衡量国民富裕程度方面的作用，以及国民财富（Net Worth）的概念及其与GDP的区别。 经济增长理论： 本章节将回顾并比较索洛-斯旺模型、内生增长理论等主要经济增长模型。我们将分析技术进步、资本积累、人力资本、制度环境等对经济增长的驱动作用。特别地，会深入探讨技术进步的内涵，包括知识外溢效应、研发投入的内在回报以及创新生态系统的构建。对于内生增长理论，我们将重点关注其解释“持续增长”的能力，以及政策对促进技术创新和人力资本积累的潜在影响。 失业与通货膨胀： 这里将详细分析失业的类型（摩擦性失业、结构性失业、周期性失业、季节性失业）及其衡量方法。我们将深入探讨奥肯定律和菲利普斯曲线，并重点分析两者在不同经济周期下的适用性和局限性。对于通货膨胀，我们将区分其不同形式（温和通胀、恶性通胀、隐性通胀），并深入分析其成因，如需求拉动、成本推动、结构性因素以及货币供应量的影响。本书将特别关注滞胀（Stagflation）现象，分析其发生的条件以及宏观经济政策应对的复杂性。 总供给与总需求（AS-AD）模型： AS-AD模型是理解宏观经济短期波动的核心工具。我们将详细解析总需求曲线（AD）的构成及其影响因素（消费、投资、政府支出、净出口），以及总供给曲线（AS）的短期和长期形态及其决定因素（生产要素价格、技术水平、资源禀赋）。在此基础上，我们将运用AS-AD模型分析经济衰退、经济过热等宏观经济现象，并解释价格水平和国民收入的决定过程。 消费、投资与货币理论： 除了在AS-AD模型中的宏观体现，本部分还将单独深入剖析消费和投资这两个宏观经济的关键构成部分。我们将介绍生命周期消费理论、持久收入消费理论等，并分析收入、利率、预期、财富效应等对消费行为的影响。对于投资，我们将重点讲解资本边际效率、加速数原理，并分析利率、税收、技术创新、企业信心等对投资决策的关键作用。货币理论部分，我们将阐述货币的职能，分析货币供给的决定因素，并重点研究货币需求理论（交易性需求、预防性需求、投机性需求），以及货币数量论及其演进。 第二部分：宏观经济政策及其在中国经济中的应用 在牢固掌握了宏观经济学基本理论之后，本部分将聚焦于宏观经济政策的实践层面，尤其是这些政策在中国经济转型期的应用和成效。我们将深入分析财政政策和货币政策这两大宏观调控的“利器”，并结合中国特有的经济环境进行详细阐述。 财政政策： 本章节将详细介绍扩张性财政政策和紧缩性财政政策的工具，包括政府支出、税收、转移支付等。我们将分析财政政策在刺激经济增长、稳定物价、充分就业等方面的作用。特别地，我们会深入探讨财政赤字、国债发行及其对经济的长期影响，以及挤出效应（Crowding-out Effect）的机理与程度。在中国的实践层面，本书将梳理改革开放以来中国财政政策的演变，分析其在应对亚洲金融危机、全球金融危机、新冠疫情等重大挑战中的具体举措和效果，以及地方政府债务风险的管理问题。 货币政策： 我们将详细阐述中国人民银行（PBOC）的货币政策目标、主要工具（存款准备金率、公开市场操作、再贷款/再贴现、利率政策）及其传导机制。我们将分析货币政策在调控总需求、稳定物价、管理通胀预期、维护金融稳定等方面的作用。本书将重点讨论中国央行在利率市场化改革、汇率形成机制改革、以及应对资产泡沫方面的政策实践。特别地，会深入分析数量型工具和价格型工具在中国货币政策调控中的权衡与选择，以及逆周期和跨周期调节的思路。 宏观经济政策的协调与挑战： 宏观经济政策的有效性往往取决于财政政策与货币政策的协调配合。本章节将分析两者在目标上可能存在的冲突，以及在实际操作中如何实现协同增效。我们将探讨“双赤字”（财政赤字和贸易逆差）问题、资产价格泡沫的形成与治理、以及如何平衡短期调控与长期发展的关系。对于中国经济而言，本书还将重点分析产业政策、区域发展政策、收入分配政策等非传统宏观调控工具与财政货币政策的互动，以及如何应对外部经济冲击，维护国家经济安全。 第三部分：中国经济的转型、挑战与展望 本部分将超越一般的宏观经济理论框架，聚焦于当前中国经济面临的深层转型、突出挑战以及未来的发展前景。本书将力图提供一个既有理论高度，又具现实关切的分析视角。 中国经济的结构性转型： 我们将深入分析中国经济从要素驱动、投资驱动向创新驱动、消费驱动转型的过程。重点将探讨经济发展模式的转变，包括从工业化中后期向服务业为主导的经济结构演进，以及数字经济、绿色经济等新经济形态的崛起。本书将剖析供给侧结构性改革的内涵与实践，分析其在去产能、去库存、去杠杆、降成本、补短板等方面的作用，以及如何通过优化要素配置，提升全要素生产率。 当前中国经济面临的主要挑战： 本章节将系统梳理当前中国经济运行中的突出问题。这包括但不限于： 房地产市场的风险与调整： 分析房地产市场在经济中的角色，探讨其价格波动的原因、风险的传导路径，以及“房住不炒”政策下的市场调整方向。 地方政府债务风险： 审视地方政府举债模式、债务规模及其对地方财政的可持续性和金融体系的潜在风险，探讨化解债务风险的路径。 人口结构变化的影响： 分析人口老龄化、少子化对劳动力供给、消费需求、养老保障体系等带来的长期挑战，以及如何应对人口结构变化带来的经济社会影响。 外部环境的不确定性： 讨论全球地缘政治冲突、贸易保护主义抬头、以及全球经济下行风险对中国经济带来的外部冲击，分析中国如何构建“双循环”新发展格局以应对外部挑战。 科技创新瓶颈与“卡脖子”问题： 探讨中国在关键核心技术领域的短板，分析科技自主可控的紧迫性，以及如何通过深化科技体制改革，激发创新活力。 中国经济的长期发展前景与政策建议： 在对中国经济现状进行深入分析的基础上，本部分将展望中国经济的未来发展。我们将探讨中国经济实现高质量发展的路径，包括深化改革开放、推动科技自立自强、构建高水平社会主义市场经济体制、促进共同富裕等。本书将提出一系列政策建议，旨在帮助中国经济克服挑战，实现可持续、健康的增长，并为全球经济的稳定与发展做出贡献。重点将放在如何进一步完善宏观经济调控体系，提升经济的韧性和抗风险能力，以及在复杂多变的国际形势下，维护国家经济安全和发展利益。 本书力求以清晰的逻辑、严谨的分析和丰富的案例，为政策制定者、经济研究者、高等院校师生以及所有关心中国经济发展的读者，提供一份具有深度和广度的思想盛宴。它不仅是一本理论参考书，更是一份对中国经济现状的深刻反思和对未来发展方向的审慎探索。
作者简介
目录信息
1 Credit Risk and the Emergence of CreditDerivatives.
1.1 Credit Risk.
1.1.1 Definition and Typology of Credit Risk.
1.1.2 Characteristics of Credit Risk.
1.1.3 The Importance of Credit Risk in Capital Markets.
1.2 Assessment and Measurements of Credit Risk.
1.2.1 Bank Capital Adequacy Standards (Basel I).
1.2.2 Credit Risk Analyzed by Rating Agencies.
1.2.3 Credit Risk Measured in the Financial Markets: CreditSpread.
1.3 Traditional Methods of Credit Risk Management and theEmergence of Credit Derivatives.
1.3.1 Traditional Methods for Managing Credit Risk (IssuerRisk).
1.3.2 Counterparty Risk Management in Derivatives Markets.
1.3.3 Emergence and Advantages of Credit Derivatives.
2 Typology of Credit Derivatives and their MainApplications.
2.1 Credit Default Swaps.
2.1.1 Description of Credit Default Swaps.
2.1.2 Comparison Between the CDS Market and the Cash Market:Basis.
2.1.3 Main Variations on CDSs.
2.2 Other Credit Derivatives.
2.2.1 Credit Spread Derivatives.
2.2.2 Synthetic Replication Products.
2.3 Main applications of Credit Derivatives.
2.3.1 Applications for Institutional Investors and Other CapitalMarket players.
2.3.2 Credit Derivative Applications in Bank Management.
2.3.3 Credit Derivative Applications for Corporates.
3 Second-Generation Credit Derivatives.
3.1 Basket Credit Default Swaps.
3.1.1 First-to-Default Credit Swaps.
3.1.2 Concrete Example.
3.1.3 Extension of the First-to-Default Principle: i toj-to-Default Products.
3.2 Hybrid Products.
3.2.1 Capital-Guaranteed/Protected Products.
3.2.2 Other Hybrid Products.
3.2.3 Concrete Example of a Transaction.
3.3 Credit Indices.
3.3.1 Introduction to Credit Indices.
3.3.2 Credit Index Mechanism, Pricing and Construction.
3.3.3 iTraxx Indices: a True Innovation to BenefitInvestors.
4 Collateralized Debt Obligations.
4.1 Cash-Flow CDOs (Arbitrage CBOs and CLOs).
4.1.1 Origin of Arbitrage CBOs/CLOs.
4.1.2 Description of a CDO Structure.
4.1.3 Overview of the CBO/CLO Market and RecentDevelopments.
4.2 Balance Sheet-Driven CDOs.
4.2.1 Securitization of Bank Loans.
4.2.2 The Impact of Credit Derivatives: Synthetic CLOs.
4.2.3 Balance Sheet-Driven CDOs and Regulatory Arbitrage.
4.3 Arbitrage-Driven Synthetic CDOs.
4.3.1 The First Arbitrage-Driven Synthetic CDOs.
4.3.2 Actively Managed Arbitrage-Driven Synthetic CDOs.
4.3.3 On-Demand CDOs (Correlation Products).
5 The Credit Derivatives and Structured Credit ProductsMarket.
5.1 Overview of the Market.
5.1.1 Main Stages in the Development of the Credit DerivativesMarket.
5.1.2 Size, Growth and Structure of the Credit DerivativesMarket.
5.1.3 Size, Growth and Structure of the CDO Market.
5.2 Main Players.
5.2.1 Banks.
5.2.2 Insurance, Reinsurance Companies and FinancialGuarantors.
5.2.3 Hedge Funds and Traditional Asset Managers.
5.2.4 Corporates.
5.3 At the Heart of the Market: The Investment Banks.
5.3.1 Position of the Investment Banks in the Credit DerivativesMarket.
5.3.2 Position of the Investment Banks in the CDO Market.
5.3.3 Functions and Organization of Investment Banks.
6 Pricing Models for Credit Derivatives.
6.1 Structural Models.
6.1.1 The Black–Scholes Option Pricing Model.
6.1.2 Merton’s Structural Model of Default Risk(1976).
6.1.3 Limitations and Extensions of the Merton Model (1976).
6.1.4 Pricing and Hedging Credit Derivatives in StructuralModels.
6.2 Reduced-Form Models.
6.2.1 Hazard Rate and Credit Spreads.
6.2.2 Pricing and Hedging of Credit Derivatives in Reduced-FormModels.
6.2.3 Accounting for the Volatility of Credit Spreads.
6.2.4 Accounting for Interest Rate Risk.
6.3 Pricing Models for Multi-Name Credit Derivatives.
6.3.1 Correlation, Dependence and Copulas.
6.3.2 The Gaussian Copula Model.
6.3.3 Multi-Asset Structural Models.
6.3.4 Dependent Defaults in Reduced-Form Models.
6.4 Discussion.
6.4.1 Comparing Structural and Reduced-Form ModelingApproaches.
6.4.2 Complex Models, Sparse Data Sets.
6.4.3 Stand-alone Pricing Versus Marginal Pricing.
7 The Impact of the Development in CreditDerivatives.
7.1 The Impact of the Growth in Credit Derivatives on BankingInstitutions.
7.1.1 Far-Reaching Changes in the Capital Markets.
7.1.2 An Economic Approach to Credit Risk Management.
7.1.3 Overview of the Banks of the Twenty-First Century: theEffect of Credit Derivatives on Banks’ Strategy, Organizationand Culture.
7.2 Credit Derivatives and Financial Regulations.
7.2.1 Credit Derivatives and the New Basel II Regulations.
7.2.2 Credit Derivatives and the Instability of the FinancialSystem.
7.2.3 A More Rounded Picture.
7.3 Credit Derivatives: A Financial Revolution?
7.3.1 Introduction to Particle Finance Theory.
7.3.2 Implications of ‘Particle Finance Theory’ forthe Capital Markets.
7.3.3 An Innovation that Heralds Others.
· · · · · · (收起)
1.1 Credit Risk.
1.1.1 Definition and Typology of Credit Risk.
1.1.2 Characteristics of Credit Risk.
1.1.3 The Importance of Credit Risk in Capital Markets.
1.2 Assessment and Measurements of Credit Risk.
1.2.1 Bank Capital Adequacy Standards (Basel I).
1.2.2 Credit Risk Analyzed by Rating Agencies.
1.2.3 Credit Risk Measured in the Financial Markets: CreditSpread.
1.3 Traditional Methods of Credit Risk Management and theEmergence of Credit Derivatives.
1.3.1 Traditional Methods for Managing Credit Risk (IssuerRisk).
1.3.2 Counterparty Risk Management in Derivatives Markets.
1.3.3 Emergence and Advantages of Credit Derivatives.
2 Typology of Credit Derivatives and their MainApplications.
2.1 Credit Default Swaps.
2.1.1 Description of Credit Default Swaps.
2.1.2 Comparison Between the CDS Market and the Cash Market:Basis.
2.1.3 Main Variations on CDSs.
2.2 Other Credit Derivatives.
2.2.1 Credit Spread Derivatives.
2.2.2 Synthetic Replication Products.
2.3 Main applications of Credit Derivatives.
2.3.1 Applications for Institutional Investors and Other CapitalMarket players.
2.3.2 Credit Derivative Applications in Bank Management.
2.3.3 Credit Derivative Applications for Corporates.
3 Second-Generation Credit Derivatives.
3.1 Basket Credit Default Swaps.
3.1.1 First-to-Default Credit Swaps.
3.1.2 Concrete Example.
3.1.3 Extension of the First-to-Default Principle: i toj-to-Default Products.
3.2 Hybrid Products.
3.2.1 Capital-Guaranteed/Protected Products.
3.2.2 Other Hybrid Products.
3.2.3 Concrete Example of a Transaction.
3.3 Credit Indices.
3.3.1 Introduction to Credit Indices.
3.3.2 Credit Index Mechanism, Pricing and Construction.
3.3.3 iTraxx Indices: a True Innovation to BenefitInvestors.
4 Collateralized Debt Obligations.
4.1 Cash-Flow CDOs (Arbitrage CBOs and CLOs).
4.1.1 Origin of Arbitrage CBOs/CLOs.
4.1.2 Description of a CDO Structure.
4.1.3 Overview of the CBO/CLO Market and RecentDevelopments.
4.2 Balance Sheet-Driven CDOs.
4.2.1 Securitization of Bank Loans.
4.2.2 The Impact of Credit Derivatives: Synthetic CLOs.
4.2.3 Balance Sheet-Driven CDOs and Regulatory Arbitrage.
4.3 Arbitrage-Driven Synthetic CDOs.
4.3.1 The First Arbitrage-Driven Synthetic CDOs.
4.3.2 Actively Managed Arbitrage-Driven Synthetic CDOs.
4.3.3 On-Demand CDOs (Correlation Products).
5 The Credit Derivatives and Structured Credit ProductsMarket.
5.1 Overview of the Market.
5.1.1 Main Stages in the Development of the Credit DerivativesMarket.
5.1.2 Size, Growth and Structure of the Credit DerivativesMarket.
5.1.3 Size, Growth and Structure of the CDO Market.
5.2 Main Players.
5.2.1 Banks.
5.2.2 Insurance, Reinsurance Companies and FinancialGuarantors.
5.2.3 Hedge Funds and Traditional Asset Managers.
5.2.4 Corporates.
5.3 At the Heart of the Market: The Investment Banks.
5.3.1 Position of the Investment Banks in the Credit DerivativesMarket.
5.3.2 Position of the Investment Banks in the CDO Market.
5.3.3 Functions and Organization of Investment Banks.
6 Pricing Models for Credit Derivatives.
6.1 Structural Models.
6.1.1 The Black–Scholes Option Pricing Model.
6.1.2 Merton’s Structural Model of Default Risk(1976).
6.1.3 Limitations and Extensions of the Merton Model (1976).
6.1.4 Pricing and Hedging Credit Derivatives in StructuralModels.
6.2 Reduced-Form Models.
6.2.1 Hazard Rate and Credit Spreads.
6.2.2 Pricing and Hedging of Credit Derivatives in Reduced-FormModels.
6.2.3 Accounting for the Volatility of Credit Spreads.
6.2.4 Accounting for Interest Rate Risk.
6.3 Pricing Models for Multi-Name Credit Derivatives.
6.3.1 Correlation, Dependence and Copulas.
6.3.2 The Gaussian Copula Model.
6.3.3 Multi-Asset Structural Models.
6.3.4 Dependent Defaults in Reduced-Form Models.
6.4 Discussion.
6.4.1 Comparing Structural and Reduced-Form ModelingApproaches.
6.4.2 Complex Models, Sparse Data Sets.
6.4.3 Stand-alone Pricing Versus Marginal Pricing.
7 The Impact of the Development in CreditDerivatives.
7.1 The Impact of the Growth in Credit Derivatives on BankingInstitutions.
7.1.1 Far-Reaching Changes in the Capital Markets.
7.1.2 An Economic Approach to Credit Risk Management.
7.1.3 Overview of the Banks of the Twenty-First Century: theEffect of Credit Derivatives on Banks’ Strategy, Organizationand Culture.
7.2 Credit Derivatives and Financial Regulations.
7.2.1 Credit Derivatives and the New Basel II Regulations.
7.2.2 Credit Derivatives and the Instability of the FinancialSystem.
7.2.3 A More Rounded Picture.
7.3 Credit Derivatives: A Financial Revolution?
7.3.1 Introduction to Particle Finance Theory.
7.3.2 Implications of ‘Particle Finance Theory’ forthe Capital Markets.
7.3.3 An Innovation that Heralds Others.
· · · · · · (收起)
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提供新的金融创新的思路。外国人写的书，结构较中国人严谨。
评分提供新的金融创新的思路。外国人写的书，结构较中国人严谨。
评分提供新的金融创新的思路。外国人写的书，结构较中国人严谨。
评分提供新的金融创新的思路。外国人写的书，结构较中国人严谨。
评分提供新的金融创新的思路。外国人写的书，结构较中国人严谨。
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