Credit derivatives, macro risks, and systemic risks
探讨信用衍生品带来的宏观风险，区分市场感知的信用与真实信用，分析信用违约互换名义规模过大、对冲基金参与增加等隐患，并评估系统性风险的可能性。
This paper explores some bigger-picture risks associated with credit derivatives. Drawing a distinction between the market's perception of credit and \\"real credit\\" as reflected in the formal definition of a credit event, the author examines the well-documented macro drivers of credit generally. ; The author next enumerates frequently cited concerns with credit derivatives: the exceedingly large notional trade in credit default swaps relative to outstanding debt, the increasing involvement of hedge funds in these products, and operational concerns that have surfaced in the past year or two. ; The paper then considers the possibilities of associated systemic risk, looking at the issues of modeling and proper hedging, risk management, and valuation of new and sometimes complex credit derivative instruments. ; Despite the inherent risks involved in credit derivatives, the market for these instruments continues to grow rapidly as people find them practical and beneficial for hedging risk, generating income, and distributing credit risk among a broader institutional base. Evolving market practices and safeguards should help establish a more efficient, transparent marketplace. Whether credit risk is best allocated outside of the traditional financial intermediaries remains an open question.