[20080909]RS22932_信用违约掉期：常见问题解答.pdf

1 Moorad Choudhry, “Credit Derivatives,” Handbook of Financial Instruments, F. Fabozzi ed.,(NJ: Wiley and Sons), 2002, pp. 790-797.Order Code RS22932Updated September 9, 2008Credit Default Swaps: Frequently Asked QuestionsEdward Vincent MurphyAnalyst in Financial EconomicsGovernment and Finance DivisionSummaryCredit default swaps are contracts that provide protection against default by thirdparties, similar to insurance. These financial derivatives are used by banks and otherfinancial institutions to manage risk. The rapid growth of the derivatives market, thepotential for widespread credit defaults (such as defaults for subprime mortgages), andoperational problems in the over-the-counter (OTC) market where credit default swapsare traded, have led some policymakers to inquire if credit default swaps are a dangerto the financial system and the economy. For example, the establishment of aconservatorship for the government sponsored enterprises (GSEs), Fannie Mae andFreddie Mac, in September 2008 potentially triggered credit default swap contracts withnotional value exceeding $1.2 trillion. Processing and covering these commitments maybe difficult. This report defines credit default s