信用违约互换会计信息披露研究
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摘要
20世纪90年代后期，信用违约互换（Credit Default Swap，CDS）开始逐渐应用于管理基础金融产品的信用风险。CDS在发展成为最为活跃的金融创新产品的同时，也成为08年经济危机的诱因。CDS之所以在此次金融危机中饱受争议，与其会计信息和交易信息不透明、披露不充分有很大的关系。
我国的信用违约互换市场还处于起步阶段，但缺少经验以及相关会计准则规范的空白，各交易机构对于会计信息披露存在许多问题，在一定程度上阻碍了我国信用衍生市场的发展。国内信用违约互换市场将会在未来有广阔的发展空间，为使其更有效、安全地发挥其作用，积极开展对其会计信息披露经验现状的研究成为必然。
针对上述背景，本文以信用违约互换会计信息披露为研究对象，借鉴国外银行等金融机构在信用违约互换产品会计信息披露实务经验，分析国内信息披露规定和风险管理的缺点和不足，最后提出我国信用违约互换会计信息披露改进措施的相关建议，从而促进信用违约互换的交易在我国金融市场持续健康发展。
从结构上本文共分六个部分进行论述：第一部分阐述国内外信用违约互换理论发展概况，及本文的选题背景意义、研究方法等；第二部分介绍信用违约互换会计信息披露的相关理论，反映信用违约互换会计信息披露的必要性和重要性；第三部分结合国际会计准则及金融监管机构对信用衍生工具的披露要求发展，选取以美国国际集团AIG和美国银行等同业为代表，总结分析了金融危机后国外同业对于信用衍生工具会计信息披露的实务经验教训；第四部分介绍我国信用违约互换的发展现状，整合相关会计准则和法规相关要求和规定，分析已涉及相关业务的市场参与者会计信息披露中存在的问题；第五部分提出建立和完善我国信用违约互换会计信息披露的改进措施和建议；第六部分是本文研究结论。
本文的创新点主要有：第一，中国式CDS自2010年11月首次推出，国内对其研究比较匮乏，多为介绍性文章。本文结合我国信用衍生产品发展的实际情况，并与国外准则和应用实践展开比较借鉴，总结信用违约互换会计信息披露特点，对其在我国的发展具有现实的指导意义。第二，国内研究主要集中在信用衍生产品的定价及其在信用风险管理中的应用等方面。本文从会计信息披露的角度，分析目前我国信用违约互换信息披露存在的问题，并结合金融危机后国际组织和发达国家进行的改革，提出建立和完善信用违约互换会计信息披露改进措施和建议，促进我国信用衍生市场的发展。
In the late1990s, credit default swaps (CDS, Credit Default Swap) gradually began to beused in the management of credit risk from fundamental financial products. When credit defaultswaps has developed into the most active financial product in derivatives market, it also becamea trigger of the economic crisis in2008, which has more to do with the opacity and adequacy ofcredit derivatives accounting information.
The credit default swaps market in China is still at the initial stage. For lack of developmentexperience domestic of credit derivatives market as well as relevant accounting standards, thereare many problems of credit derivatives. These hinder the development of the domestic creditderivatives market.
This article regarded the accounting information disclosure of CRM as the research subject.Along with the current situation and existing problems in China, the paper aimed to analyze thedevelopment of the accounting standards system related to domestic and foreign creditderivatives, and critically learned disclosure experience abroad as reference. On this basis, theshortcoming and insufficient of the CRM information disclosure was summarized. Theimprovement suggestion was finally proposed to promote the credit default swaps to develophealthy in the financial market.
This paper is divided into six sections. The first section describes the status of CDSdevelopment and the exploration at home and abroad. Besides, it briefly introduces the literaturereview and study methods. The second section demonstrates the basic theory of CDS accountinginformation disclosure. These reflect the necessity and importance of CDS accountinginformation disclosure. The third section points out the characteristics and the problems offoreign disclosure requirement and situation at the basis of Bank of America and AIG Group’sannual financial reports. In addition, this part summaries the oversea experience and lessons. Theforth section analyses the problem of CDS accounting information disclosure in the relevantparticipating institutions. The financial reports in the year of2010from domestic5banksprovided abundant information to make comparison. The fifth section concludes to propose improvement measurements of CDS accounting information disclosure. Through the unremittingefforts of market participants and supervision institutions, the enhancing transparency of creditderivative disclosure from accounting standards quality to comprehensive annual reportdisclosure will provide favorable conditions for the healthy development of our country’s CDSmarket.
The innovation lies in：Firstly, according to the specific situation of Chinese CDS, thestudies in China were deficient. The improvement measurements of accounting informationdisclosure proposed in this article has practical significance in the domestic derivatives market.Secondly, so far these years, the domestic experts centered on studies mainly on creditderivative’s pricing or the risk management practice of business bank. The main points of thisarticle, such as the conclusion of disclosure at home and broad, the improvement measurementsof CDS accounting information disclosure, will fill the blank of existing domestic research.
我国的信用违约互换市场还处于起步阶段，但缺少经验以及相关会计准则规范的空白，各交易机构对于会计信息披露存在许多问题，在一定程度上阻碍了我国信用衍生市场的发展。国内信用违约互换市场将会在未来有广阔的发展空间，为使其更有效、安全地发挥其作用，积极开展对其会计信息披露经验现状的研究成为必然。
针对上述背景，本文以信用违约互换会计信息披露为研究对象，借鉴国外银行等金融机构在信用违约互换产品会计信息披露实务经验，分析国内信息披露规定和风险管理的缺点和不足，最后提出我国信用违约互换会计信息披露改进措施的相关建议，从而促进信用违约互换的交易在我国金融市场持续健康发展。
从结构上本文共分六个部分进行论述：第一部分阐述国内外信用违约互换理论发展概况，及本文的选题背景意义、研究方法等；第二部分介绍信用违约互换会计信息披露的相关理论，反映信用违约互换会计信息披露的必要性和重要性；第三部分结合国际会计准则及金融监管机构对信用衍生工具的披露要求发展，选取以美国国际集团AIG和美国银行等同业为代表，总结分析了金融危机后国外同业对于信用衍生工具会计信息披露的实务经验教训；第四部分介绍我国信用违约互换的发展现状，整合相关会计准则和法规相关要求和规定，分析已涉及相关业务的市场参与者会计信息披露中存在的问题；第五部分提出建立和完善我国信用违约互换会计信息披露的改进措施和建议；第六部分是本文研究结论。
本文的创新点主要有：第一，中国式CDS自2010年11月首次推出，国内对其研究比较匮乏，多为介绍性文章。本文结合我国信用衍生产品发展的实际情况，并与国外准则和应用实践展开比较借鉴，总结信用违约互换会计信息披露特点，对其在我国的发展具有现实的指导意义。第二，国内研究主要集中在信用衍生产品的定价及其在信用风险管理中的应用等方面。本文从会计信息披露的角度，分析目前我国信用违约互换信息披露存在的问题，并结合金融危机后国际组织和发达国家进行的改革，提出建立和完善信用违约互换会计信息披露改进措施和建议，促进我国信用衍生市场的发展。
In the late1990s, credit default swaps (CDS, Credit Default Swap) gradually began to beused in the management of credit risk from fundamental financial products. When credit defaultswaps has developed into the most active financial product in derivatives market, it also becamea trigger of the economic crisis in2008, which has more to do with the opacity and adequacy ofcredit derivatives accounting information.
The credit default swaps market in China is still at the initial stage. For lack of developmentexperience domestic of credit derivatives market as well as relevant accounting standards, thereare many problems of credit derivatives. These hinder the development of the domestic creditderivatives market.
This article regarded the accounting information disclosure of CRM as the research subject.Along with the current situation and existing problems in China, the paper aimed to analyze thedevelopment of the accounting standards system related to domestic and foreign creditderivatives, and critically learned disclosure experience abroad as reference. On this basis, theshortcoming and insufficient of the CRM information disclosure was summarized. Theimprovement suggestion was finally proposed to promote the credit default swaps to develophealthy in the financial market.
This paper is divided into six sections. The first section describes the status of CDSdevelopment and the exploration at home and abroad. Besides, it briefly introduces the literaturereview and study methods. The second section demonstrates the basic theory of CDS accountinginformation disclosure. These reflect the necessity and importance of CDS accountinginformation disclosure. The third section points out the characteristics and the problems offoreign disclosure requirement and situation at the basis of Bank of America and AIG Group’sannual financial reports. In addition, this part summaries the oversea experience and lessons. Theforth section analyses the problem of CDS accounting information disclosure in the relevantparticipating institutions. The financial reports in the year of2010from domestic5banksprovided abundant information to make comparison. The fifth section concludes to propose improvement measurements of CDS accounting information disclosure. Through the unremittingefforts of market participants and supervision institutions, the enhancing transparency of creditderivative disclosure from accounting standards quality to comprehensive annual reportdisclosure will provide favorable conditions for the healthy development of our country’s CDSmarket.
The innovation lies in：Firstly, according to the specific situation of Chinese CDS, thestudies in China were deficient. The improvement measurements of accounting informationdisclosure proposed in this article has practical significance in the domestic derivatives market.Secondly, so far these years, the domestic experts centered on studies mainly on creditderivative’s pricing or the risk management practice of business bank. The main points of thisarticle, such as the conclusion of disclosure at home and broad, the improvement measurementsof CDS accounting information disclosure, will fill the blank of existing domestic research.
引文
[1] Andrew Kasapi.信用衍生工具.于研译.上海:上海财经出版社,2002,15-24
[2] Basle Committee on Banking Supervision and the Technical Committee of the International Organizationof Securities Commissions, Framework for Supervisory Information about Derivatives and Trading Activities:Introduction of the Framework, September1998, at http://www.bis.org/publ/bcbs39.pdf, Feb.24,2010.
[3] Bernd Schmid, Anna Kalemanova. Applying a three-factor defaultable termstructure model to the pricingof credit defaut options. International Review of Financial Analysis,2002,(11):139-158
[4] Ernst&Young, IFRS7Financial Instruments: Disclosures, Article33-34,http://www.ey.com/GL/en/Issues/IFRS/Publications/IFRS_7_2nd_edition_final_version.pdf/,Feb.25,2010．
[5] FASB.SFAS157:Fair Value Measurements[S],2006.9．
[6] Frank S.Skinnera,Timothy G.Townend. An empirical analysis of credit default swaps. International Reviewof Financial Analysis,2002,(11):297-309
[7] Gim S.Seow&Kinsun Tam，The Usefulness of Derivative-related Accounting Disclosures，Reviews ofQuantitative Finance and Accounting，2002，(18):273-219.
[8] John Hull and Alan White，Valuing Credit Defaults SWAP1:No Counterparty Default Risk，Journal ofDerivatives, vol13, April2000.
[9] Patrick Houweling, Ton Vorst. Pricing default swaps: Empirical evidence. Journal of International Moneyand Finance,2005,(24):1200-1225
[10] Morris．Market Value Accounting for Banks：Pros and Cons．，Federal Reserve Bank of Kansas CityEconomics Review, Mar．／Apr1991:113—145
[11] Mason Gerety, Kenneth lehn，The Causes and Consequences of Accounting Fraud, Managerial andDecision Economics,1997,(18):587-599.
[12] Wing W．Poon．Using Fair Value Accounting For Financial Instruments．American BusinessReview．January2004：27-39
[13]巴曙松,金玲玲.巴塞尔协议Ⅲ下的资本监管进程及其影响[J].西部论丛.2010（10）
[14]毕马威KPMG《国际财务报告准则（IFRS）—保险前沿动态》，2011年3月，第13期。
[15]陈志远，岳小迪.新会计准则下衍生金融工具表内列报的影响及改进趋势研究〔J〕.当代财经，2008,(6):98-102
[16]国际会计准则(中文版).2006.E学论坛一会计资料下载bbs.exue.eom.en.178一196
[17]光大银行.2010年年度报告[Z].光大银行股份有限公司,2011.
[18]郭军,张道宏等.非对称信息下信用违约互换风险交易的博弈分析，西安理工大学学报[J],2003,(3):279-283
[19]韩琳,贾德奎.国外信用风险转移市场的发展及启示[J].经济纵横，2006,(4):59-61
[20贾斯汀·拉夏尔.次贷危机对财务信息披露带来的影响[J].中国金融.2008(17):33-34
[21]李艳、朱琪，风险估值模型在衍生金融工具自愿信息披露中的应用，中国乡镇企业会计，2006(10):95-96
[22]廖岷.次贷危机下美国对于金融监管的最新反思.新华网:2008
[23]民生银行.2010年年度报告[Z].民生银行股份有限公司,2011.
[24]宋常、周银蕊，关于衍生金融工具会计披露与列报的思考，会计之友，2006(3):62-63
[25]孙晓靓、蔡琦玮，信用违约互换应用与我国商业银行信用风险控制[J].经济理论研究，2006,(4):41-43
[26]唐弋宇.CDS会计计量方法探讨[J].农村金融研究,2009(3):58-62.
[27]兴业银行.2010年年度报告[Z].兴业银行股份有限公司,2011.
[28]王茂琪、陈秉正，AIG陷入财务困境的原因及启示[J].保险研究，2009(2):51-60
[29]王琼,陈金贤.信用衍生工具估值模型研究[J].西安交通大学学报(社会科学版),2003,(2):18-21
[30]杨雨宇、王海峰.提高衍生金融工具信息披露透明度的探讨，中央财经大学学报，2006年(7):87-92
[31]《银行间市场信用风险缓释工具试点业务指引》．银行间交易商协会．2010
[32]张波.信用风险缓释工具市场的监管变革与中国实践[J].财经科学。2011(5):1-9
[33]赵鹏飞.次贷危机对公允价值计量应用的启示[J].财会月刊.2008(9):5-6
[34]中国建设银行.2010年年度报告[Z].中国建设银行股份有限公司,2011
[35]中债信用增进投资有限公司.2010年年度报告[Z].中债信用增进投资有限公司,2011.
[2] Basle Committee on Banking Supervision and the Technical Committee of the International Organizationof Securities Commissions, Framework for Supervisory Information about Derivatives and Trading Activities:Introduction of the Framework, September1998, at http://www.bis.org/publ/bcbs39.pdf, Feb.24,2010.
[3] Bernd Schmid, Anna Kalemanova. Applying a three-factor defaultable termstructure model to the pricingof credit defaut options. International Review of Financial Analysis,2002,(11):139-158
[4] Ernst&Young, IFRS7Financial Instruments: Disclosures, Article33-34,http://www.ey.com/GL/en/Issues/IFRS/Publications/IFRS_7_2nd_edition_final_version.pdf/,Feb.25,2010．
[5] FASB.SFAS157:Fair Value Measurements[S],2006.9．
[6] Frank S.Skinnera,Timothy G.Townend. An empirical analysis of credit default swaps. International Reviewof Financial Analysis,2002,(11):297-309
[7] Gim S.Seow&Kinsun Tam，The Usefulness of Derivative-related Accounting Disclosures，Reviews ofQuantitative Finance and Accounting，2002，(18):273-219.
[8] John Hull and Alan White，Valuing Credit Defaults SWAP1:No Counterparty Default Risk，Journal ofDerivatives, vol13, April2000.
[9] Patrick Houweling, Ton Vorst. Pricing default swaps: Empirical evidence. Journal of International Moneyand Finance,2005,(24):1200-1225
[10] Morris．Market Value Accounting for Banks：Pros and Cons．，Federal Reserve Bank of Kansas CityEconomics Review, Mar．／Apr1991:113—145
[11] Mason Gerety, Kenneth lehn，The Causes and Consequences of Accounting Fraud, Managerial andDecision Economics,1997,(18):587-599.
[12] Wing W．Poon．Using Fair Value Accounting For Financial Instruments．American BusinessReview．January2004：27-39
[13]巴曙松,金玲玲.巴塞尔协议Ⅲ下的资本监管进程及其影响[J].西部论丛.2010（10）
[14]毕马威KPMG《国际财务报告准则（IFRS）—保险前沿动态》，2011年3月，第13期。
[15]陈志远，岳小迪.新会计准则下衍生金融工具表内列报的影响及改进趋势研究〔J〕.当代财经，2008,(6):98-102
[16]国际会计准则(中文版).2006.E学论坛一会计资料下载bbs.exue.eom.en.178一196
[17]光大银行.2010年年度报告[Z].光大银行股份有限公司,2011.
[18]郭军,张道宏等.非对称信息下信用违约互换风险交易的博弈分析，西安理工大学学报[J],2003,(3):279-283
[19]韩琳,贾德奎.国外信用风险转移市场的发展及启示[J].经济纵横，2006,(4):59-61
[20贾斯汀·拉夏尔.次贷危机对财务信息披露带来的影响[J].中国金融.2008(17):33-34
[21]李艳、朱琪，风险估值模型在衍生金融工具自愿信息披露中的应用，中国乡镇企业会计，2006(10):95-96
[22]廖岷.次贷危机下美国对于金融监管的最新反思.新华网:2008
[23]民生银行.2010年年度报告[Z].民生银行股份有限公司,2011.
[24]宋常、周银蕊，关于衍生金融工具会计披露与列报的思考，会计之友，2006(3):62-63
[25]孙晓靓、蔡琦玮，信用违约互换应用与我国商业银行信用风险控制[J].经济理论研究，2006,(4):41-43
[26]唐弋宇.CDS会计计量方法探讨[J].农村金融研究,2009(3):58-62.
[27]兴业银行.2010年年度报告[Z].兴业银行股份有限公司,2011.
[28]王茂琪、陈秉正，AIG陷入财务困境的原因及启示[J].保险研究，2009(2):51-60
[29]王琼,陈金贤.信用衍生工具估值模型研究[J].西安交通大学学报(社会科学版),2003,(2):18-21
[30]杨雨宇、王海峰.提高衍生金融工具信息披露透明度的探讨，中央财经大学学报，2006年(7):87-92
[31]《银行间市场信用风险缓释工具试点业务指引》．银行间交易商协会．2010
[32]张波.信用风险缓释工具市场的监管变革与中国实践[J].财经科学。2011(5):1-9
[33]赵鹏飞.次贷危机对公允价值计量应用的启示[J].财会月刊.2008(9):5-6
[34]中国建设银行.2010年年度报告[Z].中国建设银行股份有限公司,2011
[35]中债信用增进投资有限公司.2010年年度报告[Z].中债信用增进投资有限公司,2011.