信用保险及信用违约掉期(CDS)分析报告

2[e-mail]55East52ndStreet40thFloorNewYork,NY10055+12123175135+1212317545561+85225825691+85225116603ChristianSchmidt+41432852001DavidLaster+12123175587sigmaKurtKarl+12123175564sigmaAureliaZanetti+41432852544ThomasHesssigma2006615sigma©2006sigmasigmasigmasigma200663sigma20066sigma20056920057956%GDP1GDP2GDPGDP(Suretybonds)80%199040%GDP4sigma20066(Lettersofcredit)60120()50%20015sigma20066sigma(BritishCommercialInsuranceCompany)18201894HeardAct20056919,00079120053%14431514635151841369729009073120066ppA12,A85,A96sigma......3.........1200510sigma6sigma200661/*-1*......17/2000sigma7sigma2006660120234.........182348sigma2006610%20%()...............9sigma2006630%37,9002005267GDP1.3%5............Creditreform2005),Insolvenzen,Neugrundungen,Loschungen:Jahr2005,Creditreformwebsite.510sigma20066()()(2)80%()***5%3%7%6%/3%6%12%74%9%11%5%16%/13%15%15%***.........2200511sigma20066400000250000t=0T=6400,000(250,000)10%100,00090,00010,000250,00050,0003=0()5000012sigma2006615%61982200458%43%71%7433%(2004)106%(1996)120%60000100%5000080%4000060%3000040%2000020%100000%0lhsrhs15%4195520046710015(5)89199619971998199920002001200220032004200551996200582004970%60%50%40%30%20%10%0%14sigma2006610()19994(GerlingFinancial)Y2KSECTRS4.55()(/&)92000(Dun&Bradstreet)254,000Aa2Baa245170200612.52(CrystalCreditLtd)200620072008Baa2B23931999......2006101715sigma20066()27,00010,00010%15%2ISDA(ISDA)()190001700012000310004136,9805100002123(FactorsChainInternational),452006645200516sigma2006620051200070%1998200512.1%11%1110005%12000...2004200520051JP200561117sigma2006695%136,980.................................150070080013313318sigma200661219191934(BerneUnion)5520047880561(Coface)199995%13183(AIG)ACE5151991(NCM)(Atradius)Coface19941997()214.........20052001(EulerHermes)AtradiusCofaceCyC200558(6)(SACE)Etniki(CESCE)MapfreOBEAIGEulerHermes37%Atradius23%Coface18%CreditoyCaucion7%15%...6200520sigma20066199040%200580%790%80%70%60%50%40%30%20%10%0%1990199619992005**T.Dowding(1998)()27.75%AGFAGF(Allianz)(NatexisBanquesPopulaires)Coface20035Atradius(GerlingNCM)CyC199071990200521sigma20066Coface100%EulerHermesAGF68.12%27.75%,AtradiusCyC21.73%,SCO28.26%,34.95%,12.73%CreditoyCaucionConsorciodeCompensaci6ndeSeguros45.14%,SegurosCatalanaOccidenteS.A.39.35%,EspanaS.A.6.17%,GESSegurosyReaseguros5.00%,NacionaldeReaseguros2.69%,1.65%(Bloomberg)153.......CarlShapiroHalR.Varian19981522sigma2006620046620056981998432004662%2%3%12%17%1%2%81%73%4%3%1998100%GDP16966819982004GDP1623sigma20066170.06%GDP0.05%0.04%0.03%0.02%0.01%0.00%32(10)170.14%GDP0.12%0.10%0.08%0.06%0.04%0.02%0.00%0%20%40%60%80%100%120%140%160%180%GDP919902004102004GDPGDP1017000024sigma20066200438GDP20%182%30%(11)200319001930%20%10%0%(1000)(1000(1.5)1.5)400070%1118NicholasWilsonDonLeahy1998192003200325sigma20066202122%1234520.911.646.57.014.00.02.030.022.046.07.07.034.923.327.9/7.319.534.112.226.825.010.739.314.310.7Leeds200520200411211.42219942004104(2003)11A.M.Best7.5()26sigma2006620041.522320041.87242520041.5223242527sigma20066200311995:1,4902004:5,86017%23%14%18%19%12%1%2%49%45%Datastream,121995200428sigma20066250,000Bloomingdale3870761%914......26...26Suretybondsatwork29sigma2006663%27()30%100%90%80%70%60%50%40%30%20%10%0%(14)132003...30sigma200660.5%2%()...14...()()()(()...()()()()31sigma20066()()(1)(2)(3)((4)()()3C(Capital,Capacity,Character)......()32sigma20066()()()()6%36%28...35()............28ThomasGersbach,,,ACORD,2002521.33sigma20066(ERM)(15)1958200438%1985198620012002......34sigma20066100%80%60%40%20%0%2000EnronModernContinentalDillinghamJ.A.Jones(5)1998199820041(St.PaulGroup)(St.PaulTravelersGroup)2CNACNA3Reliance4SAFECO5Chubb6(LibertyMutual)7SAFECOHartfordInsuranceGroup8Fireman'sFundHICA9AmwestARCHCAPITALGROUP10FrontierXLAMERICA11ChubbInternationalFidelity12GreatAmerican1314GreatAmericanAmericanContractorsIndemnity15KemperNASSurety1519582004%19985199820041535sigma2006650%2000()2925%2936sigma2006625%()3080%(16)20047620057956%16200376M.Berry,P.Runty,TWood,H.J.Layback2005):3037sigma200661998542004762%57%56%11%7%4%4%8%10%21%21%1998100%(GDP)(18)0.12%0.10%0.08%0.06%0.04%0.02%0.00%1719982004182004(GDP)38sigma200661990(19GDP0.10%0.08%0.06%0.04%0.02%0.00%4310020058.8520%(20)18931935(MillerAct)100,00025,000(LittleMillerActs)19901919902004(GDP)......39sigma200662004843150%40%30%20%10%0%199019961999200520045.4560505020199020053140sigma20066Leydelacontratacionpublica20043.16411()75--20042.6190%32()20047.77(SGIC)30%(FSS)32200541sigma200661.433()70%70%80%10%15%3342sigma20066GDP20055920151334.2%5%7%(21)(/GDP)8%6%4%2%0%19506.2%3.8%352120052006(1)2%(2)GDP(3)GDP1%()343543sigma20066400020057920151463.7%(22)8%6%4%2%0%222005201544sigma2006660%45sigma20066......46sigma20066(()GDP()(()GDP()))1998200419982004200420041998200419982004200420043508478781%73%0.03712.8982140418%18%0.0113.86027131