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Gestion d'actifs et dérivés de crédit : opportunités et incertitudes

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  • François-Louis Michaud

Abstract

[eng] Asset management and credit derivatives : opportunities and uncertainties . The qualified success of credit derivatives results from the very promising possibilities they offer in terms of investment opportunities and portfolio diversification. However, the market is still in its infancy : volumes represent a small fraction of the underlying credit, risk is being transferred on a thin population of credits and liquidity increases only gradually. Those products also bring new challenges, insofar as they not only modify the way borrowers are selected and monitored, but also strengthen relationships between market segments and affect the spreading of risks within the financial system. It is therefore not a surprise that regulators have paid considerable attention to the development of this market, acknowledging its potential benefits, as well as underlying the importance of thorough risk management and post-market processes and calling for enhanced market information. . JEL classification : G11, G12, G14, G28 [fre] Le formidable succès des dérivés de crédit atteste des possibilités extrêmement larges qu’ils offrent en termes d’opportunités d’investissement et de diversification de portefeuille. Mais ce marché n’en est encore qu’à ses débuts : les encours restent modestes au regard du sous-jacent, le transfert s’effectue sur une population de crédits encore relativement étroite et la liquidité ne s’accroît que progressivement. Ces produits font également apparaître de nouveaux défis, dans la mesure où ils transforment le processus de sélection et de surveillance des emprunteurs, renforcent les interactions entre compartiments de marché et affectent la répartition des risques au sein du système financier. C’est ce qui explique la vigilance des régulateurs, qui sont sensibles aux bénéfices potentiels de ce marché, mais souhaitent que les acteurs disposent de systèmes de traitement des opérations et de gestion des risques à la hauteur des enjeux et que la qualité de l’information s’améliore. . Classification JEL : G11, G12, G14, G28

Suggested Citation

  • François-Louis Michaud, 2005. "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 79-93.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_79_2_3971
    DOI: 10.3406/ecofi.2005.3971
    Note: DOI:10.3406/ecofi.2005.3971
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    References listed on IDEAS

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    1. Franck Packer & Haibin Zhu, 2005. "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
    2. Bank for International Settlements, 2003. "Credit risk transfer," CGFS Papers, Bank for International Settlements, number 20, december.
    3. Ingo Fender & John Kiff, 2004. "CDO rating methodology: Some thoughts on model risk and its implications," BIS Working Papers 163, Bank for International Settlements.
    4. Jeffery D Amato & Jacob Gyntelberg, 2005. "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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