摘要
高盛集团因金融欺诈被美国证券交易委员会起诉,原因是高盛集团在销售一款合成担保债务凭证ABACUS 2007-AC1时有误导性陈述,导致投资者巨额亏损。本文重点对案例中涉及的金融衍生品———RMBS、CDS和CDO的结构和风险特征进行分析,并结合CDO定价公式,对ABACUS 2007-AC1的价值下跌进行定量的分析。
The United States Securities and Exchange Commission brings the securities fraud action against Goldman Sachs, for making materially misleading statements and commissions in connection with a synthetic eollateralized debt obligation （＂CDO＂） Goldman Sachs structured and marketed to investors. This CDO product whose name is ABACUS 2007-AC1 led to a great loss to the investors. This paper mainly analyzes the structures and risk features of three derivative products including RMBS, CDS and CDO. Based on the valuation formula, the reason of ABACUS 2007-AC1 depreciation is explained.
出处
《管理评论》
CSSCI
北大核心
2012年第12期14-19,52,共7页
Management Review
基金
国家自然科学基金项目(71103179
71102129)
广义虚拟经济研究专项(GX2011-1019(Y))
教育部人文社科研究青年基金项目(10YJC630425)
中国政法大学校级人文社科规划项目
中国政法大学青年教师学术创新团队资助项目
