主题：【原创】从次按危机到信贷危机（1） -- 子玉
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正如子玉兄在文中指出的那样。在interest rate swap中，双方基于那个数字来计算要交换的现金流，一般并不需要真得动用那么大的一个数额。
PAUL B. FARRELL的那篇文章也引用了BIS的估计，整个金融衍生品市场价值在11万亿左右。当然这也很吓人了。
另外根据wiki，光是interest rate swap的名义价值在2006年末就达到292万亿了。
子玉兄不在美国还对美国经济有这么广泛仔细的观察，佩服佩服。
这个我的理解有误。BIS报了，市值为11万亿。
如果是2%的坏账率的话，应该为2千亿。这个估计可能低估了。从央行救市的规模看，坏账比这个多很多。当然不仅是衍生品，其他坏账也要计算在内。
前几天我看到一个数据，好象是次级债目前最新的坏账率是5.6%。如果按次级债2万亿的规模算，坏账只有1000亿美元出头，实际上那个显然不止这点。如果按瑞银的6000亿美元坏账反算，坏账率要达到30%。
否则FED不会这么大规模救市。我也在琢磨，到底猫腻在哪里？
不是最新的,前一段时间看来的.
The banking industry is facing huge losses as a
result of the sub-prime crisis. Already banks have
announced $60bn worth of losses as many of the
mortgage bonds backed by sub-prime mortgages
have fallen in value. The losses could be much
greater, as many banks have concealed their
holdings of sub-prime mortgages in exotic, offbalance
sheet instruments such as "structured
investment vehicles" or SIVs. Although the banks
say they do not own these SIVs, and therefore are
not liable for their losses, they may be forced to
cover any bad debts that they accrue.
Also suffering huge losses are the bondholders,
such as pension funds, who bought sub-prime
mortgage bonds. These have fallen sharply in value
in the last few months, and are now worth between
20% and 40% of their original value for most asset
classes, even those considered safe by the ratings
agencies. If the banks are forced to reveal their
losses based on current prices, they will be even
bigger. It is estimated that ultimately losses
suffered by financial institutions could be between
$220bn and $450bn, as the $1 trillion in sub-prime
mortgage bonds is revalued
根据宋鸿兵的提供的数据，美国房贷的总规模为10万亿美元，其中次贷市场为13%，这就是说次贷规模为1.3万亿美元，我觉得以次贷为基础的金融衍生产品也要算上，但我没有查到这方面的确切或大体数据，凭概念估算如下：对冲基金按手头有总量的50%算，为1.95万亿，如果对冲基金放大10倍，那就是19.5万亿，加上剩下的50%=1.95万亿，总计就超过20万亿美元了。这样看来，次贷坏帐总规模约为1--2倍的美国年GDP。
以上估算是否有谱，还请子玉大侠指正。
只要亏1%，杠杆放大后就不得了。
如果亏损2000亿，杠杆是一比二十，是要投入万亿级别注资。
次贷危机主要是由杠杆,过度的债券证券化,和市场的超乐观情绪造成的.那些金融机构不可能没有看到潜在的风险,但是大家都在这个次贷市场赚那么多的钱,自己也就毫不犹豫地跟风了. 那些的评级机构严格来说也是这次危机的帮凶, 他们把那些被金融机构转了几次的, 早就不知道那个证券里成分的产品评高等级, 好让最终的投资者尽快去买, 因为AAA嘛. 现在呢, 那些评级机构是把一些的产品做降级处理了, 随后呢, 最终投资者看到了风险,不愿意去买了.没有人供应资金, 更形成了整个供应链的危机.