金融衍生品案例研究：高盛金融欺诈案

摘要

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.%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ABACUS2007-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ABACUS2007-AC1的价值下跌进行定量的分析。