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1 |
The real effects of credit default swaps
تاثیرات واقعی معاملات اعتباری پیش فرض-2018 We examine the effect of introducing credit default swaps (CDSs) on firm value. Our model allows for dynamic investment and financing, and bondholders can trade in the CDS market. The model incorporates both negative and positive effects of CDSs. CDS markets lead to more liquidations, but they also reduce the probability of costly debt renegotiation and reduce costly equity financing. After calibrating the model, we find that firm value increases by 2.9% on average with the introduction of a CDS market. Firms also invest more and increase leverage. The effect on firm value is strongest for small, financially constrained, and low productivity firms.
keywords: Credit default swaps |CDS |Empty creditor |Restructuring |Bankruptcy |
مقاله انگلیسی |
2 |
Detecting abnormal changes in credit default swap spreads using matching-portfolio models
شناسایی تغییرات ناهنجار در گستره های معاملاتی اعتباری پیش فرض با استفاده از مدلهای تطبیق با دارایی-2018 We evaluate the size and power of different statistical tests and adjustment methods for matching-portfolio models to detect abnormal changes in credit default swap (CDS) spreads. The sign-test generally dominates the signed-rank test in terms of size, and dominates both the t-test and the signed-rank test in terms of power. Traditional adjustment methods often lead to a misspecified sign-test. We propose a new and parsimonious method (the spread-matched method), which leads to a well-specified and more powerful sign-test. The superiority of the spread-matched method is particularly evident for observations characterized by extreme levels of CDS spread. Analyses of CDS samples differing by contract maturity, data source, and time period confirm these results. We perform an event study on rating downgrades to illustrate how the choice of tests and adjustment methods can affect inference.
keywords: Event studies |Credit default swaps |Matching-portfolio models |Size and power of tests |
مقاله انگلیسی |
3 |
Stock options and credit default swaps in risk management
گزینه های سهام و مبادلات اعتباری پیش فرض در مدیریت ریسک-2018 The use of stock options and credit default swaps (CDS) in banks is not uncommon. Stoc
options can induce risk-taking incentives, while CDS can be used to hedge against cred
risk. Building on the existing literature on executive compensation and risk managemen
our study contributes novel empirical support for the role of stock options in restrainin
the use of CDS for hedging purposes. Based on data of CEO stock options and CDS hel
by 60 European banks during the period 2006–2011, we find a negative relationshi
between option-induced risk-taking incentives (vega) and the proportion of CDS held fo
hedging. However, the extent of CDS held for hedging is found to be positively related t
default risk in the period leading to the financial crisis that erupted in 2007. The finding
imply that restraining the use of stock options can incentivize hedging with CDS, but th
risk management strategy will not necessarily produce lower default risk in times of sys
temic credit crisis.
Keywords: Stock options ، Credit default swaps ، Risk management ، Vega ، Bank risk-taking ، Credit crisis |
مقاله انگلیسی |
4 |
Corporate governance and default risk in financial firms over the post-financial crisis period: International evidence
حاکمیت شرکتی و پیش فرض خطر در شرکت های مالی در دوره بحران پس از بحران: شواهد بین المللی -2018 This paper investigates the relationship between default risk and corporate governance for
financial firms in 28 countries outside of North America in the post-financial crisis period,
where default risk is measured by both credit default swap (CDS) spreads and estimated by
a Merton-type model. Reduced default risk helps the stock market rebound during the
post-crisis period. Both internal governance variables, including institutional and insider
ownership, board composition and CEO power, and external regulatory factors, are exam
ined and they show significant effect on default risk. In addition, the impacts of various
governance variables are continent-specific: they have a higher impact on default risk
for Asian firms than for European firms. Regulatory factors are important moderators of
the governance mechanisms for banks: higher Tier 1 capital ratios reduce both CDS and
fundamental default risk; recipients of secret emergency loans from the US Federal
Reserve System (the Fed) exhibit lower CDS spreads post-crisis but higher fundamental
default probabilities.
Keywords: Institutional investors ، Default risk ، Corporate governance |
مقاله انگلیسی |
5 |
The state dependent impact of bank exposure on sovereign risk
تاثیر مستقل از وضعیت در معرض قرارگیری بانک روی خطر دولتی -2018 The theoretical literature remains inconclusive on whether changes in bank exposure to the domestic sovereign have an adverse effect on the sovereign risk position through a diabolic loop in the sovereign-bank nexus, or reduce perceived default risk by acting as a disciplinary device for the sovereign. In this paper we empirically analyze the impact of exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector autoregressive in heteroscedasticity (MSH-SVAR) framework for a set of EMU countries. We add to the methodological literature by allowing for regime dependent shock transmissions according to the volatility state of the financial system. Finding support for both, a stabilizing and a destabilizing effect, we document a clear clustering among the country sample: rising bank exposure increased default risk for the EMU periphery, but decreased credit risk for the core EMU countries during times of financial stress.
keywords: Markov-switching |Heteroscedasticity |Identification |Sovereign-bank interlinkages |Sovereign risk |Credit default swap |Contagion |
مقاله انگلیسی |
6 |
Securitization bubbles: Structured finance with disagreement about default risk
حباب های سهامی سازی: سرمایه گذاری ساختاریافته با مخالفت درباره خطر پیش عدم پرداخت بدهی-2018 An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists’ demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching.
keywords: Structured finance |CDO |RMBS |Disagreement |Default correlation |Credit risk |Great recession |Housing bubble |
مقاله انگلیسی |
7 |
What determines bank CDS spreads? Evidence from European and US banks
چه چیزی گسترش CDS بانک را تعیین می کند؟ شواهدی از بانک های اروپا و آمریکا-2017 We examine the determinants of CDS spreads for a sample of European and US banks. The
key balance sheet determinants are leverage, asset quality, funding stability, and bank size,
and the key market determinants are equity returns, the term structure of interest rates
and bank-specific and host country sovereign credit risk. Our results would appear to con
firm the applicability of Merton (1974)-type models extended to include market variables
to the understanding of bank credit risk.
Keywords: Credit default swaps | Bank credit risk | Balance sheet variables | Market variables |
مقاله انگلیسی |
8 |
Pitfalls and Perils of Financial Innovation: The Use of CDS by Corporate Bond Funds
مشکلات و خطرات نوآوری مالی: استفاده از CDS توسط شرکت صندوق اوراق قرضه-2015 We use the financial crisis of 2007–2009 as a laboratory to examine the costs and
benefits of teams versus single managers in asset management. We find that when a
fund uses complex trading strategies involving the use of CDS team-managed funds
outperform solo-managed funds. This may be due to the greater diversity of
expertise, experience and skill of teams relative to single managers. During the
financial crisis, however, the performance premium of teams becomes negative,
which may be because of the slower decision times of teams, which are especially
costly during times of rapidly changing market conditions.
Key Words: Mutual funds, management teams, financial crisis, credit default swaps,
performance, market timing |
مقاله انگلیسی |