标题: | 交易对手风险,信用传染与财务危机预测 Counterparty Risk, Credit Contagion, and Prediction of Financial Distress |
作者: | 李汉星 Lee Han-Hsing 国立交通大学财务金融研究所 |
关键字: | 违约丛集;交易对手风险;违约预测财务危机预测;事件分析;市场反应;结构信用风险模型;Default Clustering;Counterparty Risk;Default Prediction;Event Study;MarketReaction;Structural Credit Risk Model |
公开日期: | 2009 |
摘要: | 由次贷危机所引起的全球金融风暴,已对全球金融系统产生显着的冲击,亦使投资组 合信用风险模型的建模更加受重视。违约丛集(Default clustering,也称为违约感染 credit contagion)的现象,可能导致更多银行在发生财务危机时破产,以及担保债权 凭证的损失超过其原始最保守估计。因此,学者尝试建立更符合实际状况的违约相关 模型,以冀望改善投资组合信用风险模型。先前的学者已经检视许多可能的违约丛集 解释原因,然而,现有信用风险模型中的因子或产业效用似乎无法产生符合实际的违 约丛集模式。本研究系针对其中一特别不同于其他违约感染的管道,亦即交易对手风 险进行实证分析,由于资料难以取得,以及确认直接公司交易对手的困难性高,目前 在交易对手风险的实证分析上研究非常稀少。 本研究将首先针对违约相关、信用感染以及交易对手风险的理论与实证研究进行文献 探讨,继而采取Jorion 与Zhang (2008)的研究方式,针对市场对于破产宣告中的最大 的二十家无担保债权公司进行事件分析,检视市场反应。接下来,我们将针对事件发 生后债权公司的财务危机进行分析,检视其与结构信用风险模型隐含的违约机率之关 连,尝试建立交易对手风险与财务危机的直接关联。此外,各个不同结构信用风险模 型的违约预测能力亦可再做进一步的探讨,我们主要将Merton(1974)、Black and Cox (1976)与Leland (1994)模型进行实证分析。 The global financial turmoil resulted from the subprime mortgage crisis of 2007 has significantly impacted the financial systems around the world, and raises the importance of portfolio credit risk modeling. Unexplained default clustering is a major issue for traditional credit risk models and could lead to more bank failures in periods of stress, or losses on CDOs that exceed the worst estimates. Therefore, researchers are intended to model the default correlation more realistically in order to improve the portfolio credit risk modeling. Prior researches have been examining several possible structural explanations for default clustering, also called “credit contagion.” Nonetheless, current factor or industry effects in credit risk modeling seem to be unable to reproduce the actual pattern of default clustering. Therefore, our study aims at one particular different channel of credit contagion, which is counterparty credit risk. The empirical evidences on counterparty risk are rare due to the availability of data and the difficulties in identifying direct business links between companies. This paper will first review theoretical and empirical studies of default correlation, credit contagion, and counterparty risk. Next, we will follow the pioneered work by Jorion and Zhang (2008) and examine the market reaction of the top unsecured creditors in bankruptcy filings. Thirdly, the financial distress of creditor firms subsequent to the loss of the filing of bankruptcy is only preliminarily analyzed by Jorion and Zhang (2008) in terms of the number and fraction of firms that were delisted or downgraded within one and two years. In our empirical study, we will investigate the relationship between the changes in default probabilities implied by the structural models and the subsequent events of financial distress of creditors. This is the attempt to construct a direct linkage between counterparty risk and financial distress. Furthermore, the default prediction capabilities of various structural models can also be explored further. In addition to the commonly used KMV-Merton default probability (which is commonly regarded as the volatility-adjusted leverage), we will also incorporate additional features of the well-developed structural model literature, including the exogenous default boundary (Black and Cox (1976)) as well as the endogenous default boundary (Leland (1994)) models. These structural models have been shown to be able to improve default prediction capabilities (Chen, Hu, and Pan (2006) and Chen, Lee, and Lee (2008)). |
官方说明文件#: | NSC98-2410-H009-015 |
URI: | http://hdl.handle.net/11536/101523 https://www.grb.gov.tw/search/planDetail?id=1887057&docId=312037 |
显示于类别: | Research Plans |
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