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Three essays on credit risk management.

Shao, Yingying.

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Three essays on credit risk management.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Three essays on credit risk management./
作者:	Shao, Yingying.
面頁冊數:	94 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-10, Section: A, page: 3741.
Contained By:	Dissertation Abstracts International71-10A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3421063
ISBN:	9781124201078

Three essays on credit risk management.
Shao, Yingying.

Three essays on credit risk management. - 94 p.

Source: Dissertation Abstracts International, Volume: 71-10, Section: A, page: 3741.

Thesis (Ph.D.)--University of Arkansas, 2010.

This dissertation addresses issues on credit risk and includes two parts. The first part contains two essays discussing the valuation of credit default swap (CDS) and the effects of CDS on the riskiness of U.S. bank holding companies, respectively. The second part is composed of an essay examining the pricing effect of credit risk in the U.S. Treasury security market.

ISBN: 9781124201078Subjects--Topical Terms:

626650
Economics, Finance.

Three essays on credit risk management.
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500 $a Advisers: Wayne Lee; Pu Liu.
502 $a Thesis (Ph.D.)--University of Arkansas, 2010.
520 $a This dissertation addresses issues on credit risk and includes two parts. The first part contains two essays discussing the valuation of credit default swap (CDS) and the effects of CDS on the riskiness of U.S. bank holding companies, respectively. The second part is composed of an essay examining the pricing effect of credit risk in the U.S. Treasury security market.
520 $a The recent financial crisis has put the spotlight on credit default swaps for playing a critical role in the crisis. Understanding the obscure world of CDS makes it necessary to understand the pricing mechanisms of the CDS contracts. The first essay empirically investigates the relationship between incomplete information and the CDS spreads, which is used as a proxy for credit spreads. The sample includes CDS spreads for a large cross-section of firms from 2002 to 2008. This study shows that information uncertainty plays a significant role in explaining the variations in credit spreads, after controlling for credit risk, liquidity, and macroeconomic conditions. Credit spreads are positively related to firm-specific characteristics associated with a high information uncertainty, such as firm size, analyst following, forecast dispersion, and split credit ratings. Furthermore, the effect of information uncertainty is more pronounced for firms with poorer ratings relative to less risky firms with investment grade ratings.
520 $a The second essay investigates the implications of the use of CDS on U.S. bank risk. Banks may use CDS for hedging or trading purposes, or both. However, theory is mixed about whether bank hedging with CDS increases or decreases risk. Effective hedging should allow banks to reduce risk, although it is also possible that such risk reduction from hedging may be offset by reduced credit monitoring and increased asset or leverage risks. Using Federal Reserve FRY-9C data between 1997 and 2008, this study examines the effects of the use of CDS on bank holding companies' risk by separating the CDS users into three categories: protection buyers, protection sellers, and market makers. The results show that there is no evidence that protection buyers increase risk, but the risk profiles of protection sellers do increase, although the economic magnitude is small. The impact of CDS on the risk at market makers is also small primarily because the market makers tend to hold a small net position.
520 $a The third essay empirically examines the potential default risk of U.S. Treasury securities. U.S. Treasury securities are presumably considered default-free given the fact that U.S. Treasury is always capable of repaying its debts. However, there are legal constraints on debt issuance and reaching a legal "debt ceiling" could impair the capacity of U.S. Treasury in repaying its debts, leading to a potential default of Treasury securities. Historically, there were several times when the U.S. Federal government reached the legally binding debt limits. This study examines the market reaction to the repeated "debt ceiling" controversies between 2002 and 2006. Specifically, it seeks to answer whether the financial market charged a default risk premium to U.S. Treasury securities. The results show that for the first two of the four recurrences since the first episode in 1996, the financial market charged a small default risk premium to the Treasury securities. However, the analysis shows no significant evidence of a pricing effect in the last two recurrences. The results suggest that the financial market gradually perceived the budget standoffs as the boy who cried wolf.
590 $a School code: 0011.
650 4 $a Economics, Finance. $3 626650
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