一、主题: Credit Default Swaps and Bank Risk-Taking
二、主讲人:汤勇军,香港大学经济与bwin必赢唯一官方网站副教授,金融硕士项目主任,美国德克萨斯大学奥斯丁分校金融学博士。研究领域包括资产定价、风险管理、结构性金融工具等。他对结构性金融工具的研究取得了非常丰硕的成果,论文在多种国际性金融会议上获得最高奖项,研究成果在国际经济学和金融学顶级期刊上发表,包括American Economic Review, Journal of Finance, Journal of Banking and Finance, Journal of Financial Services Research, Journal of Financial and Quantitative Analysis, Review of Financial Studies等。
三、时间:10月10日(周四),13:30—15:00
四、地点:bwin必赢唯一官方网站主教楼913会议室
五、主持人:黄志刚,bwin必赢唯一官方网站副教授,院长助理
六、评论人:王盈,bwin必赢唯一官方网站讲师,博士
论文摘要:
This paper shows that banks issue larger loans when the borrower has an active CDS market on its debt. The results are more pronounced when there is an active CDS market referencing the borrower’s debt. The effect only exists for banks active in CDS trading. Meanwhile, banks active in CDS trading do not charge higher spread for the riskier loans they issue to CDS firms. Moreover, the average credit quality of the loans for CDS firms is lower and continues to deteriorate following initiation, compared with loans from similar firm without a CDS market. These findings suggest CDS encourages banks to take on more risk through extending riskier credits without changing pricing. A bank-level analysis suggests that such risk-taking behavior ultimately results in riskier profile for individual banks.