失信风险传染会影响债券定价吗？——基于担保网络大数据的实证研究

在债券定价研究中不仅应该考虑企业自身的信用风险,还应该考虑相关网络组织的传染风险。本文基于43万笔非金融企业间的担保数据,构建了企业信用担保网络,发现失信风险作为一种广义的信用风险,在担保网络中具有传染效应,该传染效应能够影响债券的信用利差。企业的失信行为产生了三类传染效应,一是直接传染效应,无论是发债主体的担保人出现失信行为,还是被担保人出现失信行为,都会引起发债主体的信用利差上升;二是局部感染效应,如果局部担保网络中失信主体的占比提升,可能引起投资者对发债主体的“团体处罚”,导致信用利差上升;三是全局扩散效应,失信信息沿担保网络向整个市场扩散,导致债券信用利差上升。从企业所有制来看,民营企业主要受微观的直接传染效应和中观的局部感染效应影响;而国有企业主要受全局扩散效应影响;被担保人的失信风险对两类企业都有显著影响。失信风险传染效应会降低企业的再融资能力,其中局部感染效应导致企业次年的借款融资额下降,全局扩散效应导致企业次年的债券融资额下降。     

Information Transfer Effects of Bond Rating Downgrades

This paper investigates information transfer effects of bond rating downgrades measured by equity abnormal returns for industry portfolios. Industry rivals can be subject to two opposing effects, the contagion effect and the competition effect. We find that the net effect is strongly dependent on the original bond rating of the downgraded firm. For investment‐grade (speculative‐grade) firms, industry abnormal equity returns are negative (positive), which implies a predominant contagion (competition) effect. The analysis reveals a rich pattern of positive and negative correlations across negative credit events, which can be used to improve our understanding of portfolio credit risk models.     

Good and bad credit contagion: Evidence from credit default swaps

This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Positive correlations across CDS spreads imply that contagion effects dominate, whereas negative correlations indicate competition effects. We find strong evidence of contagion effects for Chapter 11 bankruptcies and competition effects for Chapter 7 bankruptcies. We also introduce a purely unanticipated event, in the form of a large jump in a company's CDS spread, and find that this leads to the strongest evidence of credit contagion across the industry. These results have important implications for the construction of portfolios with credit-sensitive instruments.     

Credit Contagion from Counterparty Risk

Standard credit risk models cannot explain the observed clustering of default, sometimes described as "credit contagion." This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential additional channel of credit contagion. Indeed, the fear of counterparty defaults among financial institutions explains the sudden worsening of the credit crisis after the Lehman bankruptcy in September 2008.     

Credit contagion in the presence of non-normal shocks

We generalize existing structural credit risk models that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution. We specify Skew-Normal and Skew-Student t densities for the underlying asset return process and estimate the derived credit loss density using sector default rates based on proprietary data from the Central Bank of Mexico for six firm sectors. We show that, out of the six sectors analyzed, there is a significant contagion effect in ‘Commerce’, ‘Services’ and ‘Transport’. Moreover, we show that the non-Gaussian modelling of the common factor provides a better characterization than its Gaussian counterpart for the ‘Services’ sector. This result has a significant impact on the shape and the corresponding Value-at-Risk levels of the ‘Services’ credit loss distribution. In this context, traditional Basel and vendor-based credit risk models are inadequate as these do not consider the individual or the joint impact of contagion and non-Gaussian asset returns.     

Systemic risk and dynamics of contagion: a duplex inter-bank network

This paper constructs a duplex banking network formed by credit relationships and information interaction via the banks’ balance sheet to model the structure of systemic risk and investigate the dynamic mechanism of contagion in terms of default and liquidity infection along with the factors that affect the extent of the contagion. We systematically explain the role that duplex banking networks play in different aspects of risk contagion. Through theoretical analysis and simulations, we conclude that asymmetric information interaction would increase the inflexibility of the system, which leads to liquidity shortage and possibly the collapse of the whole market. The weakness of systemic risk in the interior of the complex banking system can be characterized by the partial discount factor using illiquid assets in the information network. By improving the connectedness of the information network of the duplex networks, the spread of contagion can be partially slowed.     

The mechanism of credit risk contagion among internet P2P lending platforms based on a SEIR model with time-lag

The credit risk contagion of Internet peer-to-peer (P2P) lending platforms is an important part of Internet financial risk management and supervision. This study analyzes the contagion path of credit risk in Internet P2P lending. Based on complex network theory and the theory of infectious disease dynamics, the characteristics of Internet P2P lending development are combined to construct a SEIR model of credit risk transmission among Internet P2P lending platforms with time lag, and the robustness of the model is analyzed and proven. The influence of platform correlations, the susceptible immune rate, the platform elimination rate, contagion latency, the saturation coefficient, and the susceptibility input rate on credit risk contagion behavior among Internet P2P lending platforms is analyzed, using the equilibrium point and threshold value. The impact of each variable is analyzed by simulation. Corresponding countermeasures and suggestions are proposed to prevent and control credit risk contagion among these platforms.     

基于SWN-SEIRS模型的供应链金融信用风险传染测度研究

针对供应链金融信用风险传染问题,采用SWN-SEIRS模型进行仿真模拟分析.研究发现:SWN-SEIRS模型可以有效描述供应链金融信用风险传染路径与过程;网络规模扩大增加了信用风险传染的速度,增大了信用风险扩散范围;核心企业数量的上升虽然加快了信用风险传染的速度,但有效控制了信用风险扩散范围.这为供应链金融风险传染问题的研究方法开拓了新的思路,并为金融风险防范提供了决策依据.     

Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy

Immediately after Lehman Brothers’ bankruptcy, many firms disclosed their financial exposure (or lack thereof) to Lehman. This offers a clean setting to test two credit contagion channels through which a financial firm's bankruptcy can affect other firms—“counterparty risk” and “information transmission” channels. Using market microstructure variables to measure the various dimensions of contagion effects, we provide robust evidence supporting the significance of counterparty risk. Firms with exposure to Lehman suffered more severe negative effects—wider bid‐ask spread, higher price impact, greater information asymmetry, and greater selling pressure—than unexposed firms. We find mixed evidence regarding the information transmission hypothesis.     

信用违约风险传染模型的比较研究

本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免.     

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between external shocks affecting firms together are considered. The presence of correlations among firm leverage ratios and the interrelation between default probabilities and recovery rates produces clusters of defaults with low recovery rates. This has a major impact on standard risk measures such as Value-at-Risk and conditional tail expectation. Consequently, an appropriate measurement of the contagion has a tremendous effect on the capital requirement of many financial institutions.     

Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?

This study investigates the way a crisis spreads within a country and across borders by testing the investor induced contagion hypothesis through the liquidity channel on stock-bond relationships of the US and five European countries before and during the global banking and European sovereign debt crisis of 2007–2012. We provide evidence consistent with the wealth effect as a source of contagion for the majority of countries. Nevertheless, we uncover evidence of investor induced contagion sourced by the portfolio rebalancing effect for correlations involving Spanish and Italian bonds during the debt crisis. Further, we find that tight (narrow) credit spreads reduce (magnify) the wealth and portfolio rebalancing effects, which are offset by the opposite effects of risk aversion amongst investors, a dynamic that is not restricted to crisis periods.     

Bankruptcy, Counterparty Risk, and Contagion

This paper provides a unifying framework for the modeling ofvarious types of credit risks such as contagion effects. Weargue that Markov chains can efficiently be used to tackle theseproblems. However, our approach is not limited to pricing problemswith contagion. On the theoretical side, we derive pricing formulasfor three building blocks that are generalizations of contingentclaims studied in Lando (1998). These claims can be thoughtof as atoms forming the basis for all credit risk payments.Furthermore, we demonstrate that, in general, all contingentclaims exposed to credit risk satisfy a system of partial differentialequations. This is the key result to calculate prices of creditrisk claims explicitly and efficiently.     

The information content of issuer rating changes: Evidence for the G7 stock markets

We study the firm-specific and intra-industry stock market effects of issuer credit rating changes and negative watch list placements for the G7 countries. We show that both the information content and the information transfer effects of these rating signals differ considerably in terms of magnitude and in terms of direction across the G7 countries. In particular, conditional on the type of rating change we find significant contagion effects for the US, the UK and Italy, but not for the other G7 countries. Moreover, we show that in some countries abnormal industry portfolio returns associated with rating downgrades and negative watch list signals tend to be more negative for more concentrated and more heavily levered industries. Overall, our results shed new light on country-specific differences in the relevance of credit ratings as risk indicators from an equity investor's perspective, and they may also be of interest to both risk managers and financial market supervisors striving to develop more accurate credit risk models and to better assess the systemic relevance of credit ratings.     

Credit risk spillovers and cash holdings

This paper examines how credit risk spillovers affect corporate financial flexibility. We construct separate empirical proxies to disentangle the two channels of credit risk spillovers—credit risk contagion (CRC), where one firm's default increases the distress likelihood of another; and product market rivalry (PMR), where the same default strengthens the position of a competitor. We show that firms facing greater CRC have weaker subsequent operating performance and must contend with less favorable bank loan terms. Meanwhile, they accumulate more cash by issuing equity, selling assets, and reducing investment and payout. In contrast, PMR generally has opposite, albeit weaker, effects. Our findings suggest that credit risk spillovers, especially CRC, play an important role in corporate liquidity management.     

Assessing the credit risk of money market funds during the eurozone crisis

This paper measures credit risk in prime money market funds (MMFs) and studies how such credit risk evolved during the eurozone crisis of 2011–2012. To accomplish this, we estimate the annualized expected loss on each fund's portfolio. We also calculate by Monte Carlo the cost of insuring a fund against losses amounting to over 50 basis points. We find that credit risk of prime MMFs, though small, doubled from 12 basis points in June 2011 to 23 basis points in December 2011 before receding in 2012. Contrary to common perceptions, this did not primarily reflect funds’ credit exposure to eurozone banks because funds took measures to reduce this exposure. Instead, credit risk in prime MMFs rose because of the deteriorating credit outlook of banks in the Asia/Pacific region. We conclude that the increase in the credit risk of prime MMFs in the second half of 2011 reflected contagion in the worldwide banking system coupled with slowing global economic growth, not actions taken by MMFs.     

Internal or external control? How to respond to credit risk contagion in complex enterprises network

This study investigates whether and how the two risk control strategies inhibit credit risk contagion among enterprises in the network. Learning from the corporate governance of enterprises, we propose internal and external strategies, respectively. Moreover, two improved epidemic models containing internal and external strategies strategy are established to investigate the impact of the two strategies on the risk contagion. The control effect of internal and external strategies is compared through simulation analysis. The results indicate that the enterprise's financial health, the cost and ability to apply the strategies are important factors affecting the control effect of strategies. For enterprises with general financial status (susceptible enterprise), when the costs of the two strategies are the same, they should choose external strategies. For enterprises with good financial status (immune enterprises), the external strategy is a more sensible choice. Our study provides new insights into controlling risk contagion in enterprise networks.     

Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios

We present a new model of the occurence of credit events such as rating changes and defaults for risk analyses of some portfolio credit derivatives. The framework of our model is based on a so-called top-down approach. Specifically, we first consider modeling the point process of each type of credit event in the whole economy using a self-exciting intensity process. Next, we characterize the point processes of credit events in the underlying sub-portfolio using random thinning processes specified by the distribution of credit ratings in the sub-portfolio. One of the main features of our model is that the model can capture credit risk contagion simultaneously among several credit portfolios. We present a credit event simulation algorithm based on our model and illustrate an application of the model to risk analyses of loan portfolios.     

CRT市场信用风险传染机制研究

本文依据信用风险相关理论和信用风险转移的已有研究成果,从CRT市场上信用风险本身和CRT交易过程中的潜在风险、信息不对称下微观银行CRT行为中的道德风险和逆向选择问题以及金融监管、货币政策和金融创新等宏观因素波动3个方面对CRT市场上信用风险传染的作用机理和生成机制进行了深入的理论探讨,以期为我国CRT市场发展和理论研究的进一步深入提供新的思路。     

A set-valued Markov chain approach to credit default

We propose a novel credit default model that takes into account the impact of macroeconomic factors and intergroup contagion on the defaults of obligors. We use a set-valued Markov chain to model the default process, which includes all defaulted obligors in the group. We obtain analytic characterizations for the default process and derive pricing formulas in explicit forms for synthetic collateralized debt obligations (CDOs). Furthermore, we use market data to calibrate the model and conduct numerical studies on the tranche spreads of CDOs. We find evidence to support that systematic default risk coupled with default contagion could have the leading component of the total default risk.