Credit Contagion from Counterparty Risk

• 成果类型: Article
• 署名作者: Jorion, Philippe; Zhang, Gaiyan
• 署名单位: University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01494.x
• 发表日期: 2009
• 页码: 2053-2087
• 关键词: trade credit; announcements; transactions

摘要

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.