Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence

• 成果类型: Article
• 署名作者: Yang, Jian; Zhou, Yinggang
• 署名单位: Children's Hospital Colorado; University of Colorado System; University of Colorado Anschutz Medical Campus; University of Colorado Denver; Nankai University; Chinese University of Hong Kong
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1706
• 发表日期: 2013
• 页码: 2343-2359
• 关键词: credit risk; Financial network; Systemic risk; structural VAR

摘要

Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. Specifically, we identify three groups of players, including prime senders, exchange centers, and prime receivers of credit risk information. Leverage ratios and, particularly, the short-term debt ratio appear to be significant determinants of the roles of financial institutions in credit risk transfer, while corporate governance indexes, size, liquidity, and asset write-downs are not significant. Our findings carry important implications for a new regulatory standard on capital subcharge and liquidity coverage ratio.