Auteurs : DECAMPS Jean-Paul; VILLENEUVE Stéphane (Toulouse School of Economics)
Intervenants : DECAMPS Jean-Paul (Toulouse School of Economics) email@example.com
We focus on structural models in corporate finance with roll-over debt structures in the vein of Leland (1994) and Leland and Toft (1996). We show that these models incorrectly assume that the optimal default is defined by the first time such that the firm's assets reaches a sufficiently low positive threshold that must be optimally determined. We characterize the optimal default policy and explain that the existing literature overestimates the probability of default and underestimates the equity value.
Auteurs : COPELAND Laurence; ZHU Yanhui (Cardiff Business School)
Intervenants : COPELAND Laurence (Cardiff Business School) copelandL@cf.ac.uk
Auteurs : PERIGNON Christophe (HEC Paris); JONES Robert A. (Simon Fraser University, Vancouver)
Intervenants : PERIGNON Christophe (HEC Paris) firstname.lastname@example.org
In this paper, we analyze empirically the clearing house exposure to the risk of default by a clearing house member. Using actual daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange’s clearing house, we identify many occurrences when the member’s daily loss exceeds his posted margin. Furthermore, we find that the major source of default risk for a clearing member is proprietary trading and not trading by customers. In order to quantify the default risk exposure, we provide a characterization of the tail risk of the clearing house using Extreme Value Theory. We then design and price a realistic insurance contract covering the loss to the clearing house from default by one or several clearing members. We investigate the impact on the insurance premium of including data from the Black Monday of 1987 in our sample. Our empirical analysis also allows us to put a dollar amount on the service provided by the Federal Reserve, which is the implicit insurer of the clearing house.
Auteurs : LECCADITO Arturo & TUNARU Radu & URGA G. (Cass Business School)
Intervenants : TUNARU Radu (Cass Business School) email@example.com
Credit default risk for an obligor can be hedged away with either a credit default swap (CDS) contract or the alternative constant maturity credit default swap contract (CMCDS). An economic agent should be indifferent to which instrument is used since both cover the same risk with identical payoffs. On a large universe of obligors we find strong evidence that there is persistent difference in the hedging premia carried by the two comparable contracts. It appears that, in general, it is more profitable to sell CDS and buy CMCDS. In addition, as expected, the implied forward CDS rates are not an unbiased estimate of the future spot CDS rates.Retourner au planning de la conférence