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22대 대한민국 국회 국회정보길라잡이 국회의원검색
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Title page

Contents

Abstract 2

1. Introduction 3

2. Literature 8

2.1. The link between CDS and credit risk 10

3. Data description and some stylized facts 11

3.1. CDS use and firm characteristics 14

4. CDS positions and corporate credit risk 17

4.1. Extensive CDS use and corporate credit risk 17

4.2. Intensive CDS use, over insurance and corporate credit risk 21

4.3. CDS protection and high quality borrowers 24

5. Robustness 25

5.1. Instrumental variable analysis 25

5.2. Impact of Index CDS trading 27

5.3. Four-week CDS positions 28

6. Discussion and Conclusions 29

References 31

Tables

Table 1. Variable Definitions 38

Table 2. Summary Statistics on Firm, Loan and Bond Characteristics 39

Table 3. Loan Amount by Rating 40

Table 4. Value of Bond Holdings by Rating 41

Table 5. Credit Protection Bought by Type of Credit Exposure 42

Table 6. Determinants of the Probability of a Downgrade 43

Table 7. Determinants of the Probability of Default 45

Table 8. CDS Hedge Ratios 46

Table 9. Probability of Downgrade and Over Insurance 47

Table 10. Probability of Default and Over Insurance 48

Table 11. Probability of downgrade, CDS protection and Investment Grade Firms 49

Table 12. Probability of Default, CDS protection and Investment Grade Firms 50

Table 13. Instrumental Variable Analysis 52

Table 14. CDS Positions including CDS Indexes by Type of Credit Exposure 53

Table 15. Determinants of the Probability of Downgrade - Index Trading 54

Table 16. Determinants of the Probability of Default - Index Trading 56

Table 17. Probability of Downgrade and Overinsurance - Index Trading 57

Table 18. Probability of Default and Over Insurance - Index trading 58

Table 19. Determinants of the Probability of Downgrade - Four-week Window 59

Table 20. Determinants of the Probability of Default - Four-week Window 61

Table 21. Probability of Downgrade and Overinsurance - Four-week Window 62

Table 22. Probability of Default and Over Insurance - Four-week Window 63

Figures

Figure 1. Loan Positions 35

Figure 2. Bond Positions 36

Figure 3. CDS Use and Insured Positions 37

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