کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7364283 1479094 2018 46 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stock options and credit default swaps in risk management
ترجمه فارسی عنوان
گزینه های سهام و مبادلات اعتباری پیش فرض در مدیریت ریسک
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
The use of stock options and credit default swaps (CDS) in banks is not uncommon. Stock options can induce risk-taking incentives, while CDS can be used to hedge against credit risk. Building on the existing literature on executive compensation and risk management, our study contributes novel empirical support for the role of stock options in restraining the use of CDS for hedging purposes. Based on data of CEO stock options and CDS held by 60 European banks during the period 2006-2011, we find a negative relationship between option-induced risk-taking incentives (vega) and the proportion of CDS held for hedging. However, the extent of CDS held for hedging is found to be positively related to default risk in the period leading to the financial crisis that erupted in 2007. The findings imply that restraining the use of stock options can incentivize hedging with CDS, but this risk management strategy will not necessarily produce lower default risk in times of systemic credit crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 53, March 2018, Pages 200-214
نویسندگان
, , ,