Научный семинар Дмитрия Виноградова (Essex Business School): «Do CDS Spreads reflect default risks? Evidence from UK bank bailouts»
В понедельник, 4 октября в ауд. Ж-822 (Покровский бульвар, 11) прошел научный семинар МИЭФ.
Докладчик: Дмитрий Виноградов (Essex Business School)
Тема доклада: «Do CDS Spreads reflect default risks? Evidence from UK bank bailouts» (pdf версия)
Abstract: CDS spreads are generally considered to reflect the credit risks of their reference entities. However, CDS spreads of the major UK banks remained stable in response to the recent credit crisis. We suggest that this can be explained by changes in loss given default (LGD). To obtain the result we first derive the probabilities of default from stock option prices and then determine the LGD consistent with actual CDS spreads. Our results reveal a significant decrease in the LGD of bailed out banks over the observed period in contrast to banks which were not bailed out and nonfinancial
companies.