企业层面政治风险对债权人控制的影响

Journal of Fixed Income Pub Date : 2019-05-22 DOI:10.3905/jfi.2019.1.070

Maksim Isakin, Xiaoling Pu

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引用次数: 2

摘要

本文考察了公司层面的政治风险对债权人控制权价值的影响，债权人控制权的价值以债券价格和同等无控制权的合成债券的溢价差来衡量。合成债券是根据信用违约掉期合同构建的。我们实证发现，债权人控制权的价值随着公司层面政治风险的增加而增加，尤其是在投资级评级、规模大、杠杆率低或股权波动率低的公司中。这种影响在经历财务约束或行业冲击的公司中似乎更为明显。在大的党派冲突时期，企业层面的政治风险对债权人控制权价值的影响降低。主题：固定收益和结构化金融、信用违约掉期、信用风险管理、信息提供商/信用评级

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Impact of Firm-Level Political Risk on Creditor Control

This article examines the impact of firm-level political risk on the value of creditor control, which is measured as the premium difference in the bond price and an equivalent synthetic bond without control rights. The synthetic bond is constructed from the credit default swap contract. We find empirically that the value of creditor control increases as the firm-level political risk increases, especially among firms with investment-grade ratings, large size, low leverage, or low equity volatility. This effect appears to be more pronounced among firms experiencing financial constraints or industry shocks. During periods of great partisan conflicts, the impact of firm-level political risk on the value of creditor control decreases. TOPICS: Fixed income and structured finance, credit default swaps, credit risk management, information providers/credit ratings

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.