Does the Introduction of One Derivative Affect Another Derivative? TheEffect of Credit Default Swaps Trading on Equity Options

讲座名称: Does the Introduction of One Derivative Affect Another Derivative? TheEffect of Credit Default Swaps Trading on Equity Options
讲座时间 2017-02-24
讲座地点 主A-104
讲座人 金涌
讲座内容
讲座二:
讲座题目:Does the Introduction of One Derivative Affect Another Derivative? TheEffect of Credit Default Swaps Trading on Equity Options
讲座时间:2017年2月24日下午3:30-4:30
讲座地点:主A-104
主持人:曾卫红
讲座人:金涌
论文摘要:There are numerous derivatives, often on the sameunderlying firms, in the financial markets. However, little is known about the interactions between different typesof derivatives. In this paper, we show that the inception of creditderivatives, represented by credit default swaps (CDS), makes the equityoptions on the same underlying firm more expensive. The expensiveness of optiondue to CDS trading is not completely driven by the increased riskiness of thefirm because the delta-hedged equity option returns, which account forunderlying stock price movement, are lower. The effect of CDS trading is morepronounced for call options than put options. The evidence is consistent withthe view that CDS trading crowds out option trading, option dealers chargehigher option premiums due to limited intermediation capacity.
 

 

讲座人介绍
个人简介:金涌博士现任香港理工大学金融学助理教授。他于2016年获得佛罗里达大学金融学博士及计量金融博士学位,并且持有香港中文大学风险管理(荣誉)学士及哲学硕士学位。加入香港理工大学之前,曾任摩根士丹利(纽约)策略模型部量化经理,工银国际投行部分析员等。他的研究领域为实证资产定价,金融衍生品,以及金融科技跨学科研究,并发表文章于Risk Magazine, Decision Support Systems, Journal of Risk等杂志。
金涌教授在多个国际会议及机构获奖,包括摩根士丹利市场研究优异奖(Prize for Excellence in Financial Markets),及获得包括加拿大IFSID拨付的研究基金在内的多项研究资金支持。他曾任教于佛罗里达大学,并且获得佛罗里达大学惠灵顿商学院最佳博士生教学奖。
 

讲座视频 暂无视频

(转载文章,请注明出处: 西安交通大学学术资源平台 http://meeting.xjtu.edu.cn)

如果您有学术信息和动态,欢迎投稿,wuxuan@mail.xjtu.edu.cn。我们将在第一时间确认并收录