What can we learn about credit risk from debt valuation adjustments?
研究美国银行控股公司采用公允价值选择权后的债务估值调整（DVA），发现DVA通常不能反映同期信用质量变化，但基于管理层输入的DVA能预测未来信用风险，表明管理层在信用风险估计上有信息优势。
Abstract Motivated by the debate about the introduction of the fair value option for (financial) liabilities (FVOL) and the requirement to recognize and separately disclose in financial statements debt valuation adjustments (DVAs), this study explores what we can learn about a firm’s credit risk from DVAs. Using a sample of US bank holding companies that elect the FVOL, we show that DVAs generally cannot be explained by the same factors that explain contemporaneous changes in bank’s credit quality. We further find that DVAs can explain future changes in credit risk when the fair value of liabilities is based on managerial inputs (Level 3). Overall our results suggest that managers have an information advantage in estimating credit risk and that DVAs provide inside information to the market.