Credit Contagion from Counterparty Risk
首次实证分析对手方风险导致的信用传染，发现破产公告使债权人股票异常下跌、CDS利差上升，且大额暴露的债权人更易陷入财务困境，解释了2008年雷曼破产后信用危机恶化的原因。
ABSTRACT Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We find that bankruptcy announcements cause negative abnormal equity returns and increases in CDS spreads for creditors. In addition, creditors with large exposures are more likely to suffer from financial distress later. This suggests that counterparty risk is a potential additional channel of credit contagion. Indeed, the fear of counterparty defaults among financial institutions explains the sudden worsening of the credit crisis after the Lehman bankruptcy in September 2008.