Essays on intra- and inter-industry contagion of credit risk = 신용 위험의 산업내 및 산업간 시장 전이에 관한 에세이

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This dissertation consists of two essays on intra- and inter-industry contagion of credit risk in the credit default swap market. The first essay suggests a new measure to identify supply-chain among industries based on input-output accounts to analyze inter-industry effects of filings for bankruptcies. The filings for Chapter 11 bank-ruptcy have wider inter-industry contagion effects beyond the supplier and customer industries identified with inter-firm linkage in the previous study. Since the supply chain based on input-output accounts enables much more bankruptcies to be considered to examine inter-industry effects of flings for Chapter 11 bankruptcies, thus the characteristics of filing-firms’ industries are shown to be related to inter-industry contagion effects of them. The second essay considers the prior ratings of the event-firms, and their reactions in the credit default swap market and the stock market to investigate intra-industry effects of bond rating changes, such as upgrade and downgrade. Both rating changes cause the event-firms to be affected significantly, but have no impact on intra-industry rivals on average. However, industry rivals experience competition effects when rating downgrade for the event-frim with investment grade as the prior rating leads to its wealth transference from bondholder to stockholders. And rating downgrade causes industry rivals to experience contagion effects when the event-firm with speculative grade suffer from it in the credit default swap market.
Advisors
Kim, Jinyongresearcher김진용researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학부, 2018.2,[iii, 77 p. :]

Keywords

Bankruptcy▼abond rating▼acredit default swap▼asupply-chain▼ainput-output accounts▼aintra-industry effect▼ainter-industry effect▼awealth-transference; 파산▼a채권 신용 등급▼a신용 부도 스왑▼a공급 사슬▼a투입산출표▼a산업내 전이▼a산업간 전이▼a부의 이전

URI
http://hdl.handle.net/10203/264423
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=842549&flag=dissertation
Appears in Collection
MT-Theses_Ph.D.(박사논문)
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