Credit Derivatives and Loan Pricing
Credit Derivatives and Loan Pricing
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DOI：
10.2139/ssrn.965812
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发表时间：
2007-11
期刊：
影响因子：
--
通讯作者：
Lars Norden;W. Wagner
中科院分区：
文献类型：
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作者：
Lars Norden;W. Wagner
本文研究了信用违约互换（CDS）新市场与美国企业银团贷款定价之间的关系。我们发现，CDS利差的变化有一个显着的正系数，并解释了2000-2005年期间总贷款利差随后的月度变化约25%。此外，与传统的贷款定价因素相比，它们是贷款息差的主要决定因素。特别是，它们对贷款利率的解释比相同评级的债券好得多。这表明，尽管CDS和债券市场可能同样对市场信用风险进行定价，但CDS价格的很大一部分还包含特定于贷款的信息。我们还发现，随着时间的推移，来自CDS市场的新信息会更快地融入贷款，但来自其他市场的信息则不然。我们认为，这表明CDS市场影响银行的贷款定价行为，从而对经济中的实际融资决策产生影响。
This paper examines the relationship between the new markets for credit default swaps (CDS) and the pricing of syndicated loans to U.S. corporates. We find that changes in CDS spreads have a significantly positive coefficient and explain about 25% of subsequent monthly changes in aggregate loan spreads during 2000-2005. Moreover, when compared to traditional loan pricing factors, they turn out to be the dominant determinant of loan spreads. In particular, they explain loan rates much better than same rated bonds. This suggests that, even though CDS and bond markets may equally price market credit risk, a substantial part of CDS prices additionally contains loan-specific information. We also find that, over time, new information from CDS markets is incorporated into loans faster, but information from other markets is not. We argue that this indicates that the markets for CDS influence banks’ loan pricing behavior and thus have an impact on actual financing decisions in the economy.