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Jurnal

Journal of Banking and Finance

Keyword

• NARMA; • Network autoregression; • Counterparty risk; • Corporate credit spreads; • Supply networks

Pengarang

  1. R. Gencay
  2. D. Signori
  3. Y. Xue
  4. X. Yu, dll.

    Subject

    1. BANKING
    2. FINANCE

      [Abstrak]

      Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of financial networks that is suitable for the construction of proxies for counterparty risk. Using data on North American supplier–customer network of public companies, we find that, for each supplier, counterparties’ leverage and option implied volatilities are significant determinants of corporate credit spreads in the period after the 2008–2009 U.S. recession. Our findings are robust after controlling for several idiosyncratic, industry, and market factors.

      Periode

      Vol 55, Tahun 2015

      [Berkas]

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