Credit Contagion from Counterparty Risk (Record no. 31111)

MARC details
000 -LEADER
fixed length control field 01347pab a2200205 454500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140923b0 xxu||||| |||| 00| 0 eng d
040 ## - CATALOGING SOURCE
Transcribing agency Welingkar Institute of Management Development & Research, Mumbai
Original cataloging agency Welingkar Institute of Management Development & Research, Mumbai
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title ENG
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number
Item number Jor
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Jorion Philippe
245 ## - TITLE STATEMENT
Title Credit Contagion from Counterparty Risk
250 ## - EDITION STATEMENT
Edition statement 5
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc.
Name of publisher, distributor, etc. Oct 2009
Date of publication, distribution, etc. 0
300 ## - PHYSICAL DESCRIPTION
Extent 2053-2088 Pp.
490 ## - SERIES STATEMENT
Volume/sequential designation 64
520 ## - SUMMARY, ETC.
Summary, etc. 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.<br/><br/>
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Credit Risk, Credit Contagion
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR11327.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR11327.pdf</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
a 33997
Holdings
Withdrawn status Lost status Damaged status Not for loan Home library Current library Date acquired Cost, normal purchase price Total Checkouts Full call number Barcode Date last seen Cost, replacement price Price effective from Koha item type
        Main Library Main Library 05/02/2010 0.00   Jor AR11327 23/09/2014 0.00 23/09/2014 Articles

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