学术讲座信息：Does the introduction of one derivative affect another derivative?

  题  目：Does the introduction of one derivative affect another derivative? The effect of CDS trading on equity options 演讲人：汤勇军副教授 时  间：10月31日（周一）下午2点 地  点：博学楼925会议室   演讲人简介： 汤勇军博士现任香港大学金融学副教授(终身职)。其研究领域包括信用风险，资产定价、风险管理、结构性金融工具，中国信贷及债券市场等。他对信用衍生物，结构性金融产品及信用评级的研究取得了非常丰硕的成果，在国际一流期刊上发表多篇文章。先后在Journal of Finance，Review of Financial Studies，Journal of Financial Economics，Journal of Financial and Quantitative Analysis和American Economic Review (P&P)等国际顶级期刊发表论文十余篇。汤教授的研究曾获得Northern Finance Association最佳论文奖，Financial Management Association最佳论文奖，以及Eastern Finance Association Annual Meetings最佳论文奖等多个科研奖项。汤勇军教授1997年获得吉林大学理论物理学士学位，2005年获得美国德克萨斯大学奥斯汀主校区金融学博士学位。   讲座内容： There are numerous derivatives, often on the same underlying firms, in the financial markets. However, little is known about the interactions between different types of derivatives. In this paper, we show that the inception of credit derivatives, represented by credit default swaps (CDS), makes the equity options on the same underlying firm more expensive. The expensiveness of option due to CDS trading is not completely driven by the increased riskiness of the firm because the delta-hedged equity option returns, which account for underlying stock price movement, are lower. The effect of CDS trading is more pronounced for call options than put options. The evidence is consistent with the view that CDS trading crowds out option trading, option dealers charge higher option premiums due to limited intermediation capacity.