题目：Assessing Corporate Credit Interventions: A Structural Approach with Debt Illiquidity and Time-Varying Volatility
时间：2024年7月5日（周五）15:10-16:40
地点：浙江大学紫金港校区yl23411永利A423
主讲人：钟锐博士，澳大利亚西澳大学商学院
主持人：徐维东副教授，yl23411永利
主讲人简介：
钟锐博士现任澳大利亚西澳大学商学院会计与金融系高级讲师(tenured)，全球注册金融分析师（CFA）和全球注册风险管理师（FRM）,曾任中央财经大学中国金融发展研究院副教授。钟锐博士在加拿大康考迪亚大学约翰摩尔森商学院获得金融学博士学位，西蒙弗雷泽大学获得金融风险管理硕士学位和南开大学获得经济学学士学位。钟锐教授的研究领域主要集中在绿色金融，信用衍生品，金融风险管理，投资组合和公司金融。他的研究成果发表在多个国际著名的学术刊物上，包括The Journal of Accounting Research, Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Banking and Finance, Journal of Financial Stability和European Financial Management等。他对于全球ESG强制披露影响的研究论文被Financial Times, Responsible Investor报道。他曾被多个国内外多个著名学术会议，大学，金融机构和监管机构邀请并报告研究成果，包括联合国开发计划署中国办事处(UNDP China)，美国联邦存款和保险公司(FDIC)，加拿大央行，美国金融学年会(AFA)，中国金融学国际年会(CICF)等。他的研究曾获得国家自然科学基金青年项目(NNSFC)，加拿大衍生品研究所(CDI)，ClimateworksFoundation和蒙特利尔结构化金融和衍生品研究所的资金支持(IFSID)。
摘要：
The corporate bond market plummeted and credit risk spiked in the COVID-19 pandemic, until the Federal Reserve’s interventions greatly eased the liquidity crisis. In this paper, we analyze the impact of such interventions on corporate credit risk by proposing and implementing a structural model of risky debt that incorporates both debt illiquidity and time-varying asset volatility. Speciffcally, we embed an illiquid secondary debt market into a dynamic model of agency confficts between debtholders and shareholders. The proposed model captures the impact of both debt illiquidity and time-varying asset volatility on credit risk, and the effect of their interaction is especially stronger for ffrms with longer average debt maturity. Our empirical tests with a sample of individual corporate bonds support the model’s implications. Additionally, we calibrate the model to quantify the liquidity enhancements provided by the Fed’s credit facilities during the pandemic, and show that they lead to a reduction in the aggregate CDS spread by approximately 20%.
