Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/89314
PIRA download icon_1.1View/Download Full Text
DC FieldValueLanguage
dc.contributorSchool of Accounting and Financeen_US
dc.creatorLi, Gen_US
dc.creatorZhang, Cen_US
dc.date.accessioned2021-03-10T06:32:53Z-
dc.date.available2021-03-10T06:32:53Z-
dc.identifier.citationv. 134, no. 3, p. 647-668-
dc.identifier.issn0304-405Xen_US
dc.identifier.otherv. 134, no. 3, p. 647-668-
dc.identifier.otherv. 134, no. 3, p. 647-668-
dc.identifier.urihttp://hdl.handle.net/10397/89314-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2019 Elsevier B.V. All rights reserved.en US
dc.rights© 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.en US
dc.rightsThe following publication Li, G., & Zhang, C. (2019). Counterparty credit risk and derivatives pricing. Journal of Financial Economics, 134(3), 647-668 is available at https://doi.org/10.1016/j.jfineco.2019.04.011.en US
dc.subjectCounterparty credit risken_US
dc.subjectMitigating mechanismen_US
dc.subjectOptions pricing with vulnerabilityen_US
dc.subjectDerivative warrantsen_US
dc.titleCounterparty credit risk and derivatives pricingen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage647en_US
dc.identifier.epage668en_US
dc.identifier.volume134en_US
dc.identifier.issue3en_US
dc.identifier.doi10.1016/j.jfineco.2019.04.011en_US
dcterms.abstractWe derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005–2014. We find that the log-price difference between a derivative warrant with counterparty credit risk and an otherwise identical option without counterparty credit risk is significantly and negatively associated with the credit default swap spread on the warrant issuer. We also find that the prices of out-of-the-money put warrants are more sensitive to credit risk than those of other warrants. Our results show counterparty credit risk matters for derivative pricing.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of financial economics, Dec. 2019, v. 134, no. 3, p. 647-668en_US
dcterms.isPartOfJournal of financial economicsen_US
dcterms.issued2019-12-
dc.identifier.isiWOS:000497247200007-
dc.description.validate202103 bcrcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera0606-n02-
dc.identifier.SubFormID566-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextPolyU 254712en_US
dc.description.pubStatusPublisheden_US
Appears in Collections:Journal/Magazine Article
Files in This Item:
File Description SizeFormat 
a0606-n02_566.pdfPre-Published version1.24 MBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
Access
View full-text via PolyU eLinks SFX Query
Show simple item record

Page views

33
Citations as of Jun 26, 2022

Downloads

16
Citations as of Jun 26, 2022

SCOPUSTM   
Citations

9
Citations as of Jun 23, 2022

WEB OF SCIENCETM
Citations

10
Citations as of Jun 23, 2022

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.