學(xué)術(shù)講座信息：Does the introduction of one derivative affect another derivative?

  題  目：Does the introduction of one derivative affect another derivative? The effect of CDS trading on equity options 演講人：湯勇軍副教授 時(shí)  間：10月31日（周一）下午2點(diǎn) 地  點(diǎn)：博學(xué)樓925會(huì)議室   演講人簡介： 湯勇軍博士現(xiàn)任香港大學(xué)金融學(xué)副教授(終身職)。其研究領(lǐng)域包括信用風(fēng)險(xiǎn)，資產(chǎn)定價(jià)、風(fēng)險(xiǎn)管理、結(jié)構(gòu)性金融工具，中國信貸及債券市場(chǎng)等。他對(duì)信用衍生物，結(jié)構(gòu)性金融產(chǎn)品及信用評(píng)級(jí)的研究取得了非常豐碩的成果，在國際一流期刊上發(fā)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)等國際頂級(jí)期刊發(fā)表論文十余篇。湯教授的研究曾獲得Northern Finance Association最佳論文獎(jiǎng)，F(xiàn)inancial Management Association最佳論文獎(jiǎng)，以及Eastern Finance Association Annual Meetings最佳論文獎(jiǎng)等多個(gè)科研獎(jiǎng)項(xiàng)。湯勇軍教授1997年獲得吉林大學(xué)理論物理學(xué)士學(xué)位，2005年獲得美國德克薩斯大學(xué)奧斯汀主校區(qū)金融學(xué)博士學(xué)位。   講座內(nèi)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.