Supply Chain Contagion in Credit Default Swap Market-金融系|光华管理学院


Supply Chain Contagion in Credit Default Swap Market


Finance Seminar2017-18


Topic: Supply Chain Contagion in Credit Default Swap Market

Speaker: Jing Wu, City University of Hong Kong College of Business

Time: Monday, 25 September, 11:30-13:00

Place: Room K01, Guanghua Building 2



We document that supply-chain contagion exists in the Credit Default Swap (CDS) market. Extreme jumps in the CDS spread of a customer are associated with CDS spread changes that are in the same direction for the supplier. The same pattern holds for customers when suppliers have large CDS jumps. Furthermore, credit risk contagion extends to higher supply-chain tiers. Firm and supply chain attributes contribute to CDS supply chain contagion. Particularly, credit risk contagion is magnified in longer term supply chain relations, with differentiated products and with the usage of trade credit. The contagion is moderated when a customer is investment grade and has more inventory.



Jing Wu [吳靖] is an assistant professor at City University of Hong Kong College of Business. He received his PhD (major in operations, minor in economics & finance) and MBA from the University of Chicago Booth School of Business, and his bachelor degree in electronic engineering from Tsinghua University. His research interests include operations and finance, economic networks, asset pricing, and machine learning applications. He designs and teaches PhD level Statistical Machine Learning at CityU College of Business. Prior to joining CityU, he worked at Deutsche Bank in New York as a quantitative equity strategist.


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