题目：Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options

　　报告人：金涌，香港理工大学，助理教授

　　时间：2018年10月10日(周三)15:00~17:00

　　地点：经管院B129

　　报告摘要如下：

　　Existing studies have shown pervasive impact of derivatives trading on underlying firms’ securities. However, little is known about the interaction between different types of derivatives. In this study, we fill this gap in the literature by examining the inception of credit default swaps (CDS). We show that options on the stocks of companies with CDS are more expensive, as indicated by lower delta-hedged option returns. The CDS effect on options is robust to different measurement and sample period. It is also stronger after the 2009 CDS Big Bang when the funding cost for CDS dealers increased. This result is consistent with the view that option premiums are influenced by dealers’ intermediation capacity, which is adversely impacted by CDS trading.

　　报告人简介：

　　金涌，现任香港理工大学金融学助理教授。他于2016年获得佛罗里达大学金融学博士及计量金融博士学位，并且持有香港中文大学风险管理(荣誉)学士及哲学硕士学位。加入香港理工大学之前，曾任摩根士丹利(纽约)策略模型部量化经理，工银国际投行部分析员等。研究领域为实证资产定价，金融衍生品，以及金融科技跨学科研究，并发表文章于Risk Magazine, Decision Support Systems, Journal of Risk等杂志。其在多个国际会议及机构获奖，包括摩根士丹利市场研究优异奖(Prize for Excellence in Financial Markets)，及获得包括加拿大IFSID拨付的研究基金在内的多项研究资金支持，曾任教于佛罗里达大学，并且获得佛罗里达大学惠灵顿商学院最佳博士生教学奖。