Earticle

초록

영어

We investigate how much of the CIP (covered interest parity) deviation ob- served in FX swap markets during the …nancial crisis can be explained by credit risk. To this end, we develop a structural model of defaultable FX swaps, applying the approach of Coval et al (2009a,b) to the FX setting. Calibrating the model to the CDS spreads of Korean banks and US banks, we …nd that as much as 65% of the CIP deviation in the US Dollar / Korean Won FX swaps can be explained by counterparty risk; most of this e¤ect is due to the counterparty risk of Korean banks (as opposed to US banks). The in‡uence of counterparty default risk is pronounced especially for the period after the default of Lehman Brothers.

목차

Abstract
 1. Introduction
 2. Background and Literature Survey
 3. Model for Pricing Defaultable USD/KRW FX Swap
  3.1. The Economy
  3.2. Defaultable FX swap pricing
 4. Calibration of the Model
  4.1. Extraction of the Arrow-Debreu State Price Density
  4.2. Firm Value Dynamics
 5. Empirical Results
  5.1. Defaultable FX Swap Implied USD Interest rates
  5.2. Regression Analysis
 6. Conclusion
 References
 TABLE
 FIGURE

키워드

저자

• Hanbok Choi [ Woori Investment & Securities ]
• Young Ho Eom [ Yonsei University ]
• Woon Wook Jang [ Yonsei University ] Corresponding author
• Don H. Kim [ Don H. Kim4 | Board of Governors of the Federal Reserve System ]

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  한국재무학회 학술대회

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  2006~2024

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