学术活动：密苏里圣路易斯大学张改燕教授——Do Banks Trade on Private Information?Evidence from the Credit Default Swap Market

讲座题目：Do Banks Trade on Private Information? Evidence from the Credit Default Swap Market

讲座时间：2024年7月2日（周二）10：00-11：30

讲座地点：明德楼701会议室

主讲嘉宾：张改燕教授 　 密苏里圣路易斯大学

主讲嘉宾简介：

张改燕，本科毕业于南开大学金融系，在复旦大学国际金融系取得硕士学位，在加利福尼亚大学取得金融博士学位。目前担任密苏里圣路易斯大学董事会特聘金融教授，主要从事金融风险、金融机构、公司金融和国际金融的研究，担任Journal of Financial Stability副主编，2016-2019任金融系主任。她已在JF、JFE、JIBS、RF、JMS、JMCB、JFI、RCFS等国际顶级和权威刊物上发表四十余篇论文，并参与了两本书的编写。她受邀参加多个国际金融机构和会议的学术研讨和主题发言，包括FDIC、OCC、New York Fed、ECB、BOC、CDIC、NBER、AFA、WFA等，获得过多项科研奖和最佳论文奖。她被邀请为国际四十多个金融管理刊物和基金审稿。

讲座主要内容：

Banks acquire privileged information when they enter a lending relationship with a creditor. We examine potential conflicts of interest when banks purchase credit default swap (CDS) contracts on their borrowers. We report strong evidence that, compared to a matched sample, such bank CDS transactions lead to abnormal spread changes, revealing that banks trade on private information acquired during the lending process. This effect is more pronounced for banks with greater access to privileged information, for informationally opaque reference firms where private information is more valuable, and precedes material credit events such as rating downgrades. Our findings are not attributable to banks’ expertise and remain unaffected by banks’ internal and external governance, the Dodd-Frank Act, and the bank enforcement environment. These results carry significant implications for the regulation of banks and the CDS market.

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经济学院

2024年6月28日