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Quantitative market risk disclosure, bond default risk and the cost of debt: Why value at risk?

机译：量化市场风险披露，债券违约风险和债务成本：为什么要进行风险价值评估？

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摘要

This study investigates the impact of SEC-mandated quantitative market risk disclosure (SEC, 1997) on bond default risk and the firm's cost of issuing debt. The effects of the firm's current risk management performance and of the risk disclosure formats are examined.; These issues are examined by evaluating the relationship of changes in firms' quantitative market risk disclosures to bond default risk and bond risk premium for new issues and changes in bond risk premiums for seasoned bond issues of the affected companies. Changes in bond default risk and bond risk premium are also investigated across two different risk disclosure formats: sensitivity analysis and value at risk.; For new debt issues, the empirical results indicate that the first report of quantitative market risk disclosure is associated with bond default risk and cost of issuing debt differently, depending on success in hedging. After controlling other market risk factors, default risk and cost of capital increased for the speculative and/or the ineffective hedging firms, but decreased for the effective hedging firms. The results seem quite robust to alternative measures of hedging and speculation. These findings highlight the importance of reporting the effectiveness of a firm's hedging strategy under FAS No. 133.; The empirical analyses related to seasoned bond issues reveal that quantitative market risk disclosure is on average, associated with an increase in the cost of debt capital. When mixed results are obtained, for bonds issued by hedging firms, the speculative firms show a relatively high cost of debt capital both in level and changes during the development of the SEC regulation.; The empirical analyses on both new and seasoned debt issues show that the reduction in bond default risk and cost of debt is observed more frequently with the value at risk format than with sensitivity analysis. Firm size might be a confounding factor, however, because larger firms choose to disclose more value at risk than sensitivity analysis.
机译：这项研究调查了SEC强制进行的量化市场风险披露（SEC，1997）对债券违约风险和企业发行债券成本的影响。检查了公司当前的风险管理绩效和风险披露格式的影响。通过评估公司的量化市场风险披露的变化与新发行的债券违约风险和债券风险溢价之间的关系，以及受影响公司的经验丰富的债券发行的债券风险溢价的变化，来研究这些问题。债券违约风险和债券风险溢价的变化也通过两种不同的风险披露格式进行了调查：敏感性分析和风险价值；对于新的债务发行，经验结果表明，根据对冲的成功程度，第一份量化的市场风险披露报告与债券违约风险和发行债券的成本有不同的关联。在控制了其他市场风险因素之后，投机和/或无效对冲公司的违约风险和资本成本增加，而有效对冲公司的违约风险和资本成本下降。对于套期保值和投机的替代措施而言，结果似乎相当稳健。这些发现凸显了根据FAS第133号报告公司对冲策略有效性的重要性。与经验丰富的债券发行相关的经验分析表明，量化的市场风险披露平均而言与债务资本成本的增加相关。当得到混合结果时，对于由对冲公司发行的债券，投机公司在SEC法规制定过程中的水平和变化方面都表现出相对较高的债务资本成本。对新债和老债问题的经验分析表明，使用风险值格式比使用敏感性分析更频繁地观察到债券违约风险和债务成本的降低。但是，公司规模可能是一个令人困惑的因素，因为大型公司选择比敏感度分析披露更多的风险价值。

著录项

  • 作者

    Guo, Hong-Tao.;

  • 作者单位

    University of Illinois at Urbana-Champaign.;

  • 授予单位 University of Illinois at Urbana-Champaign.;
  • 学科 Business Administration Accounting.
  • 学位 Ph.D.
  • 年度 2002
  • 页码 145 p.
  • 总页数 145
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财务管理、经济核算;
  • 关键词

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