Divergence of Risk Measures across Different Market Conditions - Borissova, Boriana
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In the following work we analyze the nature and dynamics of bond pricing in the European banking industry. In particular, we empirically investigate the relationship between the bond spread and the corresponding credit rating in light of different market conditions. Three important results emerge from our analysis. First, risk measures' divergence tends to be higher in relatively opaque markets where corruption, legal and accounting inefficiencies are present. Furthermore, the difference between the two indicators is proved to be affected by the quality of credit information available to…mehr

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Produktbeschreibung
In the following work we analyze the nature and dynamics of bond pricing in the European banking industry. In particular, we empirically investigate the relationship between the bond spread and the corresponding credit rating in light of different market conditions. Three important results emerge from our analysis. First, risk measures' divergence tends to be higher in relatively opaque markets where corruption, legal and accounting inefficiencies are present. Furthermore, the difference between the two indicators is proved to be affected by the quality of credit information available to market participants. Last but not least, such a divergence is likely to be higher in periods of market downturn and lower in periods of economic prosperity. These results have interesting implications for the interpretation of the explanatory power of risk sensitivity models in a market discipline context.
Autorenporträt
Boriana ha analizado la dinámica de la fijación de precios de los bonos en el sector bancario europeo como parte de sus estudios de maestría en finanzas en la Universidad Bocconi de Milán. Pasó parte de su formación académica en China y Canadá, trasladándose a Londres después de graduarse. En la actualidad, Boriana trabaja en el sector de la gestión de inversiones.