What can we learn about credit risk from debt valuation adjustments?

被引：5

作者：

Lin, Wen ^{[1
]}

Panaretou, Argyro ^{[2
]}

Pawlina, Grzegorz ^{[2
]}

Shakespeare, Catherine ^{[3
]}

机构：

[1] Cent Univ Finance & Econ, Beijing, Peoples R China

[2] Univ Lancaster, Lancaster, England

[3] Univ Michigan, Ann Arbor, MI 48109 USA

来源：

REVIEW OF ACCOUNTING STUDIES | 2023年 / 28卷 / 04期

关键词：

Financial liabilities; Fair value option; Debt valuation adjustments; Credit risk; FAIR VALUE; INFORMATION; LIABILITIES; DISCLOSURES; RELEVANCE; DEFAULT; SPREAD; IMPACT;

D O I：

10.1007/s11142-022-09705-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Motivated by the debate about the introduction of the fair value option for (financial) liabilities (FVOL) and the requirement to recognize and separately disclose in financial statements debt valuation adjustments (DVAs), this study explores what we can learn about a firm's credit risk from DVAs. Using a sample of US bank holding companies that elect the FVOL, we show that DVAs generally cannot be explained by the same factors that explain contemporaneous changes in bank's credit quality. We further find that DVAs can explain future changes in credit risk when the fair value of liabilities is based on managerial inputs (Level 3). Overall our results suggest that managers have an information advantage in estimating credit risk and that DVAs provide inside information to the market.

引用

页码：2556 / 2588

页数：33

共 45 条

[1] The financial reporting of fair value based on managerial inputs versus market inputs: evidence from mortgage servicing rights [J].