مقاله انگلیسی رایگان در مورد اختیارات خرید سهام در مدیریت ریسک – الزویر 2018

Studies on corporate risk management and derivatives use commonly view derivatives as hedging instruments (e.g., Smith and Stulz, 1985; Rogers, 2002; Aretz and Bartram, 2010). The role of credit derivatives as credit risk management instruments in banks is widely acknowledged (e.g., Hirtle, 2009; Nijskens and Wagner, 2011). Banks have dominated the credit derivatives market, in which CDS are the most commonly used credit derivatives globally (British Bankers’ Association (BBA), 2006; Minton et al., 2009; International Swaps and Derivatives Association (ISDA), 2010). However, the incentives underlying the use of CDS and the effectiveness of such credit risk management remain unknown (Minton et al., 2009). Our study contributes to filling this gap. CDS allow the transfer of credit risk across firms, whereby buying CDS allows a bank to short exposure to credit risk at a known cost (i.e., insurance premium). From the buyer’s perspective, the economic effect of a CDS contract is similar to that of an insurance contract, because it protects the buyer against the default of the underlying asset during the life of the contract (Duffee and Zhou, 2001). This protection is important for banks that are constantly exposed to the credit or default risks of risky assets (e.g., loans and mortgages). We can expect that banks with hedging motives or those managed by risk-averse managers are more likely to buy CDS that transfer the credit risks of risky assets to the sellers of such derivatives. However, bank managers are not always risk-averse, because their risk-taking appetites would enhance when stock options are included in their pay packages. Studies on executive compensation suggest that equity-based pay, such as stock options, had induced risk-taking behaviours among bank managers in the build-up of the 2007-2008 crisis (e.g., Bebchuk et al., 2010; Fortin et al., 2010; Minhat and Abdullah, 2016). Some studies also suggest that stock options can discourage managers from hedging risk (e.g., Smith and Stulz, 1985; Tufano, 1996; Rajgopal and Shevlin, 2002; Aretz and Bartram, 2010; Bakke et al., 2016). This is because stock options contain an important feature that can induce, rather than restrain, managers’ risk-taking appetites. This feature is described as vega, which measures the extent of risk-taking incentives induced by stock options (Guay, 1999; Rogers, 2002; Coles et al., 2006; Minhat and Abdullah, 2016). Vega is the measurement of a stock option’s sensitivity to the volatility (or risk) of the underlying stock. Because the value of a stock option is positively related to the volatility of the underlying stock, the presence of vega will discourage managers from hedging against risk or volatility (e.g., Rajgopal and Shevlin, 2002; Aretz and Bartram, 2010). If hedging against credit risk can reduce a bank’s stock volatility (Nijskens and Wagner, 2011), then that risk management strategy is not in the best interest of managers who wish to increase the value of their stock options. Therefore, we conjecture that vega will provide bank managers with little incentive to buy CDS for hedging purposes.