Publication Type

PhD Dissertation

Version

publishedVersion

Publication Date

4-2026

Abstract

This study evaluates the transmission of unrealized fair value accounting losses to credit default risk within the United States life insurance sector during a period of unprecedented monetary tightening. Integrating a pre-specified confirmatory econometric framework with a text-based exploratory analysis of regulatory filings, we examine how changes in Other Comprehensive Income (OCI) and benchmark interest rate dynamics shape market perceptions of insurer default probability. Our findings reveal that credit default swap markets do not price OCI variations contemporaneously; instead, they reflect a structural one-quarter pricing lag that aligns with the regulatory timeline of financial disclosures. Furthermore, the relationship between interest rates and accounting capital erosion is highly regime-dependent, with long-term swap rates exercising dominant influence over short-term policy rates during active tightening cycles. Qualitative textual analysis of management disclosures provides evidence that information asymmetry and reporting brevity - rather than intentional omission - constrain market efficiency, leaving larger, highly visible entities structurally exposed to pronounced credit spread volatility.

Keywords

OCI, AFS, Fair Value, Yield curve, Rate environment, Interest rate risk, AFS securities, FVOCI securities, Duration, ALM, OCI disclosure, AOCI disclosure, Inverted yield curve, Hedging, Risk mitigation, CDS, Fed Fund Rate, 10y Swap Rate, Swap Spread, Slope of interest rate curve

Degree Awarded

PhD in Business (General Management)

Discipline

Finance | Finance and Financial Management

Supervisor(s)

TEE, Chyng Wen

First Page

1

Last Page

102

Publisher

Singapore Management University

City or Country

Singapore

Copyright Owner and License

Author

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