지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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The growing academic literature highlights the information content of equity and currency options, and credit default swaps. Our findings will focus on a special role of option market information in explaining CDS spreads. Thus, we perform time-series regressions of CDS spreads on either implied or historical volatility of equity and currency markets using a broad sample of 1,570 daily observations for the period January 2006 to March 2012.
Using data on sovereign CDS spreads, stock, and currency options, this study examines the relation between CDS, currency, and equity option volatilities. It is necessary to investigate which market options enhance the explanation power for determinants of CDS spread, and whether implied volatilities dominate historical volatilities in the determinants of CDS spread.
Using time-series regressions, we find that currency market options enhance the explanation power for determinants of sovereign CDS spread, and that implied volatility dominates historical volatility in explaining CDS spreads. We find also the volatility skew of stock and currency options to be a significant determinant of CDS spreads. With this list of additional volatility variables included in the regressions, the explanation power of the time-series regressions has increased.
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참고문헌 (28)
참고문헌 신청
Abid, F. / 2005 / The Impact of Stock Returns Volatility on Credit Default Swap Rates: A Copula Study / International J ournal of Theoretical and Applied Finance 8 : 1135 ~ 1
Abid, F. / 2006 / The Determinants of Credit-Default Swap Rates: an Explanatory Study / International J ournal of Theoretical and Applied Finance 9 : 23 ~ 42
Acharya, V. / 2007 / Insider Trading in Credit Derivatives / J ournal of Financial Economics 84 : 110 ~ 141
Aktug, E. / 2008 / The Dynamics of Sovereign Credit Default Swap and Bond Market : 1 ~ 34
Albrecher, H. / 2006 / A Generic One-Factor Levy Model for Pricing Synthetic CDOs, In Advances in Mathematical Finance / Birkhauser Boston : 267 ~ 285
Abid, F. / 2006 / The Determinants of Credit-Default Swap Rates: an Explanatory Study / International J ournal of Theoretical and Applied Finance 9 : 23 ~ 42
Acharya, V. / 2007 / Insider Trading in Credit Derivatives / J ournal of Financial Economics 84 : 110 ~ 141
Aktug, E. / 2008 / The Dynamics of Sovereign Credit Default Swap and Bond Market : 1 ~ 34
Albrecher, H. / 2006 / A Generic One-Factor Levy Model for Pricing Synthetic CDOs, In Advances in Mathematical Finance / Birkhauser Boston : 267 ~ 285
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