کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961495 929863 2010 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The information content of option-implied volatility for credit default swap valuation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The information content of option-implied volatility for credit default swap valuation
چکیده انگلیسی
Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both CDS and options data, we find that individual firms' put option-implied volatility dominates historical volatility in explaining the time-series variation in CDS spreads. To understand this result, we show that implied volatility is a more efficient forecast for future realized volatility than historical volatility. More importantly, the volatility risk premium embedded in option prices covaries with the CDS spread. These findings complement existing empirical evidence based on market-level data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 3, August 2010, Pages 321-343
نویسندگان
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