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We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced‐form Markovian model with interacting default intensities. Using the dynamic programming principle, we establish a lattice dependence structure between the Hamilton‐Jacobi‐Bellman equations associated with the default states of the portfolio. We show existence and uniqueness of a classical solution to each equation and characterize them in terms of solutions to inhomogeneous Bernoulli type ordinary differential equations. We provide a precise characterization for the directionality of the CDS investment strategy and perform a numerical analysis to assess the impact of default contagion. We find that the increased intensity triggered by default of a very risky entity strongly impacts size and directionality of the investor strategy. Such findings outline the key role played by default contagion when investing in portfolios subject to multiple sources of default risk. 相似文献
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We examine the externality effect of customer firms’ credit default swap (CDS) trading on the stock price informativeness of supplier firms. Our empirical results show that firms with a high proportion of sales to CDS referenced customers tend to have more firm-specific embedded information in their stock prices and thus higher stock price informativeness, which is associated with a lower level of stock return synchronicity. We provide new evidence of CDS trading externality on equity market information environments along the supply chain. 相似文献
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We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where collateral is included with possible rehypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e., the difference between the on‐default exposure and the predefault collateral account. We then specialize our analysis to credit default swaps (CDS) as underlying portfolios, and construct a numerical scheme to evaluate the adjustment under a doubly stochastic default framework. In particular, we show that for CDS contracts a perfect collateralization cannot be achieved, even under continuous collateralization, if the reference entity’s and counterparty’s default times are dependent. The impact of rehypothecation, collateral margining frequency, and default correlation‐induced contagion is illustrated with numerical examples. 相似文献
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We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete‐time markets with dividend‐paying securities. Specifically, we show that the no‐arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk‐neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a contingent claim contract. Our results are illustrated with a vanilla credit default swap contract. 相似文献
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In this work, we consider three problems of the standard market approach to credit index options pricing: the definition of the index spread is not valid in general, the considered payoff leads to a pricing which is not always defined, and the candidate numeraire for defining a pricing measure is not strictly positive, which leads to a nonequivalent pricing measure. We give a solution to the three problems, based on modeling the flow of information through a suitable subfiltration. With this we consistently take into account the possibility of default of all names in the portfolio, that is neglected in the standard market approach. We show on market inputs that, while the pricing difference can be negligible in normal market conditions, it can become highly relevant in stressed market conditions, like the situation caused by the credit crunch. 相似文献
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We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that in the absence of arbitrage, if the underlying stock price at time T admits finite log-moments for some positive q, the arbitrage-free growth in the left wing of the implied volatility smile for T is less constrained than Lee's bound. The result is rationalized by a market trading discretely monitored variance swaps wherein the payoff is a function of squared log-returns, and requires no assumption for the underlying price to admit any negative moment. In this respect, the result can be derived from a model-independent setup. As a byproduct, we relax the moment assumptions on the stock price to provide a new proof of the notorious Gatheral–Fukasawa formula expressing variance swaps in terms of the implied volatility. 相似文献
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This paper presents an analytical approach for pricing variance swaps with discrete sampling times when the underlying asset follows a Hawkes jump-diffusion process characterized with both stochastic volatility and clustered jumps. A significantly simplified method, with which there is no need to solve partial differential equations, is used to derive a closed-form pricing formula. A distinguished feature is that many recently published formulas can be shown to be special cases of the one presented here. Some numerical examples are provided with results demonstrating that jump clustering indeed has a significant impact on the price of variance swaps. 相似文献
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We examine how the quality of political, legal, and regulatory institutions impacts sovereign risk premia. An improvement in institutional quality significantly lowers a country's sovereign credit default swap (CDS) spread, even after controlling for domestic and global macroeconomic factors. The incremental effect of institutional quality may also be economically important in explaining the variations in the level of sovereign CDS spreads. The basic results are robust to alternative model specifications, samples, control variables, measures of institutional quality, estimation methods, and controls for endogeneity. Overall, the evidence suggests that institutional quality may play a significant role in explaining sovereign CDS spreads. 相似文献
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上市公司提供商业信用的影响因素研究 总被引：1，自引：0，他引：1
我国企业在交易中采用赊销的比例低于欧美国家。以\"应收账款/流动资产\"作为商业信用水平的度量指标,对影响上市公司提供商业信用的因素进行研究发现:上市公司较少依赖提供商业信用来进行质量信号传递;拥有较高存货水平的上市公司为了减低存储成本、促进销售,会采用较为宽松的信用政策,从而导致应收账款的增加;在信用普遍缺失的环境下,对坏账损失的担忧抑制了企业主动通过提供商业信用为客户融资,进而来扩大或保护自己竞争优势的行为;在行业景气的情况下,对未来的乐观预期降低了经营者对坏账的担忧,进而倾向于采用较为宽松的信用政策,导致应收账款水平提高。 相似文献
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Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We present a general analytic approach for pricing discretely sampled generalized variance swaps under the stochastic volatility models with simultaneous jumps in the asset price and variance processes. The resulting pricing formula of the gamma swap is in closed form while those of the corridor variance swaps and conditional variance swaps take the form of one‐dimensional Fourier integrals. We also verify through analytic calculations the convergence of the asymptotic limit of the pricing formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing formulas of the continuously sampled counterparts. The proposed methodology can be applied to any affine model and other higher moments swaps as well. We examine the exposure to convexity (volatility of variance) and skew (correlation between the equity returns and variance process) of these discretely sampled generalized variance swaps. We explore the impact on the fair strike prices of these exotic variance swaps with respect to different sets of parameter values, like varying sampling frequencies, jump intensity, and width of the monitoring corridor. 相似文献
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CORRELATED DEFAULTS IN INTENSITY-BASED MODELS 总被引：6，自引：0，他引：6
This paper presents an intensity-based model of correlated defaults with application to the valuation of defaultable securities. The model assumes that the intensities of the default times are driven by common factors as well as other defaults in the system. A recursive procedure called the "total hazard construction" is used to generate default times with a broad class of correlation structures. This approach is compared to standard reduced-form models based on conditional independence as well as alternative approaches involving copula functions. Examples are given for the pricing of defaultable bonds and credit default swaps of the regular and basket type. 相似文献
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信贷资产证券化的违约风险分析 总被引：2，自引：0，他引：2
识别和控制资产证券化过程中的风险是金融监管的客观需要。以信贷资产支持证券为例探讨资产证券化的特有风险—违约风险,并运用KMV模型测度个案违约风险,在此基础上提出一些控制违约风险的策略。 相似文献
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This paper first designs an efficient procedure to value Credit Default Swap Index tranches using an intensity-based model. The tranche spreads are effectively explained by a three-factor version of this model, both before and during the financial crisis of 2008. We then construct tradable tranche portfolios to track the intensity factors and compare the pricing of the tranches with equities and their derivatives. Our results show that the senior tranche spreads do not offer returns in excess of the common risk compensations in the equity and derivatives markets, while the junior tranche is not spanned by these standard factors. 相似文献
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We develop and test a fast and accurate semi‐analytical formula for single‐name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure and a few default swaptions, to price and hedge other credit derivatives consistently. We show with numerical experiments that the model implies plausible volatility smiles. 相似文献
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We develop two novel approaches to solving for the Laplace transform of a time‐changed stochastic process. We discard the standard assumption that the background process () is Lévy. Maintaining the assumption that the business clock () and the background process are independent, we develop two different series solutions for the Laplace transform of the time‐changed process . In fact, our methods apply not only to Laplace transforms, but more generically to expectations of smooth functions of random time. We apply the methods to introduce stochastic time change to the standard class of default intensity models of credit risk, and show that stochastic time‐change has a very large effect on the pricing of deep out‐of‐the‐money options on credit default swaps. 相似文献
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Using a news-based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase in EPU leads to an 8.4% increase in CDS spreads and a 4.0% decrease in the number of liquidity providers. Furthermore, the effects of EPU are persistent and robust after controlling for macroeconomic variables. Our results are also robust to different econometric methodologies. Overall, our findings suggest that, when EPU is high, investors find credit protection more costly and difficult to purchase. 相似文献
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This paper explores the factors influencing mortgage loan default and default probability by using the data from the mortgage loans of a case financial institution. The results indicate that the borrower's gender, the borrower's job position, whether the regional codes of the borrower's present residence and registered permanent residence are the same, the degree of relationship between the borrower and the guarantor, the loan-to-value ratio, the use status of collateral, and the located region of collateral are significantly positively correlated with the default probability. However, the education degree and the loan amount are significantly negatively correlated with the default probability. 相似文献