The Information Content of Option Volatility for Credit Default Swap

키워드

참고문헌 (92)

1. Abid, F., "The Impact of Stock Returns Volatility on Credit Default Swap Rates: A Copula Study", International Journal of Theoretical and Applied Finance, 8, pp.1135~1155 (2005)
2. Abid, F., "The Determinants of Credit-Default Swap Rates: an Explanatory Study", International Journal of Theoretical and Applied Finance, 9, pp.23~42 (2006)
3. Acharya, V., "Insider Trading in Credit Derivatives", Journal of Financial Economics, 84, pp.110~141 (2007)
4. The Dynamics of Sovereign Credit Default Swap and Bond Market, "Aktug, E.", 1~34 (2008)
5. Albrecher, H., "A Generic One-Factor Lévy Model for Pricing Synthetic CDOs, In Advances in Mathematical Finance", pp.267~285 (2006), Birkhäuser Boston
6. Alexander, C., "Regime Dependent Determinants of Credit Default Swap Spreads", Journal of Banking and Finance, 32, pp.1008~1021 (2008)
7. Altman, E., "The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications", Journal of Business, 78, pp.2203~2227 (2003)
8. Amato, J., "CDS Index Tranches and the Pricing of Credit Risk Correlations", BIS Quarterly Review, pp.73~87 (2005)
9. Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter?, "Ammer, J.", FRB International Finance, ~ (2007)
10. Andersen, L., "CDO Pricing with Factor Models: Survey and Comments", Journal of Credit Risk, 1, pp.71~88 (2009)
11. Avramov, D., "Understanding Changes in Corporate Credit Spreads", Financial Analysts Journal, 63, pp.90~105 (2007)
12. Baba, N., "Price Discovery of Subordinated Credit Spreads for Japanese", Journal of International Financial Markets, Institutions and Money, 4, pp.616~632 (2008)
13. Back, K., "Asymmetric Information and Options", Review of Financial Studies, 6, pp.435~472 (1993)
14. Bakshi, G., "Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights", Journal of Derivatives, 11(1), pp.45~54 (2003)
15. Bakshi, G., "Stock Return Characteristics, Skew Laws, and Differential Pricing of Individual Equity Options", Review of Financial Studies, 16, pp.101~143 (2003)
16. Bates, D., "Empirical Option Pricing: A Retrospection", Journal of Econometrics, 116, pp.387~404 (2003)
17. Benkert, C., "Explaining Credit Default Swap Premium", Journal of Futures Markets, 24, pp.71~92 (2004)
18. Do Equity Markets Favor Credit Market News Over Options Market News?, "Berndt, A.", Carnegie Mellon University, ~ (2008)
19. Black, F., "Fact and Fantasy in Use of Options", Financial Analysts Journal, 31, pp.36~41 (1975)
20. Blanco, R., "An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps", Journal of Finance, 60, pp.2255~2281 (2005)
21. Bollerslev, T., "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-implied and Realized Volatilities", Journal of Econometrics (2008)
22. Bollerslev, T., "Expected Stock Returns and Variance Risk Premia", Review of Financial Studies, 22, pp.4463~4492 (2009)
23. Bystrom, H., "Credit Grades and iTraxx CDS Index Market", Financial Analysts Journal, 62, pp.65~73 (2006)
24. Campbell, J., "Equity Volatility and Corporate Bond Yields", Journal of Finance, 58, pp.2321~2349 (2003)
25. Canina, L., "The Informational Content of Implied Volatility", Review of Financial Studies, 6, pp.659~681 (1993)
26. Cao, C., "Informational Content of Option Volume Prior to Takeovers", Journal of Business, 78, pp.1073~1109 (2005)
27. Cao, C., "The Information Content of Option-Implied Volatility for Credit Default Swap Valuation", Journal of Financial Markets, 13, pp.321~343 (2010)
28. Carr, P., "Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options", Journal of Banking and Finance, 31, pp.2383~2403 (2007)
29. Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets, "Chan-Lau, J. A.", IMF, ~ (2004)
30. Chen Y. H., "Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution: Evidence from Japan", International Financial Markets, Institutions and Money, 18 (2008)
31. Chen, R., "An Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated Factors", Journal of Financial and Quantitative Analysis, 43, pp.123~160 (2008)
32. Chen, R., "Estimation and Evaluation of the Term Structure of Credit Default Swaps: An Empirical Stud", Insurance: Mathematics and Economics, 43, pp.339~349 (2008)
33. Chernov, M., "On the Role of Risk Premia in Volatility Forecasting", Journal of Business and Economic Statistics, 25, pp.411~426 (2007)
34. Christensen, B., "The Relation between Implied and Realized Volatility", Journal of Financial Economics, 50, pp.125~150 (1998)
35. Collin-Dufresne, P., "The Determinants of Credit Spread Changes", Journal of Finance, 56, pp.2177~2207 (2001)
36. Individual Stock Options and Credit Spreads, "Cremers, M.", Yale School of Management, ~, pp.Yale ICF Working Paper, 04-14 (2004)
37. Cremers, M., "Individual Stock Option Prices and Credit Spreads", Journal of Banking and Finance, 32, pp.2706~2715 (2008)
38. Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs, "Collin-Dufresne, P.", Carnegie-Mellon University, Washington University, and Ohio State University, ~ (2003)
39. Collin–Dufresne, P., "The Determinants of Credit Spread Changes", Journal of Finance, 56, pp.2177~2207 (2001)
40. Collin-Dufresne, P., "On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, 56, pp.1095~1115 (2001)
41. Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Risk?, "Cossin, D.", International Center for Financial Asset Management and Engineerin, ~ (2002)
42. Contagion in the Credit Default Swap Market: the Case of the GM and Ford Crisis in 2005, "Coudert, V.", CEPI, 1~67, pp.CEPI I Working Paper , 14 (2008)
43. Coudert, V., "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators", Journal of Empirical Finance, 15, pp.167~184 (2008)
44. Daal, E., "An Empirical Investigation of the Variance-gamma Model for Foreign Currency Options", Journal of Business, 78 (2005)
45. Day, T., "Stock Market Volatility and the Information Content of Stock Index Options", Journal of Econometrics, 52, pp.267~287 (1992)
46. Duffee, D., "The Relation between Treasury Yields and Corporate Bond Yield Spreads", Journal of Finance, 53, pp.2225~2241 (1998)
47. Duffie, D., "Swap Rates and Credit Quality", Journal of Finance, 51, pp.921~949 (1996)
48. Duffie, D., "Modeling Term Structures of Defaultable Bonds", Review of Financial Studies, 12, pp.687~720 (1999)
49. Duffie, D., "Transform Analysis and Asset Pricing for Affine Jump Diffusions", Econometrica, 68, pp.1343~1376 (2000)
50. Easley, D., "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade", Journal of Finance, 53, pp.431~465 (1998)
51. Elton, E. J., "Explaining the Rate Spread on Corporate Bonds", Journal of Finance, 56, pp.247~277 (2001)
52. 엄영호, "Structural models of corporate bond pricing: An empirical analysis", REVIEW OF FINANCIAL STUDIES, 17, pp.499~544
53. The Determinants of Credit Default Swap Premia, "Ericsson, J.", McGill University, ~ (2004)
54. Ericsson, J., "The Determinants of Credit Default Swap Premia", Journal of Financial and Quantitative Analysis, 44, pp.109~132 (2009)
55. Ericsson, J., "The Determinants of Credit Default Swap Premia" (2004), CIRANO
56. Estrella, A., "The Term Structure as a Predictor of Real Economic Activity", Journal of Finance, 46, pp.555~576 (1991)
57. Fama, E. F., "The Information in the Term Structure", Journal of Financial Economics, 17, pp.175~196 (1984)
58. Fleming, M., "Measuring Treasury Market Liquidity", FRBNY Economic Policy Review, pp.83~108 (2003)
59. Forte, S., "Credit Spread: An Empirical Analysis on the Information Content of Stocks, Bond, and CDS", Journal of Banking and Finance, 33, pp.2013~2025 (2009)
60. Goldfeld, S. M., "A Markov Model for Switching Regression", Journal of Econometrics, 1, pp.3~15 (1973)
61. Hamilton, J. D., "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle", Econometrica, 57, pp.357~384 (1989)
62. Hamilton, J. D., "Time Series Analysis" (1994), Princeton University Press
63. 홍정효, "원달러 통화 선물시장과 CDS시장사이의선도-지연에 관한 실증적 연구", 金融工學硏究, 10(4), pp.103~121 (2011), 한국금융공학회
64. An Empirical Comparison of Default Swap Pricing Models, "Houweling, P.", Rabobank Iinternational, ~ (2002)
65. Houweling, P., "Pricing Default Swaps: Empirical Evidence", Journal of International Money and Finance, 24, pp.1200~1255 (2005)
66. How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?, "Huang, J.", Penn State University, ~ (2003)
67. Hull, J., "The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements", Journal of Banking and Finance, 28, pp.2789~2811 (2004)
68. Jiang, G., "The Model-free Implied Volatility and Its Information Content", Review of Financial Studies, 18, pp.1305~1342 (2005)
69. 김홍배, "옵션변동성을 고려한 체제별 CDS 스프레드 결정요인", 선물연구, 20(1), pp.41~64 (2012), 한국파생상품학회
70. 권오상, "Rethinking Currency Hedging for Overseas Investment: Varying Notional FX Forward as an Alternative to Plain Vanilla Forward", 金融工學硏究, 10(4), pp.173~201 (2011), 한국금융공학회
71. Lamoureux, C., "Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatility", Review of Financial Studies, 6, pp.293~326 (1993)
72. Longstaff, F. A., "Corporate Yield Spreads: Default Risk or Liquidity?: New Evidence from the Credit Default Swap Market", Journal of Finance, 60, pp.2213~2253 (2005)
73. Malz, A. M., "Using Option Prices to Estimate Realignment Probabilities in the European Monetary System: The Case of Sterling-mark", Journal of International Money and Finance, 15, pp.717~748 (1996)
74. Malz, A. M., "Estimating the Probability Distribution of the Future Exchange Rate from Option Prices", Journal of Derivatives, 5, pp.18~36 (1997)
75. Modigliani, F., "The Cost of Capital, Corporation Finance and the Theory of Investment", American Economic Review, 48, pp.261~297 (1958)
76. Newey, W., "A Simple Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, pp.703~708 (1987)
77. Norden, L., "The Co-movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis", European Financial Management, 15, pp.529~562 (2009)
78. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, "Pan, J.", Stanford University and MIT, ~ (2005)
79. Pan, J., "The Information in Option Volume for Future Stock Prices", Review of Financial Studies, 19, pp.871~908 (2006)
80. Pan, J., "Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads", Journal of Finance, 63, pp.2345~2384 (2008)
81. Pedrosa, M., "Systematic Risk in Corporate Bond Yields", Journal of Fixed Income, 8 (1998)
82. Domestic Currency Denominated Government Debt as Equity in the Primary Surplus, "Sims, C. A.", Princeton University, ~ (1999)
83. Sundaresan, S., "Futures Prices on Yields, Forward Prices, and Implied Forward Prices from Term Structure", Journal of Financial and Quantitative Analysis, 26, pp.409~424 (1991)
84. How Profitable is Capital Structure Arbitrage?, "Yu, F.", University of California, ~ (2005)
85. Wan, E. A., "The Unscented Kalman Filter, In Kalman Filtering and Neural Networks" (2001), Wiley and Sons Publishing
86. Wang, D., "Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models", Journal of Empirical Finance, 16, pp.201~215 (2009)
87. Exploring the CDS-Bond Basis, "WitJan, D.", NBB, 1~31, pp.NBB Working Paper , 104 (2006)
88. A No-arbitrage Analysis of Macroeconomic and Financial Determinants of the Credit Spread Term Structure, "Wu, L.", Baruch College and Federal Reserve Board, ~ (2005)
89. Zhang, F. X., "What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data" (2003), The Federal Reserve Board
90. Zhang, B. Y., "Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms", Review of Financial Studies, 22, pp.5099~5131 (2009)
91. Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty, "Zhou, H.", Federal Reserve Board, ~ (2009)
92. An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market, "Zhu, H.", Bank for International Settlement, ~ (2005)

관련 논문AI추천