CreditGrades모형에 기반한 국가신용부도스왑 차익거래 전략의 수익률과 위험에 관한 연구
An Empirical Study on Risk and Return of Capital Structure Arbitrage Based on CreditGrades Model
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본 연구는 신용부도스왑시장과 주식시장의 균형관계를 이용한 차익거래 전략을 구성하고 수익률과 위험을 분석한다. 우리는 Merton (1974)의 구조모형을 국가부도 위험에 적용하여, 주가지수와 국가 신용부도스왑(CDS)스프레드 사이의 장기적 균형관계를 도출한다. 이러한 모형을 기반으로 주식시장과 CDS시장 사이에 단기적 괴리가 발생할 때, 수익을 거둘 수 있는 거래전략을 고안하였다. 나아가 우리는 이러한 연구를 실증적으로 분석하였다. 그 결과 다음과 같은 결과를 얻을 수 있었다. 첫째, 주가지수와 CDS스프레드의 장기적 균형관계를 실증적으로 확인하였다. 둘째, 이 균형관계를 이용한 거래전략을 10여개 국가에 적용하였을 때 상당히 높은 샤프(Sharpe) 지수를 얻을 수 있었다. 특히, 금융위기기간 이후 이러한 현상이 두드러졌다. 셋째, 이 거래전략의 수익률은 기존의 전통적 자산의 수익률과는 상관관계가 낮았다. 이러한 결과를 토대로 국가CDS와 주식시장지수의 균형관계를 이용한 차익거래전략이 전통적인 자산의 위험을 분산시킬 수 있는 새로운 투자자산으로써의 가치가 있음을 확인하였다.
Abstract
This paper constructs an arbitrage strategy using a long-run relation between CDS and stock markets and then analyzes the risk and return of the strategy. We apply CreditGrades model, a variant of Merton model, to sovereign risk and derive the relation between the sovereign CDS market and the stock market. Based on this model, we design a strategy which creates a profit if there are short-term gaps between CDS and stock markets. Plus, we empirically analyze the risk and return when we implement the strategy in ten countries’ market around the world. As a result, the main findings are as follows. First, we historically verify that there exists a long-run relation between CDS spreads and stock indexes. Second, we find attractive Sharpe ratios when applying this strategy to 10 countries. Especially, such attractive Sharpe ratios are noticeable after the financial crisis. Finally, we also find low correlation between returns from the strategy we suggest and those from traditional assets such as stocks and bonds. Consequently, we conclude that the strategy we examine is valuable for investors to diversify their portfolio risks.
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