主 题: A URC bridged CDS implied volatility and associated trading strategies
内容简介: We propose a new measure of the implied volatility of Credit Default Swap (CDS): CIV. Specifically, we employ the unite recovery claim to bridge CDS and deep out-of-the-money put options of the same company, and back out CIV via the binomial tree. Our CIV measure strongly commoves with the Option Implied Volatility (OIV), with a correlation coefficient of 0.8. Based on the standardized difference between CIV and OIV, we construct CDS and option trading strategies. Without taking transaction costs into account, the long-short CDS trading strategy achieves an annualized return of 58.29% and a Sharpe ratio of 2.97, which can hardly be explained by non-parametric skewness and volatility risk.
报告人: 石玉坤 副教授
时 间: 2019-04-19 14:00
地 点: 敏达302
举办单位: 金融学院 科研部 经济与金融研究院