ENGLISH | 加入收藏 | 设为首页
当前位置: 首页>新闻公告>学术活动

讲座预告 | A URC bridged CDS implied volatility and associated trading strategies (信用违约互换隐含的波动率计算及相关交易策略)

发布时间:2019-04-22    来源:
讲座主题:A URC bridged CDS implied volatility and associated trading strategies(信用违约互换隐含的波动率计算及相关交易策略)

石玉坤博士,格拉斯哥大学亚当斯密商学院会计与金融学副教授,杜伦大学金融学博士。特许金融分析师(CFA)。石教授在《European Journal of Finance》,Journal of International Financial Markets, Institutions and Money,《International Review of Financial Analysis国际重要金融期刊发表论文10余篇并担任《Quantitative Finance》,《International Journal of Finance and Economics》《European Journal of Finance10余本国际重要金融期刊的论文评审人。石教授的研究领域为公司金融、计量金融、能源经济、资产定价,衍生品市场与风险管理。

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. 
地址:天津市南开区卫津路92号 | 邮编:300072
津ICP备05004358号 津教备0316号 天津大学管理与经济学部 版权所有