Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis
Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis
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DOI：
10.1016/j.jbankfin.2013.05.030
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发表时间：
2013-09-01
影响因子：
3.7
通讯作者：
Lau, Chun-Sing
中科院分区：
文献类型：
--
作者：
Hui, Cho-Hoi;Lo, Chi-Fai;Lau, Chun-Sing
本文提出了一种分析方法来估计嵌入在iTraxx欧洲CDS指数期权的期权隐含相关性。期权隐含的相关性被认为是衡量欧洲金融和企业部门之间违约风险溢出效应的一个指标。特别是，iTraxx金融和非金融子指数之间的相关性是从iTraxx主指数的期权中估计的，iTraxx主指数被认为是一篮子期权，两个子指数是其基础。对应期权价格的已实现相关预期信息的突变。主权违约风险、融资流动性风险、风险规避水平和股票市场表现被确定为期权隐含相关性的重要决定因素，这意味着欧洲债务危机期间各个市场之间的相互依赖性。(C)2013 Elsevier B.V.保留所有权利。
This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spill-over effect of default risk between the financial and corporate sectors in Europe. In particular, the correlation between the iTraxx Financials and Non-Financials sub-indexes is estimated from options on the iTraxx Main Index, which is considered as a basket option with the two sub-indexes being its underlyings. The abrupt changes of the realized correlation anticipated information of the corresponding option prices. The sovereign default risk, funding liquidity risk, level of risk aversion, and equity market performance are identified to be significant determinants of the option-implied correlation, implying interdependence amongst various markets during the European debt crisis. (C) 2013 Elsevier B.V. All rights reserved.