Credit Default Swap Spreads and Variance Risk Premia
Credit Default Swap Spreads and Variance Risk Premia
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DOI：
10.2139/ssrn.1491891
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发表时间：
2010-08
期刊：
影响因子：
--
通讯作者：
Hao Zhou;wang hao;Zhou Yi
中科院分区：
文献类型：
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作者：
Hao Zhou;wang hao;Zhou Yi
我们发现，在现有文献中建立的市场和企业层面的控制变量存在的情况下，企业层面的方差风险溢价对信用利差具有显着的解释力。这种可预测性补充了主要状态变量——杠杆率——的可预测性，并随着较低的公司信用评级、较长的信贷合同期限和无模型隐含方差而显着增强。我们提供了进一步的证据，表明（1）方差风险溢价比隐含方差或预期方差具有更清晰的系统性成分，（2）公司方差风险溢价的横截面比公司股权回报在捕获市场回报风险方面更能捕获系统性方差风险，以及（3）具有随机波动性的结构模型可以重现信用利差方差风险溢价的可预测模式。
We find that the firm-level variance risk premium has a prominent explanatory power for credit spreads in the presence of market- and firm-level control variables established in the existing literature. Such predictability complements that of the leading state variable—the leverage ratio—and strengthens significantly with a lower firm credit rating, longer credit contract maturity, and model-free implied variance. We provide further evidence that (1) the variance risk premium has a cleaner systematic component than implied variance or expected variance, (2) the cross-section of firms’ variance risk premia capture systematic variance risk in a stronger way than firms’ equity returns in capturing market return risk, and (3) a structural model with stochastic volatility can reproduce the predictability pattern of variance risk premia for credit spreads.