The Role of a Changing Market Environment for Credit Default Swap Pricing
The Role of a Changing Market Environment for Credit Default Swap Pricing
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不断变化的市场环境对信用违约掉期定价的作用
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
S. Reitz
中科院分区：
文献类型：
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作者：
J. Leppin;S. Reitz
本文研究了不断变化的市场环境对欧洲STOXX 50公司债务CDS价差定价的影响。面板平滑过渡回归显示，标准CDS基本面的参数估计是时变的，这取决于一组变量的当前值，如欧洲央行的系统性压力综合指数、反映当前和未来经济形势的Sentix指数以及VStoxx指数。这些变量描述了市场在不同制度之间的转变，从而反映了代理人风险认知的大幅波动对CDS价差的影响。总的来说，我们的结果证实了非线性在平静和动荡时期风险衍生品定价中的重要性。
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of variables such as the ECB's systemic stress composite index, the Sentix index for current and future economic situation, and the VStoxx. These variables describe the market's transition between different regimes thereby reflecting the impact of substantial swings in agents' risk perception on CDS spreads. Overall, our results confirm the importance of nonlinearities in the pricing of risk derivatives during tranquil and turbulent times.