The Cross-Section of Credit, Variance, and Skew Risk∗
نویسندگان
چکیده
This paper finds a strong relation between corporate credit default swap (CDS) information and higher moments of equity returns, as predicted by structural models. We use CDS spreads to measure the level of credit risk and to estimate credit market-implied risk premia. The results document that implied volatilities of equity options as well as ex-ante variance and skewness increase with CDS spread levels. Furthermore, excess returns from trading options, variance, and skewness are strongly related to credit risk premia. We reconcile these findings with the predictability of equity returns via default probabilities and optionimplied moments, and show that there is a strong common component behind returns on trading credit, equity, volatility and skew.
منابع مشابه
Credit Risk Predictive Ability of G-ZPP Model Versus V-ZPP Model
Credit risk management is becoming more and more important in recent years. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced credit risk models that are based on market value include improving credit quality...
متن کاملIdentification of Cotton Diseases Based on Cross Information Gain_Deep Forward Neural Network Classifier with PSO Feature Selection
This work exposes the automatic computation system to analyse the cotton leaf spot diseases. First to initialize the images from the database (Image features) that are highly related to the test image (new image), where test image is given by the user. Three features are used for matching the train image features in database images, namely color feature variance, shape and texture feature varia...
متن کاملThe Tail Mean-Variance Model and Extended Efficient Frontier
In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...
متن کاملModelling of Correlated Ordinal Responses, by Using Multivariate Skew Probit with Different Types of Variance Covariance Structures
In this paper, a multivariate fundamental skew probit (MFSP) model is used to model correlated ordinal responses which are constructed from the multivariate fundamental skew normal (MFSN) distribution originate to the greater flexibility of MFSN. To achieve an appropriate VC structure for reaching reliable statistical inferences, many types of variance covariance (VC) structures are considered ...
متن کاملInvestigating the Effect of Selected Sustainable Development Indicators on Credit Allocation: the Case of National Development Fund of Iran
Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...
متن کامل