摘要(英) |
In theoretical pricing model, credit default swap value is dominated by two factors: default
probability and recovery rate. In many empirical researches, these two factors can not determine
credit spread changes. These variables have rather limited explanatory power. There are lots
studies try to use other variables (i.e. bond illiquidity, macroeconomic factors) to explain the residuals; however, the results do not significant.
Credit default swaps can used to pack a synthetic CDO (Collateralized Debt Obligation).
Recently, many investors and traders will trade CDS or CDO tranches by their view on correlation.
Therefore, we consider correlation can be a factor to affect CDS spread. In this paper, we
use corporate bond to derive model CDS spread. Compared with market CDS spread, model
CDS spread is significant different from market CDS spread. Our result suggests that the pricing
difference comes from correlations among CDSs. |
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