或有债权和以股票期权规避信用风险

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2024-03-08 DOI:10.1093/rapstu/raae005

Davide E Avino, Enrique Salvador

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引用次数: 0

摘要

利用或有索赔估价法，我们为使用看跌期权的信用风险引入了新的对冲比率。期权对冲比率与信用利差变化对看跌期权收益的经验敏感性基本一致，而且相对于股票对冲比率，北美公司的期权组合能进一步降低波动率。我们的研究表明，期权对冲比率捕捉到了与 VIX 指数和违约价差相关的特定期权信用风险，而这是默顿（1974 年）的股票对冲比率所无法解释的。将股票和看跌期权结合起来进行信用风险对冲，可以有效地利用波动率微笑法。（JEL E43，E44，G10）

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Contingent Claims and Hedging of Credit Risk with Equity Options

Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option returns and, relative to stock hedge ratios, produce further reductions in volatility for a portfolio of North American firms. We show that option hedge ratios capture option-specific credit exposure related to the VIX index and the default spread, which is unaccounted for by Merton’s (1974) equity hedge ratios alone. Combining stocks and put options for credit risk hedging can be done effectively using the volatility smirk. (JEL E43, E44, G10)

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.