{"title":"系统性信用风险溢价：来自信用衍生品市场的洞察","authors":"Kiwoong Byun, Baeho Kim, Dong Hwan Oh","doi":"10.1002/fut.70003","DOIUrl":null,"url":null,"abstract":"<p>This study examines the market-implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct <i>systemic credit risk premium</i> (SCRP) as the difference between the observed prices of multiname super-senior tranches and their synthetic counterparts valued from historical asset correlations implied by single-name Credit Default Swap spreads. Our findings show that the fitted SCRP surged during the 2007–2009 financial crisis, remained stable for a period, declined gradually after 2016, and spiked again during the COVID-19 shock. The empirical analysis highlights that the estimated SCRP has significant implications for asset pricing, particularly in affecting investment opportunities for US stock investors during periods of financial instability.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1448-1465"},"PeriodicalIF":2.3000,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70003","citationCount":"0","resultStr":"{\"title\":\"Systemic Credit Risk Premium: Insights From Credit Derivatives Markets\",\"authors\":\"Kiwoong Byun, Baeho Kim, Dong Hwan Oh\",\"doi\":\"10.1002/fut.70003\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This study examines the market-implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct <i>systemic credit risk premium</i> (SCRP) as the difference between the observed prices of multiname super-senior tranches and their synthetic counterparts valued from historical asset correlations implied by single-name Credit Default Swap spreads. Our findings show that the fitted SCRP surged during the 2007–2009 financial crisis, remained stable for a period, declined gradually after 2016, and spiked again during the COVID-19 shock. The empirical analysis highlights that the estimated SCRP has significant implications for asset pricing, particularly in affecting investment opportunities for US stock investors during periods of financial instability.</p>\",\"PeriodicalId\":15863,\"journal\":{\"name\":\"Journal of Futures Markets\",\"volume\":\"45 9\",\"pages\":\"1448-1465\"},\"PeriodicalIF\":2.3000,\"publicationDate\":\"2025-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70003\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Futures Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/fut.70003\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.70003","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Systemic Credit Risk Premium: Insights From Credit Derivatives Markets
This study examines the market-implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super-senior tranches and their synthetic counterparts valued from historical asset correlations implied by single-name Credit Default Swap spreads. Our findings show that the fitted SCRP surged during the 2007–2009 financial crisis, remained stable for a period, declined gradually after 2016, and spiked again during the COVID-19 shock. The empirical analysis highlights that the estimated SCRP has significant implications for asset pricing, particularly in affecting investment opportunities for US stock investors during periods of financial instability.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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