{"title":"无风险利率是否与主权违约强度相关?","authors":"Yusho Kagraoka","doi":"10.3905/jfi.2019.1.068","DOIUrl":null,"url":null,"abstract":"This study proposes a new methodology to estimate credit default swap- (CDS-) adjusted risk-free interest rates and sovereign default intensities. Government bond yields in a local currency and CDS premiums in a foreign currency are used to estimate the CDS-adjusted risk-free interest rate, which is adjusted for the default risk of a government and is immune to its correlation with the sovereign default intensity. The method is based on the fact that risk-free interest rates and sovereign default intensities in the same currency are correlated, whereas the correlations between the risk-free interest rates in a foreign currency and the default intensities are close to zero except during worldwide financial turmoil such as the European sovereign debt crisis. The methodology is applied to the German and US markets and the CDS-adjusted risk-free interest rates in US dollars and euros, and the sovereign default intensities of Germany and the United States are successfully estimated.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"28 1","pages":"103 - 91"},"PeriodicalIF":0.0000,"publicationDate":"2019-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jfi.2019.1.068","citationCount":"1","resultStr":"{\"title\":\"Are the Risk-Free Interest Rates Correlated with Sovereign Default Intensities?\",\"authors\":\"Yusho Kagraoka\",\"doi\":\"10.3905/jfi.2019.1.068\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study proposes a new methodology to estimate credit default swap- (CDS-) adjusted risk-free interest rates and sovereign default intensities. Government bond yields in a local currency and CDS premiums in a foreign currency are used to estimate the CDS-adjusted risk-free interest rate, which is adjusted for the default risk of a government and is immune to its correlation with the sovereign default intensity. The method is based on the fact that risk-free interest rates and sovereign default intensities in the same currency are correlated, whereas the correlations between the risk-free interest rates in a foreign currency and the default intensities are close to zero except during worldwide financial turmoil such as the European sovereign debt crisis. The methodology is applied to the German and US markets and the CDS-adjusted risk-free interest rates in US dollars and euros, and the sovereign default intensities of Germany and the United States are successfully estimated.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"28 1\",\"pages\":\"103 - 91\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-03-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.3905/jfi.2019.1.068\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2019.1.068\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2019.1.068","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Are the Risk-Free Interest Rates Correlated with Sovereign Default Intensities?
This study proposes a new methodology to estimate credit default swap- (CDS-) adjusted risk-free interest rates and sovereign default intensities. Government bond yields in a local currency and CDS premiums in a foreign currency are used to estimate the CDS-adjusted risk-free interest rate, which is adjusted for the default risk of a government and is immune to its correlation with the sovereign default intensity. The method is based on the fact that risk-free interest rates and sovereign default intensities in the same currency are correlated, whereas the correlations between the risk-free interest rates in a foreign currency and the default intensities are close to zero except during worldwide financial turmoil such as the European sovereign debt crisis. The methodology is applied to the German and US markets and the CDS-adjusted risk-free interest rates in US dollars and euros, and the sovereign default intensities of Germany and the United States are successfully estimated.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.