交易对手风险对信用违约互换定价动态的影响

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2012-03-28 DOI:10.21314/JCR.2012.136

Stefan Morkoetter, Johanna Pleus, Simone Westerfeld

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引用次数: 25

摘要

正如在2008年金融危机期间所观察到的那样，CDS合约不仅暴露于基础参考实体的信用风险，而且暴露于保护卖方的交易对手风险。通过对2004年至2009年欧洲和北美198个参考实体的CDS合约进行面板回归分析，我们发现市场导向的交易对手风险措施反映在CDS合约的定价中。交易对手风险的影响随着基础参考实体信誉的提高而降低。我们发现，在金融危机之前，北美参考实体的CDS价差就已经包含了交易对手风险，而对于欧洲参考实体，定价影响只是随着2008年9月金融危机的爆发而加剧。基于市场的交易对手风险指标对CDS合约定价的影响要高于依赖参考实体和CDS交易对手资产收益相关结构的指标。

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The Impact of Counterparty Risk on Credit Default Swap Pricing Dynamics

As observed throughout the financial crisis in 2008 CDS contracts are not only exposed to the credit risk of the underlying reference entity but also to the counterparty risk of the protection seller. Conducting a panel regression analysis based on CDS contracts from 2004 to 2009 in Europe and North America for 198 reference entities we find that market-oriented counterparty risk measures are reflected in the pricing of CDS contracts. The impact of counterparty risk is decreasing with a higher creditworthiness of the underlying reference entity. We show that counterparty risk has been incorporated in the CDS spreads for North American reference entities already prior to the financial crisis, whereas for European reference entities the pricing impact only intensified with the outbreak of the financial crisis in September 2008. Market-based counterparty risk measures have a higher impact on the pricing of CDS contracts as compared to measures relying on the correlation structures of asset returns of reference entities and CDS counterparties.

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.