Market and Model Credit Default Swap Spreads: Mind the Gap!
研究CreditGrades结构模型能否解释个股层面股权/期权变量与CDS保费之间的动态关系，对关注信用风险定价的从业者和学者有参考价值。
Structural models of default establish a relation across the fair values of various asset classes (equity, bonds, credit derivatives) referring to the same company. In most circumstances such relation is verified in practice, as different financial assets tend to move in the same direction at similar speed. However, occasional deviations from the theoretical fair values occur, especially in times of financial turmoil. Understanding how the dynamics of the theoretical fair values of various assets compares to that of their market values is crucial to a number of market participants. This paper investigates whether a popular structural model, the CreditGrades approach proposed by Finger (2002), Stamicar and Finger (2005), succeeds in explaining the dynamic relation between equity / option variables and Credit Default Swap (CDS) premia at individual company level.