CDS Inferred Stock Volatility
研究从公司CDS价差推断股票波动率，发现其与期权隐含波动率互补，且在预测未来实现波动率和交易策略收益上更优，对跨市场分析有参考价值。
Abstract Both CDS and out‐of‐money put option can protect investors against downside risk, so they are related while not being mutually replaceable. This study provides a straightforward linkage between corporate CDS and equity option by inferring stock volatility from CDS spread and, thus, enables a direct analogy with the implied volatility from option price. I find CDS inferred volatility (CIV) and option implied volatility (OIV) are complementary, both containing some information that is not captured by the other. CIV dominates OIV in forecasting stock future realized volatility. Moreover, a trading strategy based on the CIV–OIV mean reverting spreads generates significant risk‐adjusted return. These findings complement existing empirical evidence on cross‐market analysis. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:745–757, 2016