Ambiguity, Volatility, and Credit Risk
研究了模糊性对信用违约互换（CDS）定价的影响，发现模糊性平均使CDS利差下降约6%，表明边际投资者是信用保护的净买方。
Abstract We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.