Credit variance risk premiums
利用CDX北美投资级和高收益指数的掉期期权报价数据，研究信用市场的方差风险溢价，发现信用方差互换的回报为负且经济规模大，不受交易成本和已知风险因素影响，主要由与宏观经济恶化相关的支付方区间驱动。
Abstract This paper studies variance risk premiums in the credit market using a novel data set of swaptions quotes on the CDX North America Investment Grade and High‐Yield indices. The returns of credit variance swaps are negative and economically large, irrespective of the credit rating class. They are robust to transaction costs and cannot be explained by established risk factors and structural model variables. We also dissect the overall variance risk premium into receiver and payer variance risk premiums. We show that credit variance risk premiums are mainly driven by the payer corridor, which is associated with worsening macroeconomic conditions.