A Credit Spread Puzzle for Reduced-Form Models
研究发现，简约模型校准后产生的CDS利差低于历史水平，在无摩擦市场中需要信用市场投资者比股票市场投资者更厌恶风险才能解释，而考虑市场分割后流动性成分可解释过半历史利差。
Reduced-form models of default calibrated to expected default losses and comovements between default losses and an equity-based pricing kernel generate CDS spreads that tend to fall below historical values. In frictionless markets, resolving this credit spread puzzle requires credit-market investors, especially those in high-quality debt, to be more risk adverse than equity-market investors. In the absence of market segmentation, however, the puzzle points to a liquidity component that, depending on themodel specification, can account for more than half of historical CDS spreads. These findings caution against fitting reduced-formmodels to CDS spreads without accounting for market segmentation or frictions. It has been a long-standing puzzle that structural credit riskmodels calibrated to historical default and recovery rates produce investment-grade (IG) cor-porate bond yield spreads that are below historical values. While structural models offer much needed economic content to credit risk modeling, this credit spread puzzle cautions against their unconditional use. Reduced-form credit risk models, on the other hand, offer less economic content but