Firm-Specific Risk-Neutral Distributions with Options and CDS
提出一种结合期权和信用违约互换（CDS）的方法，提取公司股票收益的风险中性分布，发现中间收益风险在市场压力时期具有显著溢价。
We propose a method to extract the risk-neutral distribution of firm-specific stock returns using both options and credit default swaps (CDS). Options and CDS provide information about the central part and the left tail of the distribution, respectively. Taken together, but not in isolation, options and CDS span the intermediate part of the distribution, which is driven by exposure to the risk of large, but not extreme, returns. Through a series of asset-pricing tests, we show that this intermediate-return risk carries a premium, particularly at times of heightened market stress. This paper was accepted by David Simchi-Levi, finance.