Synthetic Options and Implied Volatility for the Corporate Bond Market
利用CDX互换期权合成公司债券指数期权，以无模型方式估计前瞻性波动率，并检验波动率风险在公司债券市场中的作用，为信用风险模型提供额外检验依据。
Abstract We synthetically create option contracts on a corporate bond index using CDX swaptions, overcoming the limitations that stem from the lack of traded corporate bond options. Our approach allows us to estimate forward-looking moments concerning the corporate bond market in a model-free manner. By constructing an aggregate volatility measure and the associated variance risk premium, we examine the role of volatility risk in the corporate bond market. We highlight that the ex ante conditional second and higher moments we estimate from synthetic corporate bond options carry important implications for credit risk models, providing an extra basis for testing their validity.