Contingent Claims and Hedging of Credit Risk with Equity Options
利用或有权益估值方法，提出用看跌期权对冲信用风险的新比率，发现期权对冲比率能捕捉股票对冲比率无法解释的VIX指数和违约利差相关的期权特定信用风险，并可通过波动率微笑有效结合股票和看跌期权进行信用风险对冲。
Abstract Using contingent-claims valuation, we introduce novel hedge ratios for credit exposures using put options. Option hedge ratios are generally in line with the empirical sensitivities of credit spread changes to put option returns and, relative to stock hedge ratios, produce further reductions in volatility for a portfolio of North American firms. We show that option hedge ratios capture option-specific credit exposure related to the VIX index and the default spread, which is unaccounted for by Merton’s (1974) equity hedge ratios alone. Combining stocks and put options for credit risk hedging can be done effectively using the volatility smirk.