Systemic Credit Risk Premium: Insights From Credit Derivatives Markets
研究了2005年9月至2021年3月期间，通过分析CDX北美投资级组合的信用衍生品，构建系统性信用风险溢价（SCRP），发现其在金融危机和新冠冲击期间飙升，并对美国股票投资者的投资机会有显著影响。
ABSTRACT This study examines the market‐implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct systemic credit risk premium (SCRP) as the difference between the observed prices of multiname super‐senior tranches and their synthetic counterparts valued from historical asset correlations implied by single‐name Credit Default Swap spreads. Our findings show that the fitted SCRP surged during the 2007–2009 financial crisis, remained stable for a period, declined gradually after 2016, and spiked again during the COVID‐19 shock. The empirical analysis highlights that the estimated SCRP has significant implications for asset pricing, particularly in affecting investment opportunities for US stock investors during periods of financial instability.